The Average True Range is a statistical indicator used to measure the market volatility created by Welles Wilder and described for the first time in 1978, from his book "New Concepts in Technical Trading Systems".
In general, the ATR is a gauge of volatility and is calculated as a moving average of the amplitude of the prices of a particular period.
True Range and Average True Range
The average true range is a moving average (Average) of the true range of the last "N" periods (generally 14 days).
- The True Range is defined as the difference between:
The maximum and the minimum today,
The maximum of today and yesterday's close,
the minimum of today and the closure of yesterday.
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