← Volatility & statistics
High-low volatility
A simpler volatility reading based directly on the size of the high-low range each period.
What the numbers mean
period varies
The setting is the lookback over which the high-low ranges are averaged or compared. Unlike ATR it does not account for gaps between sessions.
- Period — the lookback over which ranges are averaged
- Based purely on high minus low, so overnight gaps are excluded
How it is used
A quick read on how wide the typical bar has been, used when a simple range measure is enough and gap behaviour does not matter.
- A quick read on how wide the typical bar has been
- Useful where gap behaviour genuinely does not matter, such as intraday
How it relates to everything else
This is ATR's simpler ancestor. On anything that gaps — which is most equities — it understates true volatility, which is exactly the problem true range was invented to fix.
- ATR is this plus gap handling
- Understates risk on gapping instruments
- Fine for intraday, weak across overnight sessions
What to watch for
Ignoring gaps understates true volatility in anything that moves overnight, which is most equities.