Range compression percentile - indicator for MetaTrader 5

The idea behind it

The usual way to gauge "is today quiet or wild" is Average Daily Range percent — today's range divided by the average of the last N days. That's useful, but it only compares against the mean, which hides the shape of the distribution: a market that's mostly calm with occasional huge spike days will have an inflated average that makes ordinary compressed days look less extreme than they actually are. This indicator answers a sharper question instead: out of the last N completed periods, what percentage had a smaller range than today's range so far? That's a genuine percentile rank, built directly from the empirical distribution of historical ranges rather than a single average figure — the same idea used in statistics to describe where an observation falls within its own distribution, applied here to volatility.

Tight statistical compression (a low percentile) often precedes range expansion, which is why compression readings are commonly watched ahead of breakout setups; conversely a very high percentile flags a day that has already moved further than nearly all of its historical peers, which changes how much room may realistically be left.

How to interpret it

• Percentile value — the percentage of the last InpLookbackPeriods completed periods whose full range was smaller than the current period's range so far. 12% means today's range so far is smaller than 88% of the last 100 days.
• COMPRESSED (default blue) — percentile at or below InpCompressionPercentile; the current period is unusually quiet relative to its own history.
• EXPANDED (default red) — percentile at or above InpExpansionPercentile; the current period has already moved further than most of its historical peers.
• NORMAL (default silver) — anywhere between the two thresholds — an ordinary, unremarkable range so far.
• The gauge bar — a simple visual scale from 0 to 100; the marker's position along the track is the percentile itself, so compression and expansion are visible at a glance without reading the exact number.

External variables (inputs)

Recommended use

Works on any symbol; the percentile is calculated purely from that symbol's own historical range distribution, so it self-calibrates to whatever volatility regime the instrument is currently in without needing manual recalibration. InpRangePeriod does not need to match the chart's own timeframe — a Daily range percentile can be read from an M15 chart just as easily as from a D1 chart, since the calculation pulls its own data directly via CopyRates() .

A percentile is a description of where today sits relative to its own history, not a prediction — a COMPRESSED reading raises the odds of expansion but does not guarantee it, and an EXPANDED reading does not mean the move is finished. This indicator only reads price data and never places, modifies, or closes any order, so it is safe to run on any account type.

This indicator draws only through its own panel objects and creates no per-bar chart clutter, so it is safe to run alongside any number of other overlays. All chart objects are created under a single internal name prefix and are fully removed via ObjectsDeleteAll() in OnDeinit() when the indicator is detached, so it leaves nothing behind on the chat