ATR Percentile Volatility Regime
Expresses volatility (ATR as % of price) as a percentile of its own history, 0-100. Low readings are volatility contractions, high readings expansions. Volatility clusters and mean-reverts, so long contractions tend to be followed by expansions: the "release" marker fires when the percentile climbs out of the contraction zone after several quiet bars.
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How to use it
Below 20 = compression (prepare for a breakout, tighten entries, avoid selling options-like mean reversion). Above 80 = expansion (widen stops, cut size). Release markers are a timing cue, not a direction: pair them with a trend or structure tool. ATR 14 with a 500-bar window is a good 1h default (~3 weeks); use 250 on 4h. Concept: Volatility clustering (B. Mandelbrot 1963; R. Engle, ARCH 1982); ATR by J. Welles Wilder (1978).
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