ATR Volatility Regime

ATR Volatility Regime

A volatility classification indicator that uses ATR (Average True Range) percentile ranking to identify LOW, NORMAL, HIGH, or EXTREME volatility conditions.

Displayed as a separate pane oscillator (0–100 scale) with colored zones.

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💡 WHY THIS INDICATOR?

Most volatility indicators show raw ATR — a number without context. Is ATR = 50 high or low? Depends on the asset and recent history.

This indicator answers: "Is current volatility high or low for THIS asset, right now?"

What it adds over standard ATR:

• Percentile context — Compares current ATR to its own history
  
• Regime classification — Actionable labels instead of raw numbers
  
• Visual zones — Instant read without interpretation
  
• Optional MTF — Lock to a fixed timeframe while viewing another
  
• Auto-adapts — Works on any asset without manual threshold tuning
  

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📐 CORE CONCEPTS

ATR (Average True Range)
Measures volatility in price units — how much an asset typically moves per bar. Directionless (magnitude only, not direction).

Calculation:
True Range = the greatest of:

• High − Low (current bar's range)
  
• |High − Previous Close| (gap up captured)
  
• |Low − Previous Close| (gap down captured)
  

ATR = Moving average of True Range over N bars (default: 14)

Percentile Rank (Pctl)
Answers: "What percentage of historical values is the current value greater than?"

• Pctl = 0% → Lowest ATR in lookback period (extreme compression)
  
• Pctl = 50% → Median ATR (typical volatility)
  
• Pctl = 100% → Highest ATR in lookback period (extreme expansion)
  

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🎯 WHAT IT DOES

Classifies current volatility into four regimes:

• LOW (< 25th percentile) — Compression, breakout likely brewing
  
• NORMAL (25th–50th percentile) — Typical market conditions
  
• HIGH (50th–75th percentile) — Elevated volatility, use caution
  
• EXTREME (> 75th percentile) — Rare expansion, tighten stops or stay flat
  

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📊 DISPLAY COMPONENTS

Oscillator Line (0–100)
ATR percentile rank over time. Color matches regime:

• Blue = LOW
  
• Gray = NORMAL
  
• Orange = HIGH
  
• Red = EXTREME
  

Zone Backgrounds
Colored bands at threshold levels for instant visual reference.

Status Label

• VOL — Current regime
  
• ATR — Raw ATR value (for stop sizing)
  
• Pctl — Percentile rank (0–100%)
  
• TF — Active timeframe (chart or fixed)
  

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📈 HOW TO USE

LOW Volatility (Pctl < 25%):

• Market compressed — "calm before the storm"
  
• Watch for breakout setups
  
• Pctl = 0% often precedes significant moves
  

NORMAL Volatility (Pctl 25–50%):

• Typical conditions
  
• Standard position sizing and stops
  

HIGH Volatility (Pctl 50–75%):

• Elevated movement — reduce size
  
• Widen stops to avoid noise
  

EXTREME Volatility (Pctl > 75%):

• Rare, intense conditions
  
• Avoid new entries or tighten risk
  

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⚙️ SETTINGS

ATR Settings:

• ATR Length (default: 14) — Period for ATR calculation
  
• Percentile Lookback (default: 100) — Bars for percentile ranking
  

Timeframe:

• Use Fixed Timeframe (default: off) — Lock calculation to specific TF
  
• Fixed Timeframe (default: D) — TF to use when fixed mode enabled
  

Thresholds:

• Low Threshold (default: 25)
  
• High Threshold (default: 50)
  
• Extreme Threshold (default: 75)
  

Display:

• Show Zone Background — Toggle colored fills
  
• Show Status Label — Toggle info label
  

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📋 SUGGESTED LOOKBACK BY ASSET

• Crypto — 100 bars (fast regime shifts)
  
• Stocks — 252 bars (one trading year)
  
• Forex — 100–150 bars
  
• Commodities — 150–200 bars (seasonal patterns)
  

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🔔 ALERTS

• Vol → EXTREME
  
• Vol → HIGH
  
• Vol → LOW
  
• Vol exits HIGH
  

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💡 PRACTICAL APPLICATIONS

Stop-Loss Sizing:
Use raw ATR for stops. Example: Stop = Entry − (1.5 × ATR)

Position Sizing:
Reduce size when percentile is HIGH or EXTREME.

Entry Filtering:

• LOW regime = prepare for breakout
  
• EXTREME regime = avoid new entries
  

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📝 NOTES

• Works on any timeframe — adapts to chart or locks to fixed TF
  
• ATR is non-directional — magnitude only
  
• Percentile auto-adapts to each asset's volatility profile
  
• Not a standalone signal — combine with trend/regime filters
  

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🏷️ TAGS

volatility, ATR, average-true-range, percentile, regime, risk-management, position-sizing, swing-trading, MTF