Most charting packages include ATR and it is useful, although not as an indicator. As people have already said, this just gives you the average range that a currency moves in a day.
So when is this useful? Its probably most useful for those traders new to the forex world, and sometimes even people that have been in it for a couple years. The reason why I say this, is because if you are trying out a new theory, or strategy, or just starting off trading, you will want to play a currency that has a small ATR. This way price will not move on you and be very volatile. Every currency pair can have high volatility or low volatility so the ATR is useful to know when you want to be cautious in the forex markets.
Just my two cents Best of luck with your trading this week!
There are completely valid reasons for using ATR/ADR in forex.
The main reason being you would not want to enter a day trading position when the pair has already reached its ADR value because the movement of price is likely exhausted.
ADR, as 'Shane' has noted, does not include the gaps. ATR includes the gaps.
ATR is a VERY valid indicator for ANY market. ATR is widely used to calculate stop loss values (and your stops therefore are volatility adjusted which is a FAR better method for calculating stop loss values than using the same fixed value all of the time).
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Many traders use ATR as a filter for market conditions. For example, if you have a ranging strategy, the range signal is invalid if ATR exceeds a certain level and becomes too volatile which may indicate a trend.