Relative ATR as a Historical Volatility Rank

Summary

The document describes a relative version of Average True Range (ATR) intended to make ATR easier to compare across time. It maps ATR into a 0–100% range according to its position relative to values over a chosen historical lookback. This treats ATR as a ranked measure of recent price movement rather than relying on its raw value, which is scale-dependent.

The example applies the rank to a forex-style trading rule: when the 14-period ATR falls in the lowest quarter of its range over the previous 800 days, a trader could take full profit at a one-ATR target instead of taking only partial profit. The author presents the indicator as an attempt to represent a volatility index within MetaTrader. No performance data, calculation details, or out-of-sample validation are supplied, so the example is a proposed adjustment rather than evidence of improved results.

Key ideas

• Relative ATR ranks current ATR against a selected historical window.
• The rank is scaled from 0 to 100 percent to support comparisons over time.
• The example uses a low ATR rank to adjust profit-taking at a one-ATR target.
• The document gives no backtest or evidence that the proposed rule improves performance.

Tags

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