TL;DR. The Average Daily Range (ADR) is the mean of the last N completed days' ranges, high minus low. AlgoLift draws it from today's open as a line above and a line below, so you can see how far a typical day travels and where today's move may run out.
What it measures
- A day's usual reach. If ES has averaged 60 points a day for a week, a day that has already travelled 60 points from its low has done a normal day's work.
- Targets and stops sized to the market. A target at half the ADR adapts to quiet and busy weeks without a fixed number of points.
- The day, not the bar. Unlike ATR, which averages each bar's range, ADR averages whole days, so it does not change with your chart's bar length.
Formula
Inputs in AlgoLift
| Setting | Default | Range | Notes |
|---|---|---|---|
| Days | 5 | 1 to 100 | How many completed days the average covers. 5 (a week) is the common day-trading ADR; 10, 14 and 20 are the other usual choices. |
| Day | Full trading day | Full trading day, Regular hours | Whose ranges are averaged and whose open the lines start from. Crypto and forex have no regular hours, so the regular-hours day stays empty there. |
| Projection | Open ± ADR | Open ± ADR, Open ± ADR / 2, From the extremes | Where the two lines are drawn. |
Outputs in AlgoLift
| Handle | Type | Plotted | Notes |
|---|---|---|---|
| ADR High | Numeric | Always | The projection above, in price units, drawn dashed over the candles. |
| ADR Low | Numeric | Always | The projection below. |
| ADR | Numeric | On select | The average daily range itself, in price units, in its own panel. Read it to size a stop or a target. |
How to read it
- Price reaching ADR High or ADR Low: the day has travelled a typical day's distance from its open. Continuation beyond it is less likely on an ordinary day and more likely on a news day.
- From the extremes, the lines meeting price: with that projection, ADR High is where a typical day would top out if today's low holds. Once the day's range equals the ADR the two lines cross price's range.
- ADR rising week on week: the market is getting busier, so fixed-point stops are getting tighter in real terms.
Best in, worst in
Best in range days and intraday mean reversion, where moves tend to stall near a day's usual reach.
Worst in trend days and news days, which run well past the average. A rule that fades every touch of ADR High pays for those days in full.
Three setups
1. Fade the stretched day
Short when price trades above ADR High and a reversal signal confirms (for example a bearish Crossover of a fast average), with a stop a fraction of the ADR above the high. The rule waits for the day to be stretched before fading it.
2. Targets sized by the day
Wire the ADR output into a Math node, multiply by 0.5, and use the result as the target distance of a Bracket Order. On a quiet week the target shrinks, on a busy week it grows.
3. Skip late entries
Compare today's range so far (Price History's session high minus its low) with the ADR, and allow new entries only while the range is below 80% of it. Late in a full day, there is little typical distance left to capture.
Common mistakes
- Treating the line as a wall. About half of days go past their average. Pair the line with a reason to fade.
- Mixing the two days. A regular-hours ADR on futures is smaller than the full-day ADR; projecting it from the 18:00 open puts the lines in the wrong place. Pick one day and keep it.
- Too few days. One or two days' ranges swing wildly. 5 to 20 is the usual span.
The ADR is a typical day's high-to-low reach, drawn from today's open. It sizes targets and stops to the market and marks how stretched a day is, but about half of all days go past it.