Average True Range Percentage (ATRP)

2 thg 1, 2020

ATR measures volatility, but you can't compare one instrument vs. another with it because the ATR value will be different depending on the price of the instrument. I went searching for something like ATR but with percentages, so you could compare one stock vs. another to find who is more volatile and found this.

It was exactly what I was looking for, so decided to re-create it in TradingView. Enjoy!

Description
Average True Range Percent (ATRP) expresses the Average True Range (ATR) indicator as a percentage of a bar’s closing price.

How this indicator works

• ATRP is used to measure volatility just as the Average True Range (ATR) indicator is. ATRP allows securities to be compared, where ATR does not.
  
• ATR measures volatility at an absolute level, meaning lower priced stock will have lower ATR values than higher price stocks. ATRP displays the indicator as a percentage, to allow for securities trading at different prices per share to be compared.
  

Calculation
ATRP = (Average True Range / Close) * 100

24 thg 2, 2021

Phát hành các Ghi chú

Added a moving average to this script to remove some of the noise you get with the normal ATRP display. This should make it easier to compare the average volatility of a stock relative to other stocks easier.

17 thg 3, 2021

Phát hành các Ghi chú

Added the ability to change the timeframe that this indicator looks at. The way I plan on using this is to have my chart set to intraday time frames but have a visual on what the daily Average True Range Percentage is. This will give a better visual for comparing stocks relative to one another on how volatile they are over a daily range instead of how volatile they are just on the intraday time frame.