ATR Expected Move Indicator For ThinkOrSwim

jonshank62

New member
I use this code to help determine a stocks daily move and find it very accurate.
It is most accurate when used in the context of a stocks move from high to low
or vice versa not necessarily from the open.
Is their a good way to turn this into a study ?.


input ATRLength = 5;
def ATR = Round(AvgTrueRange(high, close, low, ATRLength), 2);
def iv = Round(close() * (imp_Volatility()/15.87), 3);
addLabel(yes,concat("ATR=", ATR), color.Blue);
addLabel(yes,concat("ExpM=", iv), color.Blue);
 

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So if I took a good guess, this is what I have come up with:
The ATR and iv are based on daily prices.
The upper and lower bounds are determined by intraday highs and lows, with the upper bound being the low of the day + the iv and the lower bound being the high of the day - the iv. This makes a very interesting plot.

Code:
input ATRLength = 5;

input start_time = 0930;

def h = high(period = AggregationPeriod.DAY);
def l = low(period = AggregationPeriod.DAY);
def c = close(period = AggregationPeriod.DAY);

def ATR = Round(Average(TrueRange(h,  c,  l),  ATRLength), 2);
def iv = Round(c * (imp_volatility(period = AggregationPeriod.DAY) / 15.87), 3);
AddLabel(yes, Concat("ATR=", ATR), Color.BLUE);
AddLabel(yes, Concat("ExpM=", iv), Color.BLUE);

def Start = if secondsFromTime(start_time) >= 0 and secondsFromTime(start_time)[1] < 0 then 1 else 0;
def dayHigh = if start == 1 then high else if high > dayHigh[1] then high else dayHigh[1];
def dayLow = if start == 1 then low else if low < dayLow[1] then low else dayLow[1];

plot upperbound = dayLow + iv;
plot lowerbound = dayHigh - iv;

very interesting idea. seems to track fairly well at least on /ES and /CL

-mashume

UNoRcW6.png
 
So if I took a good guess, this is what I have come up with:
The ATR and iv are based on daily prices.
The upper and lower bounds are determined by intraday highs and lows, with the upper bound being the low of the day + the iv and the lower bound being the high of the day - the iv. This makes a very interesting plot.

Code:
input ATRLength = 5;

input start_time = 0930;

def h = high(period = AggregationPeriod.DAY);
def l = low(period = AggregationPeriod.DAY);
def c = close(period = AggregationPeriod.DAY);

def ATR = Round(Average(TrueRange(h,  c,  l),  ATRLength), 2);
def iv = Round(c * (imp_volatility(period = AggregationPeriod.DAY) / 15.87), 3);
AddLabel(yes, Concat("ATR=", ATR), Color.BLUE);
AddLabel(yes, Concat("ExpM=", iv), Color.BLUE);

def Start = if secondsFromTime(start_time) >= 0 and secondsFromTime(start_time)[1] < 0 then 1 else 0;
def dayHigh = if start == 1 then high else if high > dayHigh[1] then high else dayHigh[1];
def dayLow = if start == 1 then low else if low < dayLow[1] then low else dayLow[1];

plot upperbound = dayLow + iv;
plot lowerbound = dayHigh - iv;

very interesting idea. seems to track fairly well at least on /ES and /CL

-mashume

UNoRcW6.png

Looks good but is their a way to not plot the zero line bottom of chart it shrinks the chart makes it hard to see
 
This is one of my new favorite indicators!
But depending on the instrument, you can experience some extreme plots.
Which, as you have seen, can mess up your chart if you have certain settings turned on.

In answer to your question:
There is no zero line.
BUT the expected move lines can experience extreme plots.

In order for your chart to not be squished due to these extremes, you need to turn off the following settings:
1. click on the gear next to the flask at the top of the chart.
2. click on price axis tab
3. unclick any / all boxes on the left-hand side that say 'fit'
umQWv03.png

Hope This Helps
 
Last edited:
So if I took a good guess, this is what I have come up with:
The ATR and iv are based on daily prices.
The upper and lower bounds are determined by intraday highs and lows, with the upper bound being the low of the day + the iv and the lower bound being the high of the day - the iv. This makes a very interesting plot.

Code:
input ATRLength = 5;

input start_time = 0930;

def h = high(period = AggregationPeriod.DAY);
def l = low(period = AggregationPeriod.DAY);
def c = close(period = AggregationPeriod.DAY);

def ATR = Round(Average(TrueRange(h,  c,  l),  ATRLength), 2);
def iv = Round(c * (imp_volatility(period = AggregationPeriod.DAY) / 15.87), 3);
AddLabel(yes, Concat("ATR=", ATR), Color.BLUE);
AddLabel(yes, Concat("ExpM=", iv), Color.BLUE);

def Start = if secondsFromTime(start_time) >= 0 and secondsFromTime(start_time)[1] < 0 then 1 else 0;
def dayHigh = if start == 1 then high else if high > dayHigh[1] then high else dayHigh[1];
def dayLow = if start == 1 then low else if low < dayLow[1] then low else dayLow[1];

plot upperbound = dayLow + iv;
plot lowerbound = dayHigh - iv;

very interesting idea. seems to track fairly well at least on /ES and /CL

-mashume

UNoRcW6.png
Resembles Mobius scriptlet...
I use it as a chop indicator.

input FractalCalculationsLength = 13; #hint FractalCalculationsLength: Periods or Length for the fractal calculations
input Periods_for_the_Smoothed_Signal_Line = 5; #hint Periods_for_the_Smoothed_Signal_Line: Periods for the Smoothed Signal Line.

def IV = if IsNaN(imp_volatility(period = AggregationPeriod.DAY))
then IV[1]
else imp_volatility(period = AggregationPeriod.DAY);
def HTH = Highest(Max(high, close[1]), FractalCalculationsLength);
def LTL = Lowest(Min(low, close[1]), FractalCalculationsLength);
def CIb = (((close * IV) / (HTH - LTL)) / Log(10));
def CI = WildersAverage(CIb, Periods_for_the_Smoothed_Signal_Line);

AddLabel(ShowLabels , if CI < CI[1] then "Trending" else "Choppy", if CI < CI[1] then Color.GREEN else Color.RED);
 
Resembles Mobius scriptlet...
I use it as a chop indicator.

input FractalCalculationsLength = 13; #hint FractalCalculationsLength: Periods or Length for the fractal calculations
input Periods_for_the_Smoothed_Signal_Line = 5; #hint Periods_for_the_Smoothed_Signal_Line: Periods for the Smoothed Signal Line.

def IV = if IsNaN(imp_volatility(period = AggregationPeriod.DAY))
then IV[1]
else imp_volatility(period = AggregationPeriod.DAY);
def HTH = Highest(Max(high, close[1]), FractalCalculationsLength);
def LTL = Lowest(Min(low, close[1]), FractalCalculationsLength);
def CIb = (((close * IV) / (HTH - LTL)) / Log(10));
def CI = WildersAverage(CIb, Periods_for_the_Smoothed_Signal_Line);

AddLabel(ShowLabels , if CI < CI[1] then "Trending" else "Choppy", if CI < CI[1] then Color.GREEN else Color.RED);


This is interesting but getting an error on the last line of code saying "showlabels" doesn't exist ?
 

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