A while back, we added reports into Tradervue that would show how trading performance related to the behavior of the underlying instrument, including its Average True Range (ATR). Today, we’ve added a new report related to these.
ATR represents the recent volatility in a trading instrument, in terms of the average daily range of movement in the instrument. The new report shows the True Range of the instrument on the trading day, divided by the ATR(14), expressed as a percentage:
This TR/ATR is a measure of relative volatility of an instrument; namely, did it move more or less today relative to its recent 14-day average range. The higher the percentage, the more the instruments true range on the day exceeded the ATR, and was thus more volatile than expected.
In the example above, we can see the trader’s P&L performance was dramatically better on days when the instrument he was trading was moving more than its ATR, and underperformed when the instrument was moving less.
The new reports are available immediately for all silver and gold users on the Reports View, Detailed tab, Instrument group. They are also available on the Win vs Loss Days and Compare tabs.