Normalized True Range
Similar to normalized ATR but the computation is different. In NATR, we first get the ATR then normalize it by dividing against the closing price. But for Normalized TR, we first get the true range, normalize it by dividing it by its closing price and then averaging it for x periods. I feel this is a more accurate filter for volatility than NATR. If the reading is 3, it means that the stock has a trading range of AVERAGE 3% PER DAY - a range is computed from high to low.
You can use this as a filter for mean reversion trading, making sure you don't get caught up in a non-volatile stock. You can use it as a filter against your watchlist also. Feel free to adjust the settings to how much volatility you want to screen for.
Script can be found below. Works in v1.0 and above.
// Normalized True Range
Set TR = TR()
set Normalize = (tr/close)*100
set NTR = average(normalize,10)
set High_ = NTR > 3
Set Medium_ = NTR > 2 and NTR < 3
Set Low_ = NTR < 2
Plot(NTR, Line,Any, NTR)