This code snippet demonstrates how to calculate a custom Average True Range (ATR) that excludes data from non-trading hours (night time) for a specific market. The ATR is a technical analysis indicator used to measure market volatility by decomposing the entire range of an asset price for that period.

p = 10 //10 periodi
IF time >= 090000 AND time <= 220000 THEN
    MyTR = max(Range,max(abs(high - close[1]),abs(low - close[1])))
    IF BarIndex < p THEN
        MyATR = MyTR
    ELSE
        MyATR = ((MyATR[1] * (p - 1)) + MyTR) / p
    ENDIF
ENDIF
RETURN MyATR

Explanation of the Code:

• The variable p is set to 10, indicating that the ATR calculation is based on the last 10 periods.
• The IF condition checks if the current time is between 09:00:00 and 22:00:00, which are considered as trading hours for this specific market.
• MyTR (My True Range) is calculated only during these hours. It uses the maximum of:
  • The current bar's range (Range).
  • The absolute difference between the current high and the previous close (abs(high - close[1])).
  • The absolute difference between the current low and the previous close (abs(low - close[1])).
• If the bar index is less than p, MyATR is set directly to MyTR. This is typically the case for the first 10 bars of the day.
• For bars beyond the first 10, MyATR is calculated using an exponential moving average formula, where the previous ATR is adjusted to include the latest True Range.
• The value of MyATR is returned, which represents the custom ATR for the specified trading hours.

This approach allows traders to focus on volatility during specific hours, potentially leading to more tailored trading strategies that align with market open times.