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.

ATRPctRkLookback = 200
ATRperiod = 20

rnkCount = 0

ATR = averagetruerange[ATRperiod](close)

FOR i = 1 TO ATRPctRkLookback DO
 IF ATR > ATR[i] THEN
  rnkCount = rnkCount + 1
 endif
NEXT

ATRPctRank = 100 * rnkCount / ATRPctRkLookback

RETURN ATRPctRank

ATRPctRkLookback = 200

ATRperiod = 20

rnkCount = 0

ATR = averagetruerange[ATRperiod](close)

FOR i = 1 TO ATRPctRkLookback DO

IF ATR > ATR[i] THEN

rnkCount = rnkCount + 1

endif

ATRPctRank = 100 * rnkCount / ATRPctRkLookback

RETURN ATRPctRank

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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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!
- 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.

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

rufus.round • 05/19/2016 #
How easy is it to remove the overnight intraday bars from the calculation?

cedwimmer Hab es schon gefunden vielen Dank!:)

guidocir Hello Nicolas, I imported your code, but it doesn't draw many boxes, but just a single one...

Nicolas It depends of your settings. Try to reduce the box size or to expand the units displayed.

gabri Great job. If you divide the numerator by xEMA and not Close you obtain the Disparity Index ...

AnamaTrader ah, great, was just looking for something similar. will try this. I have also been consideri...

Sofitech Bonjour. J'aimerais savoir s'il est possible de "truquer" un peu l'indicateur pour qu'il don...

Maz I actually like this very simple idea. It can also be useful for market micro-structure syst...

Nicolas Thanks Maz, I'll have a look tomorrow.

Nicolas Why not, but a stock screener for what conditions?

Dimi.A Whenever the yellow CCI line goes "outside" the bands. Which will alert us of possible rever...

Nicolas ok why not, please add a request in the appropriate forum section, many thanks.

Derek In line 10 there is a value missing for the calculation. You can cross check it here on page...

Coldtrade Hello. I'm new to programming and don't understand the algebraic meaning of the formula: Va...

Derek You are right, There is something odd with this line of code. It should be A = B + n * A[1...

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