A filtered Daily True Range (DTR) indicator that calculates the average trading range by excluding extreme price movement values over 14 trading days.
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The Filtered Daily True Range (DTR) calculates price volatility by measuring the high-low range of each trading day over a 14-day period. It systematically filters out extreme range values by removing daily ranges less than 0.5× the average range and greater than 2× the average range.
After filtering, the indicator computes the average of the remaining valid daily ranges, providing a normalized volatility measurement. The resulting table displays the Filtered Average True Range (ATR), the current day's price range, and the percentage of ATR covered by today's trading activity.
Why it may be useful
The Filtered DTR helps traders understand market volatility by providing a more accurate representation of price movement dynamics. By excluding extreme outliers, the indicator offers a smoother, more reliable measure of typical price range fluctuations.
This approach prevents single extraordinary trading days from skewing the overall volatility assessment, enabling traders to make more informed decisions about potential trade entries, stop-loss placements, and position sizing based on consistent market behavior.
When to explore it
The Filtered DTR is most effective in markets with moderate to high trading activity where consistent price range measurement is crucial. It works particularly well for traders seeking to understand short-term volatility patterns and assess potential trade risk.
Traders can utilize this indicator during periods of market transition, when identifying stable trading ranges becomes essential for making strategic entry and exit decisions. It is especially useful in volatile markets where understanding typical price movement becomes critical for risk management.
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What we’ve verified
Access, alerts and repainting behaviour have not been independently verified for this indicator. Check the creator’s current publication and settings.
General descriptions and classifications are recovered research. Verified details above identify the specific checks we have completed. Check the creator’s current publication for later changes.
