Well simply put, the “high to low” is very simply the difference of the high and the low of the day. Here is a pic of eurusd, 1H. You can see from the vertical lines (white) when the day started and ended. You see here a high of 1.4118 and a low of 1.3983.
4118 – 3983 = 135
Now if you take the ATR indicator on a daily chart and set it to 1 (one day) as I did in the previous post, it will give you the exact same value of 135.
So the “high to low” and the ATR (daily, set to 1) both give us the value of the range from high to low for the last day.
The Average Daily Range, for its part, is a bit more complicated. Here is the code:
R1 = (iHigh(NULL,PERIOD_D1,1)-iLow(NULL,PERIOD_D1,1))/Point;
for(i=1;i<=5;i++)
R5 = R5 + (iHigh(NULL,PERIOD_D1,i)-iLow(NULL,PERIOD_D1,i))/Point;
for(i=1;i<=10;i++)
R10 = R10 + (iHigh(NULL,PERIOD_D1,i)-iLow(NULL,PERIOD_D1,i))/Point;
for(i=1;i<=20;i++)
R20 = R20 + (iHigh(NULL,PERIOD_D1,i)-iLow(NULL,PERIOD_D1,i))/Point;
R5 = R5/5;
R10 = R10/10;
R20 = R20/20;
RAvg = (R1+R5+R10+R20)/4;
The indic « fine tunes » the data, using a geometric mean or an exponential average as opposed to a straight average.
You can calculate this in Excel:
The ATR for Friday is 135, for the last 20 days it comes out to 173. The ADR for the same period comes out to 156.
Hope this helps and I haven't confused you more! Google both terms and you should get some more detailed explanations.
Happy trading,