True Range

A volatility calculation developed by Welles Wilder that modifies the standard range calculation by accounting for gaps between price bars. True Range is defined as the largest value (in absolute terms) of:

  1. today’s high and today’s low (the standard daily range calculation);
  2. today’s high and yesterday’s close;
  3. today’s low and yesterday’s close.

Average True Range (ATR) is simply a moving average of true range calculated over N days. True range and average true range are common volatility measurements.