ATR Exceedance Probability Model

ATR Exceedance Probability Model (VEPM) counts how often price breaches 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, 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?

How is this different from a plain ATR readout?

How do I access the ATR Exceedance Probability Model?