Why doesn't the True Range take into account the Previous Day's high vs the next day's close (or other combinations for that matter)? If it is meant to find how much the market's max movement was over 24 hours then it is failing by including only the 3 normally included absolute differences. |today's high - today's low| |yesterday's close - today's high| |yesterday's close - today's low|
Because yesterday's high is more than 24 hours in the past. The True Range is supposed to cover 1 bar, and thus can not use earlier prices than yesterday's close.
If you think it will be useful, then why not just calculate your own range and use it? It is a trivial exercise to implement and it can be done using only daily bar data.
Because the concept is to factor in the opening gap to determine today's true max range, which is why yesterday's close is used. Idea developed before we had Globex etc, so think of it as ATR for RTH.
Because by definition, the range and true range is a metric of the daily price range. If you feel that adding the complete range of the prior day is useful for your studies, you may have to write your own indicator or calculate it in a spreadsheet or similar. OHLC data is all you need.
http://www.investopedia.com/articles/trading/08/average-true-range.asp#axzz1oyzz6n2E Background and an explanation of why the opening gaps were deemed important.