Chaikin Volatility

Chaikin volatility, from Marc Chaikin, ignores the close and the gap. It tracks the high-low range, smooths it, and reports how much that smoothed range has changed over N bars. A rising reading means ranges are expanding. A falling reading means they are contracting. It will miss a gap that does not widen the bar's own high-low, which ATR will catch. That difference is the reason to know which one you plotted.

Chaikin's observation was that volatility often contracts before a break and expands as the move gets emotional. The indicator rising through zero is ranges expanding versus their own recent smoothed value. It does not choose a direction. Pair it with an accumulation tool, which was Chaikin's own pairing, or with price structure, if you want a side.

Use a deep contraction as a squeeze warning, the same idea as narrow bands, without a direction. Use an expansion after a breakout as confirmation that ranges, not just one close, participated. If Chaikin volatility is flat while price breaks, the break is a close outside a level without a wider bar, which is a weaker event.

Reading a positive value as bullish. Expansion happens in selloffs too, often more violently. Also expecting it to see overnight gaps. It cannot. The input is high minus low of each bar.

Smoothing plus a lookback means the turn in volatility shows up late, which is acceptable for a regime filter and poor for timing the first breakout bar. And a single wide bar dominates the EMA until it ages out.