Definition
A measure of how much a market typically moves per period, averaged over a set number of periods, often 14. It measures size, not direction.
The story
If the daily ATR for NQ (E-mini Nasdaq-100 futures) is 400 points (an example number), a typical recent day has covered about 400 points from high to low, counting gaps from the day before. Traders use it to judge whether today's move is ordinary or unusual, and some use it to gauge how much room normal swings take up. It was created by J. Welles Wilder, who also created RSI (Relative Strength Index).
Why you'll see it
It's one of the most common ways to measure volatility on a chart.
Connects to
We explain why it moves markets. What you do with it is your call. Commentary and education only. Not financial advice. All terms