ATR Volatility Spectrum

21 déc. 2018

This indicator estimates price volatility and it is based on ATR only.
The advantage of this indicator is that it can be used with any pair, any time frame.
The fluctuations of a short period ATR with respect to a gently ATR with high period
are calculated.
The only parameters are the periods of the reference ATR and fast ATR, which could be
safely let untouched and modified by experts.
RED areas depict low volatility
GREEN areas depict high volatility.
When the clouds are outside the region delimited by the aqua lines we have
extreme conditions:
Extremely low volatility = red cloud outside the aqua bands
Extremely high volatility = green cloud outside the aqua bands
Vitelot/yanez/Vts December 2018.
Hitting the like button is free act of gratitude

10 janv. 2019

Notes de version

Added the possibility to filter out extreme events in the calculation of ATR,
i.e., those events outside 3 standard deviation.
This will clean the ATR signal from the contamination of occasional rare events (as the flash crash of Jan 3rd 2019).
January 2019

17 févr. 2019

Notes de version

Changed the volatility threshold definition: it uses the more statistically sound standard deviation now.