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Miha Kralj
2026-03-13 13:47:10 -07:00
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commit 86a1db286c
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lib/volatility/atrn/Atrn.md
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@@ -13,9 +13,7 @@
| **PineScript** | [atrn.pine](atrn.pine) |
- ATRN transforms the absolute ATR into a relative measure by normalizing it to a [0,1] scale using min-max scaling over a lookback window.
- Parameterized by `period`.
- Output range: $\geq 0$.
- Requires 1 bar of warmup before first valid output (IsHot = true).
- **Similar:** [ATR](../atr/atr.md), [NATR](../natr/natr.md) | **Complementary:** Position sizing | **Trading note:** Normalized ATR; percentage-based for cross-asset comparison.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
ATRN transforms the absolute ATR into a relative measure by normalizing it to a [0,1] scale using min-max scaling over a lookback window. This answers the question: "Is current volatility high or low *compared to recent history*?"
@@ -151,4 +149,4 @@ ATRN is a QuanTAlib-specific indicator. Validation confirms:
3. **Regime Detection**: Use ATRN thresholds to switch between mean-reversion (low ATRN) and trend-following (high ATRN) strategies.
4. **Volatility Breakout**: Look for moves from ATRN < 0.2 to ATRN > 0.5 as potential breakout confirmation.
4. **Volatility Breakout**: Look for moves from ATRN < 0.2 to ATRN > 0.5 as potential breakout confirmation.