Intraday ATR Cycles

Intraday cycles of Average True Range (ATR). Three types of ATR are drawn on one chart:

• Buffer0 - fast ATR, i.e. average true range for the number of bars specified in the BARS parameter;
• Buffer1 - slow ATR, i.e. average true range for the number of days specified in the DAYS parameter;
• Buffer2 - cyclic ATR, i.e. average range value of a bar for this time of a day calculated for the number of days specified in the DAYS parameter.

The largest outliers and gaps are not taken into account to avoid incorrect values.

Averaging large arrays of slow and cyclic ATR is performed once a day to accelerate the indicator's operation.

Inputs

• DAYS - number of days to calculate slow and cyclic ATR;
• BARS - number of bars to calculate fast ATR.

The indicator works on intraday timeframes only.