This indicator simply takes the Average True Range and applies the Percent Rank function to normalize the values from 0 to 100. This creates an output that can be easily used as a filter for trading strategies with normalized values across any symbol
Been looking around for something like this for some time, but wasn't sure what a percentage could be made relative to. Percent Rank seems to be a good, generalized option that would make sense in most cases ("the most and the least volatility in the last n periods"). Any idea when one might want to use Band Pass, ZScore, or any other basis?
jwammo12
⋅
@bankrollpdx, I think Z-Score is better at showing the difference between extremes, PercentRank is better when you need a more standardized trigger. Band pass assumes a wave pattern, so it is more specifically for mean reversion trading volatility.
bankrollpdx
⋅
@jwammo12, Thanks for the insight! I had never heard of Z-Score or Band Pass before. I will have to look into them.
chrysopoetics
⋅
Thank you very much. Do you know of other ways to calculate the ATR as a %? Or other ways of normalizing the output so that it's comparable across different assets?
jwammo12
⋅
@chrysopoetics, Thanks for your interest, I will do some research and possibly release more scripts in the future that attempt to normalize some measure of volatility. Generally for this indicator I recommend a very long lookback, especially for time frames under 1D, since intraday volatility varies dramatically depending on trading hours.
chrysopoetics
⋅
@jwammo12, thank you very, very much, that was a very thorough reply. I also really like the other two scripts. I'll definitely be messing around with them in the future. Look forward to seeing more of your stuff.