Volatility filter
Marks bars where ATR as a share of price sits inside a band; at default settings it never fires on SPY.
The indicator takes the 14-bar average true range (ATR), divides it by the close, and expresses that as a share of price. It outputs True only when that share is strictly above the low threshold and strictly below the high threshold, and False otherwise. The first bars have no value while ATR warms up.
How to read it
- Markers sit on the candles where the output is True. No line or pane is drawn.
- With default settings there are no markers on SPY one-minute bars: the output was False on every bar of the sample month.
- Thresholds are fractions of price: 0.0005 means 0.05%, about 0.38 dollars on SPY near 765.
- Read the markers as which bars sit inside the volatility band, not as buy or sell points on their own.
What it outputs
- Volatility in band
- True on bars where ATR as a share of price is strictly between the low and high thresholds; False otherwise.
When it fires
When ATR as a share of price lies strictly between the low and high thresholds, meaning that bar's volatility is inside the chosen band. With defaults this never happens on SPY one-minute bars, so the output is always off.
Settings
- atr_ratio_threshold_high
- Upper cut-off on ATR as a share of price. Raising it lets bars with larger ranges pass; lowering it removes the most volatile bars first. At the default 0.03 it never cuts anything, since SPY one-minute ATR peaked near 0.1% of price.
- atr_ratio_threshold_low
- Lower cut-off on ATR as a share of price. Raising it drops quiet bars; lowering it lets quiet bars through. At the default 0.005 every bar is too quiet, so the output stays False on SPY.
Pitfalls
- With default thresholds it never fired: zero events on SPY one-minute bars in September 2026. The 0.5% low cut-off sits about five times above the largest one-minute ATR seen, which was near 0.1% of price.
- The name says filter, but the indicator only outputs True or False. It does not remove or gate other signals, so a strategy must act on the output itself.
- Thresholds are fractions of price, not points or percent. The same numbers mean different dollar ranges on other symbols and price levels.