RTY point value is 50$ and its daily ATR(21) is 45 45*50 is ~2250 average dollar range. Btw YM (2500) and CL (2000)
Honestly it does not much matter. Some people trade across the indeces when the setups line up their way. Others find one index and stick to it because the big momentum is virtually always happening across the indeces. I am from the latter school of thought, I stick to ES. Back in the day I did trade IWM. Now with the micro futures that's no longer necessary, but it really depends on the quality of the fills you get. These days you can get better fills with the ETFs than ages ago, in some markets it was particularly hard to short stocks. Commissions wise, micro futures are usually worse than trading the equivalent ETFs, but if you can't make the pattern day trader margin you have no choice.
Volatility can diminish the costs on a relative basis, But yeah I agree ... Volatility, or $Range, aren't the only parameters.
Back when I started trading a good day on ES would see 25 points. Nowadays it's considerably greater simply because the index itself is numerically higher. A normal stop back then for a lot of intraday stuff was 2 ES points, now it's more like 4 (all depends what style you trade of course). Hence micro contracts were introduced, the index simply got too big for many retail traders. Back then there was still the original full size SP contract, now that apparently got phased out and ES is the big dog, while MES is what ES once was for the SP crowd.
subsequently the full margin requirement is much lower. i don't know why anyone equates atr with trading profits, these two are not related.
ATR, point value and volume still give an insight into what kind of profit/loss is going on (intraday basis).
The most accurate way of putting it is increased volatility (as measured compared to previous daily ranges) is what may provide greater overall opportunities. As for 'profit and loss' that is too broad of a statement. Let's also not forget that when markets get more volatile the spreads tend to widen thus increasing transaction costs.