Average True Range (ATR)

Average True Range

ATR (Average True Range) is a technical indicator that measures price volatility of a security. It improves the more widely used Range, which is simply the difference between the highest and lowest price in a particular period. While (traditional) Range does not account for price changes between time periods (days or bars) in any way, ATR does, which makes ATR a better measure of price volatility in some cases (especially for markets which tend to make opening gaps often).