# ATR Exceedance Probability Model ATR Exceedance Probability Model is an indicator on [Vela](https://vela.luxalgo.com/chart), our next-generation charting platform, written in Pine Script®. A statistical volatility model that counts breaches of ATR-based thresholds and Z-scores their frequency against a long-term baseline. It marks breaches and statistically significant stretches with dots on the price chart and reports continuation odds such as Serial Break Probability. For traders who want volatility expansion measured rather than eyeballed. - Indicator in the LuxAlgo Library, by LuxAlgo, published May 19, 2026. - Access: free. - Concepts: [ATR](https://www.luxalgo.com/library/concept/atr/) (primary), [Distribution-of-returns Profiling](https://www.luxalgo.com/library/concept/distribution-of-returns-profiling/) - Open on Vela: https://vela.luxalgo.com/chart?pineScriptCodeId=cmpwn09jf000hvhsgmwch16px - Page: https://www.luxalgo.com/library/indicator/atr-exceedance-probability-model/ **ATR Exceedance Probability Model** (VEPM) counts how often price breaches [ATR](https://www.luxalgo.com/library/concept/atr/)-based thresholds and tests whether that frequency is statistically unusual. A Z-scored oscillator compares the short-term breach rate against a long-term baseline, while the chart gains ATR bands, significance dots, and candles colored by significance. ## How to Trade the ATR Exceedance Probability Model? - **Green significant glow**: the exceedance-frequency Z-score has cleared your sensitivity threshold, statistically meaningful volatility expansion that supports breakout and continuation ideas. - **Red shift**: breach frequency below baseline signals contraction, weaker momentum, or a quieter regime suited to patience. - **Frequency delta**: the filled area between current and baseline frequency shows expansion building or exhausting; dashboard metrics Serial Break Prob and Clustering Edge quantify how often one breach has led to another. The model leans on volatility clustering (active stretches tend to follow active stretches), treating breaches as a statistical series in the spirit of [return-distribution profiling](https://www.luxalgo.com/library/concept/distribution-of-returns-profiling/), and flagging only deviations that clear a significance bar. ## ATR Exceedance Probability Model Settings - **ATR Length / ATR Multiplier**: the volatility lookback and the threshold a bar must exceed to register a breach. - **Breach Detection Method**: compare the bar's full range to ATR, or test price against the previous bar's ATR bands. - **Short-Term Window / Baseline Window**: the current-frequency window versus the long-term norm (200 bars by default). - **Z-Score Sensitivity**: how extreme the frequency must be before it counts as significant. - **Show ATR Bands on Chart / Bands Mode / Bands Basis Method / Dashboard**: band visibility and anchoring (a basis such as SMA or EMA, or the bar's High/Low), and the stats panel position and size. ## Frequently Asked Questions ### What counts as an exceedance event? A bar whose true range (or whose price levels, depending on the chosen Breach Detection Method) pushes beyond the ATR multiplier you set. Dots print at the top of the chart at each breach, so clusters stand out. ### How is this different from a plain ATR readout? A raw ATR line reports the level of volatility; this model tests whether breach frequency is abnormal versus history and how often breaches chain together. For a simpler view of ranges expanding and contracting, see [ATR Expansion & Contraction](https://www.luxalgo.com/library/indicator/atr-expansion-contraction/). ### How do I access the ATR Exceedance Probability Model? Free, via the LuxAlgo Library. It can also be run in Quant, our coding agent, directly from this page to test regimes across symbols. You can also copy the source code from this page and run it anywhere Pine Script® runs. ## Related indicators - [Chandelier Exit Oscillator](https://www.luxalgo.com/library/indicator/chandelier-exit-oscillator/) (ATR): markdown at https://www.luxalgo.com/library/indicator/chandelier-exit-oscillator.md - [Average True Range](https://www.luxalgo.com/library/indicator/average-true-range/) (ATR): markdown at https://www.luxalgo.com/library/indicator/average-true-range.md - [Probability Grid](https://www.luxalgo.com/library/indicator/probability-grid/) (Distribution-of-returns Profiling): markdown at https://www.luxalgo.com/library/indicator/probability-grid.md - [Consecutive Candle Streak Analysis](https://www.luxalgo.com/library/indicator/consecutive-candle-streak-analysis/) (Distribution-of-returns Profiling): markdown at https://www.luxalgo.com/library/indicator/consecutive-candle-streak-analysis.md - [Average Daily Range](https://www.luxalgo.com/library/indicator/average-daily-range/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/average-daily-range.md - [Predictive Ranges](https://www.luxalgo.com/library/indicator/predictive-ranges/) (ATR Bands): markdown at https://www.luxalgo.com/library/indicator/predictive-ranges.md - [ATR-based Stop Distance](https://www.luxalgo.com/library/indicator/atr-based-stop-distance/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/atr-based-stop-distance.md - [ATR Expansion/contraction](https://www.luxalgo.com/library/indicator/atr-expansion-contraction/) (Volatility): markdown at https://www.luxalgo.com/library/indicator/atr-expansion-contraction.md --- Source: https://www.luxalgo.com/library/indicator/atr-exceedance-probability-model/ (LuxAlgo Library). Free to use with attribution: https://www.luxalgo.com/library/license/