Why it matters for EAs
EA stop-loss distances and take-profit targets are calibrated against historical volatility. If volatility increases sharply after deployment (news events, regime change), the EA may see more stop-outs than the backtest implies.
ATR-based stops adapt to volatility automatically; fixed pip stops do not. This is the primary technical argument for ATR stops in EA design.
Volatility regimes
Markets cycle between low-volatility (range-bound) and high-volatility (trending or post-news) regimes. Strategies optimised in one regime often underperform in the other. Checking whether a backtest spans multiple volatility cycles is part of honest backtest evaluation.