I love the ATR but...

Could the average daily range (ADR) be what you're looking for...
Some sources indicate that ADR is like the ATR but doesn't include the gaps. One site defined them as "Average True Range is just an arithmetic mean of the True Ranges for the N last candles. Average Daily Range is an arithmetic mean of of the Daily Ranges for the N last candles."

Short discussion at https://www.earnforex.com/forum/threads/atr-v-adr.24818/

 

This is what I'm using now but it seems a little too simplistic.

 

Why divide by 16?

 

sqrt of 252 rounded to 16. vol is prop to the sqrt of time.

 

Got it.

 

I settled on median(H-L,14). This seems to be more in line with what is relevant to me. Now to find all the talib.ATR calls.

Edit: hey look at that, only one. Almost as if I'm a decent programmer.