The Average True Range
(ATR) is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems.
The true range indicator is the greatest of the following:
-current high less the current low.
-the absolute value of the current high less the previous close.
-the absolute value of the current low less the previous close.
The average true range is a moving average (generally 14-days) of the true ranges.
Read more: Average True Range (ATR) Definition http://www.investopedia.com/terms/a/atr.asp
See also: Average Daily Range