I love the ATR but...

nooby_mcnoob said:
Is there a measurement of intraday volatility that people use? The problem I have with daily ATR as colloquially defined is that it looks at the previous close and certain assets that shall remain unnamed gap up and down with alarming frequency, enough to make ATR not as useful as otherwise.

I want something as simple as the ATR, but restricted to intraday movements somehow.
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Could the average daily range (ADR) be what you're looking for...
Some sources indicate that ADR is like the ATR but doesn't include the gaps. One site defined them as "Average True Range is just an arithmetic mean of the True Ranges for the N last candles. Average Daily Range is an arithmetic mean of of the Daily Ranges for the N last candles."

Short discussion at https://www.earnforex.com/forum/threads/atr-v-adr.24818/
 
Slope Trader said:
Could the average daily range (ADR) be what you're looking for...
Some sources indicate that ADR is like the ATR but doesn't include the gaps. One site defined them as "Average True Range is just an arithmetic mean of the True Ranges for the N last candles. Average Daily Range is an arithmetic mean of of the Daily Ranges for the N last candles."

Short discussion at https://www.earnforex.com/forum/threads/atr-v-adr.24818/
More...

This is what I'm using now but it seems a little too simplistic.
 
I settled on median(H-L,14). This seems to be more in line with what is relevant to me. Now to find all the talib.ATR calls.

Edit: hey look at that, only one. Almost as if I'm a decent programmer.
 
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