Quantified High vol vs low vol

I've been pondering ways to quantify high volatility and low volatility as a filter for multiple systems. I mainly gravitated toward the ATR whenever it comes to volatility for stops/exits & entries but since this is not a range bound oscillator you cannot determine any set #s as a threshold for high or low vol.

I have used the ADX with success but this is not necessarily the best vol indicator. Its best mainly for ADX>20 to find market turning points or tightly range bound markets.

What is/are some robust techniques for quantifying high vs low volatility trading environments?

Why not? Fro example... above 50 = high volatility, bellow 30 = low, medium or whatever you want. It just would be with different levels for every pair due to the different currencies' nature. I think it should be possible to determine some level of volatility like this, but it might not be the most accurate method.

As to ADX... I never wondered how this indicator worked so i don' really know what it shows on the chart.

Have you tried doing it with a volume indicator? (not nessecarily the original one in the MT4 platform)

Emil

P.S. I hope i'm not blabbing stupidity, but it is just ideas that came to mind.

Fine turning specific levels for each pair is an optimization and the opposite, in fact, of a robust measurement meaning a single parameter should would work on anything (Like RSI>75). ATR also changes ever year so the ATR levels would have to constantly be evolved. By making an EA and quantifying ATR what I am trying to remove is discretionary elements or over optimizing. Pick numbers of optimizing to them wouldn't work.

Yes I've been thinking about using the volume indicator with a moving average since MT4 volume usually has very similar results to ATR actually.

Thank you for the reply.

What about a long period Bollinger Band, like BB200, of the ATR? You still need to define how many stddev mean "big" but this will be the same for any pair and any TF.

Yes, the most common proprietary volatility filter is pretty much that. % deviation of historical ATR or Average of ATR.