ATR, True Range and N
How True Range, ATR and N describe market volatility in Turtle-style position sizing and stops.
ATR and N are volatility tools. They help the system compare markets that move at different speeds.
True Range
True Range considers not only the current high-low range but also gaps from the previous close. This makes it more useful than a simple daily range when markets jump between sessions.
ATR and N
Average True Range smooths True Range over a lookback period. Turtle-style N is closely related: it represents typical market movement and is used in position sizing, stop placement and pyramiding intervals.
Why not use a fixed percentage?
A fixed percentage may be too tight in a volatile market and too loose in a calm one. Volatility-based risk adapts the system to the market’s current movement size, though it cannot eliminate extreme gap or liquidity risk.