This indicator was originally developed by Jayanthi Gopalakrishnan (Stocks & Commodities, V.19:1 (January, 2001): "Gopalakrishnan Range Index").
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This indicator builds on the idea of the Average True Range (ATR) as a way of measuring volatility. It uses two different ATRs to show a shift in market volatility.
It is mainly composed of two moving averages of ATR. One fast moving, which looks back at the previous 5 periods. One slow moving, which looks back at the previous 21 periods. Both ATRs have been...