Filtered ATR

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This script defines an average true range where extreme events are filtered out.
Extreme events are those bars with a true range larger than 3*sigma+average,
where average and standard deviation are estimated from the last 200 bars.
In this way the ATR is not altered by exceptional events (e.g. the flash crash of Jan 3rd 2019)
and can still be used safely for Stop Losses and Take Profits.

Hitting the like button is a free sign of gratitude, thanks.
Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

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I dig. Good work and thanks for your contribution to the NNFX group. I really wanna know what VP thinks about Trading View, myself. Dont wanna waste my question on it though.

P.S. TV has a TSI and a PMO indicator that I use as extra confluence for trend. Might check them out.
vitelot OhTheFuture
@OhTheFuture, thanks! I just published another useful (hopefully) indi, the "New Choppiness Index".
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