True Range
True Range measures daily volatility.
Usage
Use as the foundational volatility module providing ATR, True Range, and related volatility measures used by higher-level indicators such as SuperTrend and Keltner Channels.
Background
Average True Range, developed by J. Welles Wilder in New Concepts in Technical Trading Systems (1978), measures the average of the true range over N bars. True Range accounts for overnight gaps by taking the maximum of: current high minus low, current high minus prior close, prior close minus current low. It remains the industry standard raw volatility measure.
Formula
\[
TR = \max(H - L, |H - C_{t-1}|, |L - C_{t-1}|)
\]