ATR-percent compression

Average true range as a percent of price measures how wide bars are relative to the instrument. A compression rule waits until that percentage falls to a low rank versus its own history, then trades the later expansion in the direction of a break. It uses range, not the standard-deviation bands of a Bollinger squeeze, so the trigger days will differ.

Not investment advice. Nothing here is a recommendation to buy or sell anything. Backtests and historical studies are not guarantees, and a rule that worked in one sample can fail in the next. Trading can lose money. Links are for education, not endorsements. Do your own research.

Rules

Compute ATR divided by close over 14 periods. Mark compression when that ratio is in a low percentile of the past year, such as the bottom quintile. After the signal, buy a close above the compression high or sell a close below the compression low. Exit when ATR percent returns to its median or when a trailing stop is hit. Do not enter merely because volatility is low.

Where AI fits

AI can rank ATR percent without peeking at the future window and can keep this system separate from a Bollinger bandwidth test. It can report how much the signals overlap. If they are the same days, you do not have two strategies. The percentile should be fixed on a training sample.

Markets

Stocks, futures, and FX. Percent of price makes cheaper and dearer assets comparable.

Timeframes

Daily.

Risks

Low range can be a halt, a holiday, or a dead listing rather than a coil. The break after compression is often a fake. Percentile ranks on a short history are unstable. Mixing this with a Bollinger squeeze and calling it confirmation double-counts quiet markets.

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