Average True Range (ATR) is a technical indicator used in technical analysis by most traders. This Indicator developed by J. Welles Wilder in 1978, created for the commodity markets. Nowadays it’s widely used in Forex market.

Wilder started with a concept called True Range (TR) which is defined as the greatest of the following:
- The 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

If the current high-low range is large, chances are it will be used as the True Range. If the current high-low range is small, it is likely that one of the other two methods would be used to calculate the True Range.

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From Wikipedia
Average True Range (ATR) is a technical analysis indicator developed by J. Welles Wilder, based on trade between smoothed by an N-day exponential moving average. The range of a day trading is simply high – low. (full article)

From Investopedia
Wilder originally developed the ATR for raw materials, but the indicator can also be used for equities and indices. Simply put, a joint stock company with a high degree of volatility will have a higher ATR, and a low stock volatility have a lower ATR. (full article)

From Stockcharts
Developed by J. Welles Wilder and introduced in his book, New Concepts in Technical Trading Systems (1978), the Average True Range (ATR) indicator measures a security’s volatility. (full article)