ATR (average true range)

A volatility measure equal to the rolling average of the true range, where true range is the greatest of the current high-low, the high-to-previous-close, and the low-to-previous-close. It is the standard proxy for an instrument’s recent volatility in position sizing and stop placement.

First used in Lesson 2.6 · Position sizing and risk: how much, and how not to blow up — the lesson that makes this term real.