ATR percentile rank

ATR percentile rank

The percentile rank of a score is the percentage of scores in its frequency distribution that are equal to or lower than it. For example, a test score that is greater than or equal to 75% of the scores of people taking the test is said to be at the 75th percentile, where 75 is the percentile rank. (source Wikipedia).

This indicator gives the percentile rank of the current Average True Range compared to the 200 periods previous ones. By comparing the recent ATR to the previous behaviour of it on the same instrument, we can have a clearer view of what the current volatility means because of its ranking in percentage. This kind of sorting formula could be adapted to any other values. 

 

 

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05/19/2016

576 posts • 1884 Followers
  1. avatar
    Adolfo Onrubia • 05/19/2016 #

    Hi Nicolas!
    As far as I’m not used to use this indicator… Can you explain a bit how can we implement it in our strategies?
    Thanks in advance!

    • avatar
      Nicolas • 05/19/2016 #

      This indicator rank the actual ATR to its recent statistical values. So you can have a better view of what currently happen. With this indicator you can spot a volatility increase, even if the instrument is often very fluctuant, and also spot if the instrument is in a very calm period even if its already quiet.

  2. avatar
    Brisvegas • 05/19/2016 #

    Thanks Nicolas , very handy tool , I have added variables to look back period and ATR period to make it a bit more versatile . I would add ITF file if i knew how

  3. avatar
    rufus.round • 05/19/2016 #

    How easy is it to remove the overnight intraday bars from the calculation?

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