Measure volatility in assets using the Average Daily,Weekly and Monthly Range with the Average Range Levels° [Pro+]

Concept Introduction & Indicator Features
Average Daily Range (ADR) is a common metric used to measure volatility in an asset. It calculates the average difference between the highest and lowest price over a time interval – normally five days.
The Inner Circle Trader teaches the importance of this metric from an algorithmic point of view; in particular the 1/3ADR price level is deemed to be a threshold used to determine the area at which a Judas Swing – false move to trick market participants, protraction, manipulation – might exhaust.
Another key difference in the ICT-use of this metric compared to the classic approach is that the average range is calculated from New York midnight Time, rather than the daily candle's open.This exact concept was upscaled to higher Timeframe fractals obtaining the Average Weekly Range (AWR) and the Average Monthly Range (AMR). The latter two metrics are anchored at the first Monday’s midnight (New York Time) of the respective interval – however they also have the option to be anchored at the True Week Open (Tuesday’s Daily Open) and True Month Open (Second Week Open).
Tool Features:
Auto Color the drawings based on your chart’s background or choose your own
Decide whether to consider daily candles, or New York (00:00 to 00:00 NY Time) for the basis of the calculation
Show the last 10 Historical Levels– See the AR Range, the AR price levels and 1/3AR price levels by hovering over the text labels
Plot the AR levels from their Time Anchor, or as offset markers on the side for a cleaner look
Show/Hide all elements individually
General Settings
Average Range Levels Alerts
By ticking this ON/OFF switch you will be able to receive a notification when any ADR, AWR, or AMR Level is hit.
Analyst Insights:
Why would we use alerts on indicators? As traders and analysts we want to manage our time and mental capacity. Our brain only has so much it can do at the same, while staying focused for a certain amount of time. Enabling these alerts allow us to not constantly have to check if the market has moved towards a range level, such as the Average Daily Range or the Average Weekly Range. It will automate the whole process, and eliminate the need to look at the chart or think about it completely.
Auto Color
This ON/OFF Switch will determine whether the levels plotted on chart will be automatically chosen based on your layout’s color settings (ON), or based on the colors you provide in the respective sections (OFF).
Show Text
This ON/OFF Switch will show or hide the labels for each level and Time anchor on chart, allowing for a cleaner look.
Show Data Table
This table shows you the Historical (previous five) Average Ranges (AR) and Current Ranges (CR) for each Timeframe. You are able to decide which Data Type to display individually, or to display both instead.
The ADR values over the past five days, with the CDR of the day; and current day. The AWR values over the past five weeks, with the CWR of the week; and current week. The AMR values over the past five months, with the CMR of the month; and current month.
Generally, when a Current Range goes over the Average Range it signifies Expansion; on the other hand, when a Current Range remains under the Average Range it signifies Consolidation.
By monitoring the latter over Time you can anticipate upcoming Expansion Ranges based on the basic ICT notion that Consolidation leads to Expansion.
This Data Table can vary based on your Tradingview plan – the data on chart differs. If not enough Data is available for a given range, the Table will NOT show any Data. If there is enough Data for the input settings, some cells might appear as NaN, this is normal and causes no problems or inaccuracies.
Analyst Insights
In ICT’s Core Content Month 1 - Episode 1, ICT teaches the four main price delivery stages: Consolidation, Expansion, Retracement and Reversal. The data table helps analyst with identifying the first two. The Data Table helps identifying the market condition that is currently present when the average range stays constant, it signals price is likely not moving much, and thus consolidating. When price suddenly moves above the average range, it signifies an expansion.
The data table also helps with risk management, when the market becomes more volatile, the ranges tend to get larger. In these circumstances it could be a sign to adjust the contract size if an analyst uses a fixed % risk instead of a fixed contract size.
ADR Levels
Custom Average Daily Range
ICT teaches to use the 5Day ADR, where the Day is the Daily Candle; and anchor it from the True Open at Midnight New York Time. Alternatively you can use New York daily ranges by selecting it as an input type.
Analyst Insights:
The 5-day ADR is based on the same concept of the IPDA Lookback, by using a 5-day ADR we are essentially using a 5-day lookback
We expect Daily Judas Swings to stop around the 1/3 ADR Level. When we anticipate and Expansion Day we aim for the full ADR Level.

Show Historical ADR Levels
Display and plot the last 10 sessions and respective 1/3, and full ADR levels to monitor price action response and context to algorithmic average range levels.
Analyst Insights:|
By looking at the historical ADR levels analysts can gauge whether the market has moved towards the full expected range levels or not. By analyzing this, analysts can decide if they want to hold positions for the full expected range, or if they want to close out profit sooner.



ADR Plot Settings
These settings will help allow you to customize the look and the plot style of the Levels.
Offset: move the right-end of the levels and the text further to allow for a cleaner look.
Plot from Anchor: this ON/OFF switch allows you to either plot the ADR levels from their Time Anchor, or simply have them a little marker on the right-end of the chart.
AWR SETTINGS
Custom Average Week Ranges
ICT does not teach us about the AWR. However we know the marker is fractal. I like to use the 4Week AWR, where the Week is the Weekly Candle, and anchor it from the Monday at Midnight New York Time. I also experiment with the Weekly True Open which is Tuesday’s Daily Open (credit to @traderdaye).
Analyst Insights
Using a 4 week AWR is based on the IPDA Lookback function. IPDA uses a 60-40-20 day lookback system for it’s PD Arrays and targets. A 4 week AWR equals a 20-day lookback
We expect Weekly Judas Swings to stop around the 1/3 AWR Level. When we anticipate and Expansion Week we aim for the full AWR Level.
Show Historical AWR Levels
Display and plot the last 10 sessions and respective 1/3, and full AWR levels to monitor price action response and context to algorithmic average range levels.
Analyst Insights
Utilizing this setting allows analysts to measure the AWR trend, it allows analysts to easily see in what type of condition the market is in. Is the AWR expanding? or is it shrinking? If the AWR is expanding, it means the market is overall more volatile than when the AWR is shrinking. It also confirms if the market is in an expansion phase.
AWR Plot Settings
These settings will help allow you to customize the look and the plot style of the Levels.
Offset: move the right-end of the levels and the text further to allow for a cleaner look.
Plot from Anchor: this ON/OFF switch allows you to either plot the AWR levels from their Time Anchor, or simply have them a little marker on the right-end of the chart.
AMR SETTINGS
Custom Average Monthly Range
ICT does not teach us about the AMR. However we know the marker is fractal. I like to use the 3Month AMR, where the Month is the Monthly Candle, and anchor it from the first Monday of the Month at Midnight New York Time. I also experiment with the Monthly True Open which is the Second Full Week’s Open (credit to @traderdaye).
Analyst Insights:
Why would analyst use a 3-month Average Monthly Range? The 3 Month lookback equals around 60 trading days. ICT teaches that the algorithm uses a 60-day lookback period for it’s reference.
We expect Month Judas Swings to stop around the 1/3 AMR Level. When we anticipate and Expansion Month we aim for the full AMR Level.
Show Historical AMR Levels
Display and plot the last 10 sessions and respective 1/3, and full AMR levels to monitor price action response and context to algorithmic average range levels.
Analyst Insights
The Historical AMR levels can be used to determine the long term trend, if the AMR keeps growing its a sign that the market is moving higher with more speed. When the AMR is decreasing over time, it suggests the market is slowing down it’s expansion.
ADR Plot Settings
These settings will help allow you to customize the look and the plot style of the Levels.
Offset: move the right-end of the levels and the text further to allow for a cleaner look.
Plot from Anchor: this ON/OFF switch allows you to either plot the AMR levels from their Time Anchor, or simply have them a little marker on the right-end of the chart.