OPEN-SOURCE SCRIPT

ATR by Time [QuantVue]

"ATR by Time" incorporates time-specific volatility patterns by calculating the Average True Range (ATR) over a customizable period and comparing it to historical ATR values
at specific times of the day.

The Average True Range (ATR) is a popular technical indicator that measures market volatility by decomposing the entire range of an asset price for that period.

By taking the ATR at certain times of the day and comparing it to the current bar's ATR, traders can gain several potential advantages:

Volatility Pattern Recognition: Different times of the trading day often exhibit different levels of volatility. For instance, markets might be more volatile at the open and close compared to midday. By tracking ATR at specific times, traders can recognize these patterns and better predict periods of high or low volatility.

Risk Management: Understanding volatility trends throughout the day helps in better risk management. During periods of high expected volatility (indicated by higher ATR compared to the historical average), traders can adjust their stop-loss levels and position sizes accordingly to protect their capital.

Trend Confirmation and Divergence: This indicator can help confirm trends or identify potential reversals. For example, if the current ATR consistently exceeds the average ATR at specific times, it may confirm a strong trend. Conversely, if the current ATR falls below the historical average, it could signal a potential slowdown or reversal.

This indicator will work on all markets on all time frames. User can customize ATR length as well as the lookback period.

This script utilizes TradingView's RelativeValue library and averageAtTime function, which is used to compare a current data point in a time interval to an average of data points with corresponding time offsets across historical periods. Its purpose is to assess the significance of a value by considering the historical context within past time intervals.

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