This indicator shows the upwards (green) and downward (red) volatility of the market. It is a moving average of the true range values like the ATR indicator does but with a twist! For the upwards volatility, only the green candles are taken into account, and for the downwards only the red candles are. To the best of my knowledge, this technique had been introduced by HeWhoMustNotBeNamed in his "Supertrend - Ladder ATR" publication where the different types of volatility helped to improve the "trend reversal" conditions compared to the "Supertrend" indicator. However, the actual "Ladder ATR" values were hard to see. This indicator shows the actual upward and downward volatility making it easy to reason about long and short price moves and potential biases in each direction. In layman's terms this indicator "Ladder ATR" is to the "Supertrend - Ladder ATR" what the "Average True Range" indicator is to the "Supertrend" indicator.
Hey. Thanks for the mention and making use of libraries :)
jason5480
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Thank you for the inspiration @HeWhoMustNotBeNamed and the useful set of libraries you provide to the community! If I do not find a common functionality in the standard library then the search bar in your profile is the place I will find what I want :D. For this script that I consider it "simple", regarding the developer skills someone needs to write it, might not be that profound, but for larger scripts your libraries make a HUGE difference. Keep it up!