ATR Code

[mini]

Hi, can someone help to rewrite the ATR Code not using the "AggregationPeriod.DAY" in the script but it will show the same daily ATR value in the chart since the scanner not allowed to scan the study in the aggregationPeriod. min. Thank you.


plot ATR = MovingAverage(averageType, TrueRange(high(period = AggregationPeriod.DAY), close(period = AggregationPeriod.DAY), low(period = AggregationPeriod.DAY)), length);

 

[Joshua]

You want to know the daily average true range while scanning the one minute time frame?

 

[mini]

You want to know the daily average true range while scanning the one minute time frame?

yes

 

[Joshua]

Post the entire script.

 

[mini]

Post the entire script.

https://usethinkscript.com/threads/daily-atr-support-resistance-lines-for-thinkorswim.3633

This is the indicator. How to make a scanner to scan when one min candles cross above or below the daily ATR support and resistance lines? Thank you!

 

[Joshua]

The scanner doesn't really operate in real time like that, it will only give you periodic updates every several minutes. One minute candles are a bit of a problem in that sense, especially if you want to be alerted the exact moment it happens. Would you settle for stocks which are just beyond either extreme of the ATR? That's doable.

 

[mini]

The scanner doesn't really operate in real time like that, it will only give you periodic updates every several minutes. One minute candles are a bit of a problem in that sense, especially if you want to be alerted the exact moment it happens. Would you settle for stocks which are just beyond either extreme of the ATR? That's doable.

How about scan in 5 min or 10 min candles?

 

[Joshua]

That's more doable. The second issue is that the scanner does not accept secondary aggregations. I would need to reconstruct the daily data from within the intraday data, and calculate the ATR manually from there. Although it may sound simple, this is actually a very difficult script to complete due to the limitations of the scanner. The scanner also only goes back so far into price history on smaller time frames, in this case, its only 15 days, So, it would have to be the 15 day ATR.

I would need to know if these limitations are acceptable to you. I would also like to ask you whether or not you're actually committed to using it, and please be honest. If you're just going to play around with it for a little while and then go try something else, its really not worth the trouble.

 

[mini]

That's more doable. The second issue is that the scanner does not accept secondary aggregations. I would need to reconstruct the daily data from within the intraday data, and calculate the ATR manually from there. Although it may sound simple, this is actually a very difficult script to complete due to the limitations of the scanner. The scanner also only goes back so far into price history on smaller time frames, in this case, its only 15 days, So, it would have to be the 15 day ATR.

I would need to know if these limitations are acceptable to you. I would also like to ask you whether or not you're actually committed to using it, and please be honest. If you're just going to play around with it for a little while and then go try something else, its really not worth the trouble.

These limitations are acceptable as long as it can calculate the daily ATR. I only need the ATR length = 14. I try to fix secondary aggregation did not allowed in scanner for a long time. Thank you so much for your help!

 

[Joshua]

I wrote a script to determine the number of bars available on a given aggregate relative to the number of those bars in a day. If there is not enough data, then no results will be found. If there is enough data, it will simply populate the results with the first symbols it encounters. This basically creates a form of yes/no output for testing.

declare lower;
Input Length = 14;
def Agg = GetAggregationPeriod();
def Date = GetYYYYMMDD();
def Start = RegularTradingStart(Date);
def End = RegularTradingEnd(Date);
def GetRegBars = (End - Start) / Agg;
def RegLength = GetRegBars * Length;
def EnoughBars = if !isnan(getvalue(close,-RegLength)) then yes else EnoughBars[1];
plot Scan = EnoughBars;

On the 30 minute aggregation, it only appears to be able to access 9 days worth of data. On the 15 minute aggregation, that number drops down to 5 days. This is a bit confusing, because all aggregations between 1 and 30 minutes are documented as having access to the same length of data in days. It is also measured in astronomical days, which I believe is their way of saying calendar days, my mistake.

There isn't enough intraday data available in the scanner to reconstruct the 14-Day ATR from within the intraday data.

 

[mini]

I wrote a script to determine the number of bars available on a given aggregate relative to the number of those bars in a day. If there is not enough data, then no results will be found. If there is enough data, it will simply populate the results with the first symbols it encounters. This basically creates a form of yes/no output for testing.

declare lower;
Input Length = 14;
def Agg = GetAggregationPeriod();
def Date = GetYYYYMMDD();
def Start = RegularTradingStart(Date);
def End = RegularTradingEnd(Date);
def GetRegBars = (End - Start) / Agg;
def RegLength = GetRegBars * Length;
def EnoughBars = if !isnan(getvalue(close,-RegLength)) then yes else EnoughBars[1];
plot Scan = EnoughBars;

On the 30 minute aggregation, it only appears to be able to access 9 days worth of data. On the 15 minute aggregation, that number drops down to 5 days. This is a bit confusing, because all aggregations between 1 and 30 minutes are documented as having access to the same length of data in days. It is also measured in astronomical days, which I believe is their way of saying calendar days, my mistake.

There isn't enough intraday data available in the scanner to reconstruct the 14-Day ATR from within the intraday data.

Thank you so much! How to add your code to this script ?

plot ATR = MovingAverage(averageType, TrueRange(high(period = AggregationPeriod.DAY), close(period = AggregationPeriod.DAY), low(period = AggregationPeriod.DAY)), length);

 

[Joshua]

I don't think you understand. It is not possible to make the script to your specifications.

The code I posted is just the code I used to discover that the scanner is even more limited than I previously believed.

 

[mini]

I don't think you understand. It is not possible to make the script to your specifications.

The code I posted is just the code I used to discover that the scanner is even more limited than I previously believed.

I don't think you understand. It is not possible to make the script to your specifications.

The code I posted is just the code I used to discover that the scanner is even more limited than I previously believed.

Thank you so much for your help!