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ATR is an indicator that measures volatility. Developed and introduced By Welles Wilder in his book:
“New Concepts in Technical Trading Systems”
The true range indicator is the greatest of the following:
- Current high less the current low.
- The absolute value of the current high less the previous close.
- The absolute value of the current low less the previous close.
The ATR is a moving average of the true ranges, based on 14 periods and can be calculated on an intraday, daily, weekly or monthly basis.
Average True Range in algo-trading (With Expert advisor)
Average True Range is an indicator meant to calculate the volatility of commodities, that suffers from gaps and limit moves. Therefor an EA the uses ATR would be the best tools when dealing with commodities.
Volatility Ratio as it looks inside the mt4 metatrader
Image was taken from – http://stockcharts.com/