Instrument
Stat
Average True Range (ATR)
How often does a session's true range (high-low, accounting for the prior close gap) exceed or respect the prior session's period-N average true range (ATR)?
Timeframe
How often does a session's true range (high-low, accounting for the prior close gap) exceed or respect the prior session's period-N average true range (ATR)?
Exceeded ATR vs Respected ATR
Probabilities are observed frequencies over the selected period. The baseline is the same outcome's unconditional rate; edge is probability − baseline, in percentage points.
| Condition | Outcome | Probability | Baseline | N | Edge |
|---|---|---|---|---|---|
| True range vs ATR | Exceeded ATR | 43.006% | 47.707% | 4,318 | -4.70 pts |
| True range vs ATR | Respected ATR | 56.994% | 52.293% | 4,318 | +4.70 pts |
| Group | Condition | Outcome | Probability | Baseline | N | Edge |
|---|---|---|---|---|---|---|
| Monday | True range vs ATR | Exceeded ATR | 41.820% | 48.954% | 813 | -7.13 pts |
| Monday | True range vs ATR | Respected ATR | 58.180% | 51.046% | 813 | +7.13 pts |
| Tuesday | True range vs ATR | Exceeded ATR | 39.754% | 47.368% | 893 | -7.61 pts |
| Tuesday | True range vs ATR | Respected ATR | 60.246% | 52.632% | 893 | +7.61 pts |
| Wednesday | True range vs ATR | Exceeded ATR | 44.032% | 47.748% | 888 | -3.72 pts |
| Wednesday | True range vs ATR | Respected ATR | 55.968% | 52.252% | 888 | +3.72 pts |
| Thursday | True range vs ATR | Exceeded ATR | 47.079% | 51.890% | 873 | -4.81 pts |
| Thursday | True range vs ATR | Respected ATR | 52.921% | 48.110% | 873 | +4.81 pts |
| Friday | True range vs ATR | Exceeded ATR | 42.303% | 47.356% | 851 | -5.05 pts |
| Friday | True range vs ATR | Respected ATR | 57.697% | 52.644% | 851 | +5.05 pts |