ATR Expected Move Indicator For ThinkOrSwim

[jonshank62]

I use this code to help determine a stock's daily move and find it very accurate. It is most accurate when used in the context of a stock's move from high to low or vice versa, not necessarily from the open. Is there 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);

 

[mashume]

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.

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

 

[jonshank62]

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.

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

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

 

[MerryDay]

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'

Hope This Helps

 

[sugarsweets313]

Hi and thank you for this! Is there a shareable link I am not seeing?

 

[MerryDay]

Hi and thank you for this! Is there a shareable link I am not seeing?

Sure, here ya go:
shared study link: http://tos.mx/0JQieL3 Click here for --> Easiest way to load shared links

FYI, given that most of the scripts on this forum do not have shared links;
you will need to learn how to cut & paste the forum studies into the ToS app.
Here is a tutorial: https://usethinkscript.com/threads/how-to-import-existing-thinkscript-code-on-thinkorswim.10/

 

[sugarsweets313]

Sure, here ya go:
shared study link: http://tos.mx/0JQieL3 Click here for --> Easiest way to load shared links

FYI, given that most of the scripts on this forum do not have shared links;
you will need to learn how to cut & paste the forum studies into the ToS app.
Here is a tutorial: https://usethinkscript.com/threads/how-to-import-existing-thinkscript-code-on-thinkorswim.10/

Thank you so much! I did have to figure that out lol!

 

[Ramisegal]

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.

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

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);

 

[hboogie]

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 ?

 

[Ramisegal]

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

Change the showlabels to 1

 

[swellcat]

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.

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

____________

The label values are coming up "N/A" here. Any idea what's wrong?

Thanks.

 

[mashume]

____________

View attachment 24678

The label values are coming up "N/A" here. Any idea what's wrong?

Thanks.

For whatever reason, there is not implied volatility for that symbol. That's beyond my ability to reason through.
-mashume

 

[Carl-not-Karl]

For whatever reason, there is not implied volatility for that symbol. That's beyond my ability to reason through.
-mashume

EPSM does not have options.

 

[chewie76]

Looks really interesting. A midline also is interesting. Just add this code.

plot midbound = (upperbound - lowerbound)/2 + lowerbound;

 

[hboogie]

Looks really interesting. A midline also is interesting. Just add this code.

plot midbound = (upperbound - lowerbound)/2 + lowerbound;

View attachment 24897

Thank you!

By chance , is the indicator you use in the chart above to color the candles , presumably, based on trend publicly available ?

Thanks!

 

[chewie76]

Thank you!

By chance , is the indicator you use in the chart above to color the candles , presumably, based on trend publicly available ?

Thanks!

That can be found in this link.
Post in thread 'Rahul Mohindar Oscillator (RMO) Indicator for ThinkorSwim'
https://usethinkscript.com/threads/...-rmo-indicator-for-thinkorswim.58/post-138172

 

[Headhunter20]

on my chart, on any time frame, my chart does not look like the one (s) above.

 

[useThinkScript]

on my chart, on any time frame, my chart does not look like the one (s) above.

You are correct. Everyone's chart will appear differently.
This is an advanced indicator. Read through this ENTIRE thread for more information.