ATR Percentile Rank Indicator for ThinkorSwim

[BenTen]

@diazlaz was kind enough to help me port this version of ATR Percentile Rank from TradingView over to ThinkorSwim. I thought it was interesting.

CM ATR PercentileRank - Great For Showing Market Bottoms.

When Increased Volatility to the Downside Reaches Extreme Levels it’s Usually a Sign of a Market Bottom.

This Indicator Takes the ATR and uses a different LookBack Period to calculate the Percentile Rank of ATR Which is a Great Way To Calculate Volatility

Be Careful Of Using w/ Market Tops. Not As Reliable.


***Ability to Control ATR Period and set PercentileRank to Different Lookback Period

***Ability to Plot Histogram Just Showing Percentiles or Histogram Based on Up/Down Close

Fuchsia Lines = Greater Than 90th Percentile of Volatility based on ATR and LookBack Period.
Red Lines = Warning — 80-90th Percentile
Orange Lines = 70-80th Percentile

For this ToS version:

• Magenta = Greater than 90th Percentile
• Orange = 70-80th
• Red = 80-90

thinkScript Code

#CM_ATR_Percentile for ThinkorSwim Version 1.0
#
#VERSION
# 2020.01.03 V1.0 @diazlaz - Initial Port
#
#LINK/CREDITS
#https://www.tradingview.com/script/D56mCdlz-CM-ATR-PercentileRank/
#https://www.tradingview.com/u/ChrisMoody/
#
#INSTRUCTION
#CM ATR PercentileRank - Great For Showing Market Bottoms.
#
#When Increased Volatility to the Downside Reaches Extreme Levels
#it’s Usually a Sign of a Market Bottom.
#
#This Indicator Takes the ATR and uses a different LookBack Period
#to calculate the Percentile Rank of ATR Which is a Great Way To
#Calculate Volatility
#

declare lower;

#INPUTS
input length = 5; #ATR Length
input length2 = 50; #no. of Bars the PercentileRank uses to Calculate % Values
input sn = no; #Show Normal Histogram? Uncheck = Histogram based on Up/Down Close
input paintBars = yes;
input showLabels = yes;

#LOGIC

#LABELS
AddLabel (showLabels, "ATR Percentile for ThinkorSwim Version 1.0", COLOR.ORANGE);

#//ATR and PercentileRank Calculations
def atr = Average(TrueRange(high, close, low), length);

def percentRankCount = fold i = 1 to length2 + 1 with count = 0
do
  if atr[0] > atr[i] then
    count + 1
  else
    count;

def percentRank = Round( percentRankCount / length2 * 100.0, 0);

def down = close < close[1];
def up = close > close[1];

#//Calculation for Showing Histogram based on Up/Down Close
def pctileRankFinal = if up then percentRank else if down then percentRank * -1 else Double.NaN;

#PLOTS
plot pATRRank = if(sn,percentRank,pctileRankFinal);
pATRRank.SetPaintingStrategy(paintingStrategy = PaintingStrategy.HISTOGRAM);
pATRRank.AssignValueColor(
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else
COLOR.DARK_GRAY
);
pATRRank.SetLineWeight(5);

#COLORBARS
AssignPriceColor(if paintbars then
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else COLOR.DARK_GRAY
else
COLOR.CURRENT
);

#END OF CM_ATR_Percentile for ThinkorSwim Version 1.0

 

[CashPrince]

This looks promising. I will definitely test it out.
It would be nice to have an intraday study version that adjusts automatically. Just like the volume profile for ORB indicator.

 

[BenTen]

@princesly It should work with intraday timeframe (5m, 15m, etc). You can also adjust the ATR length.

 

[CashPrince]

@BenTen, I see thanks. Where on the script can i rem out the coloring on the candlesticks? I ask because the screenshot you have here is exactly what i was expecting but the current script colors all the candlestick

 

[BenTen]

@princesly In the indicator’s settings, set paintbars to No.

 

[droskill]

PercentRank

declare lower;

def percentRankCount = fold i = 1 to length with count = 0
do
  if close[0] > close[i] then
    count + 1
  else
    count;

def percentRank = percentRankCount / length * 100;

plot PRank = percentRank;

 

[Neel2020]

Today's range is at what percentile of the previous 252 days - I have been trying to get this by modifying the above code. But I am having a difficulty. Can someone please let me know what I am missing in the below code?

I basically changed this
input length = 1; #ATR Length
input length2 = 252; #no. of Bars the PercentileRank uses to Calculate % Values

#CM_ATR_Percentile for ThinkorSwim Version 1.0
#
#VERSION
# 2020.01.03 V1.0 @diazlaz - Initial Port
#
#LINK/CREDITS
#https://www.tradingview.com/script/D56mCdlz-CM-ATR-PercentileRank/
#https://www.tradingview.com/u/ChrisMoody/
#
#INSTRUCTION
#CM ATR PercentileRank - Great For Showing Market Bottoms.
#
#When Increased Volatility to the Downside Reaches Extreme Levels
#it’s Usually a Sign of a Market Bottom.
#
#This Indicator Takes the ATR and uses a different LookBack Period
#to calculate the Percentile Rank of ATR Which is a Great Way To
#Calculate Volatility
#

declare lower;

#INPUTS
input length = 1; #ATR Length
input length2 = 252; #no. of Bars the PercentileRank uses to Calculate % Values
input sn = no; #Show Normal Histogram? Uncheck = Histogram based on Up/Down Close
input paintBars = yes;
input showLabels = yes;

#LOGIC

#LABELS
AddLabel (showLabels, "ATR Percentile for ThinkorSwim Version 1.0", COLOR.ORANGE);

#//ATR and PercentileRank Calculations
def atr = Average(TrueRange(high, close, low), length);

def percentRankCount = fold i = 1 to length2 + 1 with count = 0
do
  if atr[0] > atr[i] then
    count + 1
  else
    count;

def percentRank = Round( percentRankCount / length2 * 100.0, 0);

def down = close < close[1];
def up = close > close[1];

#//Calculation for Showing Histogram based on Up/Down Close
def pctileRankFinal = if up then percentRank else if down then percentRank * -1 else Double.NaN;

#PLOTS
plot pATRRank = if(sn,percentRank,pctileRankFinal);
pATRRank.SetPaintingStrategy(paintingStrategy = PaintingStrategy.HISTOGRAM);
pATRRank.AssignValueColor(
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else
COLOR.DARK_GRAY
);
pATRRank.SetLineWeight(5);

#COLORBARS
AssignPriceColor(if paintbars then
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else COLOR.DARK_GRAY
else
COLOR.CURRENT
);

#END OF CM_ATR_Percentile for ThinkorSwim Version 1.0

 

[AlphaOptions]

Today's range is at what percentile of the previous 252 days - I have been trying to get this by modifying the above code. But I am having a difficulty. Can someone please let me know what I am missing in the below code?

I basically changed this
input length = 1; #ATR Length
input length2 = 252; #no. of Bars the PercentileRank uses to Calculate % Values

#CM_ATR_Percentile for ThinkorSwim Version 1.0
#
#VERSION
# 2020.01.03 V1.0 @diazlaz - Initial Port
#
#LINK/CREDITS
#https://www.tradingview.com/script/D56mCdlz-CM-ATR-PercentileRank/
#https://www.tradingview.com/u/ChrisMoody/
#
#INSTRUCTION
#CM ATR PercentileRank - Great For Showing Market Bottoms.
#
#When Increased Volatility to the Downside Reaches Extreme Levels
#it’s Usually a Sign of a Market Bottom.
#
#This Indicator Takes the ATR and uses a different LookBack Period
#to calculate the Percentile Rank of ATR Which is a Great Way To
#Calculate Volatility
#

declare lower;

#INPUTS
input length = 1; #ATR Length
input length2 = 252; #no. of Bars the PercentileRank uses to Calculate % Values
input sn = no; #Show Normal Histogram? Uncheck = Histogram based on Up/Down Close
input paintBars = yes;
input showLabels = yes;

#LOGIC

#LABELS
AddLabel (showLabels, "ATR Percentile for ThinkorSwim Version 1.0", COLOR.ORANGE);

#//ATR and PercentileRank Calculations
def atr = Average(TrueRange(high, close, low), length);

def percentRankCount = fold i = 1 to length2 + 1 with count = 0
do
  if atr[0] > atr[i] then
    count + 1
  else
    count;

def percentRank = Round( percentRankCount / length2 * 100.0, 0);

def down = close < close[1];
def up = close > close[1];

#//Calculation for Showing Histogram based on Up/Down Close
def pctileRankFinal = if up then percentRank else if down then percentRank * -1 else Double.NaN;

#PLOTS
plot pATRRank = if(sn,percentRank,pctileRankFinal);
pATRRank.SetPaintingStrategy(paintingStrategy = PaintingStrategy.HISTOGRAM);
pATRRank.AssignValueColor(
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else
COLOR.DARK_GRAY
);
pATRRank.SetLineWeight(5);

#COLORBARS
AssignPriceColor(if paintbars then
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else COLOR.DARK_GRAY
else
COLOR.CURRENT
);

#END OF CM_ATR_Percentile for ThinkorSwim Version 1.0

This is a clever concept - thank you. What would we add to this code if the label would actually show the value of the last measurement rather than just the name of the script?

 

[MerryDay]

This is a clever concept - thank you. What would we add to this code if the label would actually show the value of the last measurement rather than just the name of the script?

#CM_ATR_Percentile for ThinkorSwim Version 1.0
#
#VERSION
# 2020.01.03 V1.0 @diazlaz - Initial Port
#
#LINK/CREDITS
#https://www.tradingview.com/script/D56mCdlz-CM-ATR-PercentileRank/
#https://www.tradingview.com/u/ChrisMoody/
#
#INSTRUCTION
#CM ATR PercentileRank - Great For Showing Market Bottoms.
#
#When Increased Volatility to the Downside Reaches Extreme Levels
#it’s Usually a Sign of a Market Bottom.
#
#This Indicator Takes the ATR and uses a different LookBack Period
#to calculate the Percentile Rank of ATR Which is a Great Way To
#Calculate Volatility
#

declare lower;

#INPUTS
input length = 1; #ATR Length
input length2 = 252; #no. of Bars the PercentileRank uses to Calculate % Values
input sn = no; #Show Normal Histogram? Uncheck = Histogram based on Up/Down Close
input paintBars = yes;
input showLabels = yes;

#LOGIC

#LABELS
AddLabel (showLabels, "ATR Percentile for ThinkorSwim Version 1.0", COLOR.ORANGE);

#//ATR and PercentileRank Calculations
def atr = Average(TrueRange(high, close, low), length);

def percentRankCount = fold i = 1 to length2 + 1 with count = 0
do
  if atr[0] > atr[i] then
    count + 1
  else
    count;

def percentRank = Round( percentRankCount / length2 * 100.0, 0);

def down = close < close[1];
def up = close > close[1];

#//Calculation for Showing Histogram based on Up/Down Close
def pctileRankFinal = if up then percentRank else if down then percentRank * -1 else Double.NaN;

#PLOTS
plot pATRRank = if(sn,percentRank,pctileRankFinal);
pATRRank.SetPaintingStrategy(paintingStrategy = PaintingStrategy.HISTOGRAM);
pATRRank.AssignValueColor(
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else
COLOR.DARK_GRAY
);
pATRRank.SetLineWeight(5);

#COLORBARS
AssignPriceColor(if paintbars then
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else COLOR.DARK_GRAY
else
COLOR.CURRENT
);

#END OF CM_ATR_Percentile for ThinkorSwim Version 1.0

AddLabel(yes, percentRank,
if percentRank <= 70 then COLOR.GRAY else
if percentRank > 70 and percentRank < 80 then COLOR.ORANGE else
if percentRank >= 80 and percentRank <= 90 then COLOR.RED else
if percentRank >= 90 then COLOR.MAGENTA else
COLOR.DARK_GRAY);