Comparing Market Volatility with Average True Range Percent

Summary

Average True Range Percent (ATRP) expresses average true range as a percentage of the instrument’s closing price. This normalization makes recent price movement easier to compare across instruments with very different price levels. The document illustrates the idea by referring to a comparison of the German DAX 30 and the S&P 500 on a 30-minute chart.

The example calculates ATR over a configurable lookback period and divides it by the close, then multiplies by 100. It presents ATRP as a volatility measure; it does not describe entry or exit rules, a trading strategy, or performance evidence. The claim that the indicator is bounded between zero and 100 percent is not generally guaranteed by this formula, since the ATR-to-price ratio can exceed 100 percent in some circumstances. The document also does not specify how traders should interpret or act on particular ATRP values.

Key ideas

• ATRP scales average true range by the closing price to express movement as a percentage.
• The normalized measure supports comparisons between instruments with different price levels.
• The example points to a 30-minute comparison of the DAX 30 and S&P 500.
• The document gives no trading rules or performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.