Volume Weighted Average True Range

This indicator calculates a customizable version of the Average True Range (ATR), a tool for measuring market volatility. It enhances the standard ATR with volume weighting, a dual-smoothing process, normalization, and volatility pivot detection.

Key Features:

Volume Weighting: An option (Volume weighted) allows for volume to be incorporated into the volatility calculation. This provides a measure of "volume-adjusted" volatility that is more responsive to significant market activity.

Dual Smoothing Process: For noise reduction, the indicator employs a two-stage smoothing process. It first calculates a smoothed True Range (TR) over a user-defined period (TR Length) before applying the final ATR moving average (ATR Length & ATR Smooth).

Normalization (Percentage Volatility): An optional 'Normalize' mode calculates the ATR as a percentage of the price. This allows for consistent volatility comparison across different assets and over long time periods.

Volatility Pivot Detection: The indicator includes a built-in pivot detector that identifies significant turning points (highs and lows) in the ATR line itself, signaling potential shifts in volatility.

Note on Confirmation (Lag): Pivot signals are confirmed using a lookback method. A pivot is only plotted after the Pivot Right Bars input has passed. This is essential for ensuring the signal is non-repainting but introduces an inherent lag.

Multi-Timeframe (MTF) Capability:

MTF ATR Line: The ATR line itself can be calculated on a different timeframe, with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...).

Limitation: The Pivot detection (Calculate Pivots) is disabled if a Higher Timeframe (HTF) is selected.

Integrated Alerts: Includes alerts that trigger when a new volatility pivot (high or low) is detected in the ATR line.

DISCLAIMER

For Informational/Educational Use Only: This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset.

Use at Your Own Risk: All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk.

No Guarantee of Performance: Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability.

No Liability: The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator.

Signals Are Not Recommendations: The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.