Average True Range (ATR, Wilder)

Measures: how far this instrument actually moves per bar, gap-inclusive. ATR is the engine's unit of distance — every buffer, cap, and projection is denominated in it so that the same logic works identically on a $9 ticker and a $900 one.

Formula:

TR_t  = max( H_t − L_t,
             |H_t − C_(t−1)|,
             |L_t − C_(t−1)| )

ATR seeded as simple mean of first n TRs, then:
ATR_t = (ATR_(t−1) × (n−1) + TR_t) / n

Parameters: n = 14.

How Thresher uses it: stop buffer (0.45×ATR beyond structure), stop bounds (0.8× floor, 2.2× cap), target projection (2.5×ATR), pivot-zone merging tolerance (0.5×ATR). ATR never votes on direction — it only sizes distances.

Limitations: ATR is backward-looking; volatility regime shifts (earnings, macro events) blow through it. This is exactly why gate G5 vetoes trades into earnings windows rather than trusting ATR-sized stops through them.

---