ATR Regime Indicator

Overview

This indicator calculates the percent rank (or percentile) of the daily ATR value over the specified number of days.

It can be used to assign trading days to different regimes.

For example, you can assign regimes based on the ATR quartile (i.e., 0-25%, 25-50%, 50-75%, 75-100%).

Then you could decide whether or not to trade that day or dynamically configure strategy settings according to the regime.

ATR Period: The period to use in the ATR calculation. (Default: 5)

Rank Period: The period to use in the percent rank calculation. (Default: 252, roughly the number of trading days in a year)

Days to Load: The number of days to load in order to perform the calculation. (Default: 504, Rank Period * 2)

Days to Load is intended to facilitate loading additional data for the purpose of backtesting.