Daily NATR Percentile (Regime + Alerts)Daily NATR Percentile — Volatility Regime Filter for Swing Traders
This indicator is designed to help traders objectively identify market volatility regimes and adjust risk exposure accordingly.
Rather than using ATR as a stop or entry signal, this tool treats volatility as an environmental variable — answering the question:
Is the current market condition supportive of swing trading, or is capital preservation the priority?
It calculates Daily NATR (Normalized ATR) and ranks today’s value against the previous N days using a percentile approach.
This removes price-level bias and focuses on relative volatility expansion or contraction.
The result is a normalized 0–100 volatility score:
• Low values = quiet, trend-friendly environment
• High values = unstable, distribution / forced-selling regime
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Core Components
1. Daily NATR Percentile
• ATR is calculated on Daily timeframe
• Normalized by Daily Close (ATR / Close × 100)
• Current value is ranked against a configurable Daily lookback window (default: 20 days)
This answers:
How volatile is today compared to recent history?
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2. Volatility Regime Levels (Customizable)
Default thresholds:
• Low Vol: 20%
• Mid: 50%
• High Vol: 80%
These levels define three behavioral modes:
🟢 Low Regime (Quiet Market)
• Trend continuation favored
• Breakouts and pullbacks work best
• Full position sizing allowed
• Pyramid / add-ons acceptable
🟡 Mid Regime (Mixed Participation)
• Selective entries only
• Reduced position sizing
• Faster profit taking
• Fewer simultaneous positions
🔴 High Regime (Distribution / Forced Selling)
• Correlation spikes
• Fake breakouts increase
• Intraday whipsaws common
Risk management mode:
• Minimal exposure
• No pyramiding
• Only tight support entries (if any)
• Cash becomes a position
Background shading visually highlights High and Low regimes.
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3. Percentile Slope (Volatility Acceleration)
The slope measures how fast volatility is changing.
This is critical for detecting regime transitions:
• Slope > 0 → volatility expanding
• Slope < 0 → volatility contracting
Key patterns:
Percentile Slope Interpretation
Low Down Ideal swing environment
Low Up Early warning of instability
High Up Active volatility expansion
High Down Possible stabilization after panic
The slope is not an entry signal — it is an early feedback mechanism for adjusting exposure.
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How I Personally Use This Indicator
This tool governs position sizing and portfolio exposure, not trade selection.
My workflow:
1. Identify market regime using Daily NATR Percentile
2. Observe slope for acceleration or deceleration
3. Adjust exposure progressively:
Example logic:
• Percentile < 30 AND slope < 0
→ Full risk allowed
• Percentile rising from Low + slope turning positive
→ Reduce new entries, tighten stops
• Percentile > 70 AND slope > 0
→ Defensive mode (minimal risk, capital preservation)
This creates a feedback loop:
Market environment → risk allocation → performance feedback
Exposure increases only when conditions improve, and contracts automatically when volatility expands.
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Philosophy
Most drawdowns don’t come from bad stock selection —
they come from trading aggressively in hostile environments.
This indicator enforces a simple principle:
Trade the market you have, not the market you want.
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Suggested Defaults
• ATR Length: 14
• Percentile Lookback: 20
• High: 80
• Low: 20
• Slope Length: 5
Designed for swing traders, but adaptable to any timeframe via Daily regime filtering.
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