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Average True Range

ATR volatility analysis by weekday, condition, and historical percentile

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Average True Range — Strategy Guide

Understanding ATR

Average True Range (ATR) measures volatility — the average range between high and low over a period. This report goes beyond the basic ATR number to show how volatility varies by weekday, market regime, and where current ATR sits in historical context.

Key Metrics

Current ATR Percentile — Where today's ATR sits relative to the last 252 days. Above 80th percentile = high volatility regime.

ATR by Weekday — Average ATR broken down by day of week. Helps calibrate stops and targets for each day.

ATR Expansion/Contraction — Whether ATR is trending up or down. Rising ATR = breakout environment. Falling ATR = range environment.

Trading Strategy

Stop sizing: Use 1-2x ATR for stop losses. This ensures your stops respect current volatility — too tight and you get stopped out by noise, too wide and your risk/reward suffers.

Target sizing: Use 1.5-3x ATR for profit targets. If ATR is 15 points on ES, a reasonable target is 22-45 points.

Pro Tip

When ATR is at extreme low percentiles (below 20th), expect a volatility expansion. This is a great time to trade breakout strategies. When ATR is at extreme high percentiles (above 80th), expect volatility contraction — switch to mean reversion strategies.

Optimal Trading Hours

Average Daily Range