Average True Range (ATR) Implied Move for ThinkorSwim

David45

Member
2019 Donor
New study by Mobius. What do you all think?

oiytTnU.png


Code:
# These attributions and study notes are part of the study code.
# Average True Range Implied Move
# Mobius
# V01.08.22.2020
# Notes: Chart data must be intraday. Extended Hours must be turned on. Chart data must include the data needed to calculate the highest Average True Range (10 days of data to calculate a 10 day Average True Range). For lower aggregations (5 minute and less) Settings > Price Axis > Fit Studies may need to be checked yes to show ATR Daily limit lines. If using on a thinly traded equity there may not be a trade at the RTH open and the Daily Implied Move may not plot for that day.
# Study Limitation: Average True Range is an average of the averaged bars range. Tying that average to any fixed point on a bar makes the erroneous assumption that the range is equal distance from that point. This study divides ATR in half and plots half above and half below the open of whatever aggregation period the user inputs. In order to keep chart clutter at a minimum the study plot only the most recent range. If the expansion area is set wide enough for the next period open to display then lines will begin plotting in the expansion area instead of at the current price bar.

input ATRlength = 10;
input Agg_1 = AggregationPeriod.Day;
input Agg_2 = AggregationPeriod.hour;

def o = open;
def h = high;
def l = low;
def c = close;
def o_1 = open(period = Agg_1);
def h_1 = high(period = Agg_1);
def l_1 = low(period = Agg_1);
def c_1 = close(period = Agg_1);
def o_2 = open(period = Agg_2);
def h_2 = high(period = Agg_2);
def l_2 = low(period = Agg_2);
def c_2 = close(period = Agg_2);
def x = barNumber();
def nan = double.nan;
def ts = TickSize();
def ATR_1 = Average(TrueRange(h_1[1], c_1[1], l_1[1]), ATRlength);
def ATR_2 = Average(TrueRange(h_2[1], c_2[1], l_2[1]), ATRlength);
def RTHo = getTime() crosses above RegularTradingStart(getYYYYMMDD());
def Y1 = if RTHo
         then o
         else Y1[1];
def x1 = if RTHo
         then x
         else x1[1];
def a1 = if RTHo
         then round((ATR_1 / 2) / ts, 0) * ts
         else a1[1];
plot RTHopen = if x >= highestAll(x1)
               then highestAll(if isNaN(c[1])
                                then Y1
                                else nan)
               else nan;
     RTHopen.SetStyle(Curve.Long_Dash);
     RTHopen.SetLineWeight(3);
     RTHopen.SetDefaultColor(Color.Yellow);
     RTHopen.HideTitle();
plot Dh = RTHopen + a1;
     Dh.SetStyle(Curve.Short_Dash);
     Dh.SetLineWeight(2);
     Dh.SetDefaultColor(Color.Green);
     Dh.HideTitle();
plot Dl = RTHopen - a1;
     Dl.SetStyle(Curve.Short_Dash);
     Dl.SetLineWeight(2);
     Dl.SetDefaultColor(Color.Red);
     Dl.HideTitle();
def Y2 = if getTime() % Agg_2 == 0
         then o_2
         else Y2[1];
def x2 = if o == o_2 and getTime() % Agg_2 == 0
         then x
         else x2[1];
def a2 = if getTime() % Agg_2 == 0
         then round((ATR_2 / 2) / ts, 0) * ts
         else a2[1];   
plot open_2 = if x >= highestAll(x2)
              then highestAll(if isNaN(c[1])
                              then Y2
                              else nan)
              else nan;
     open_2.SetStyle(Curve.Long_Dash);
     open_2.SetLineWeight(1);
     open_2.SetDefaultColor(Color.Yellow);
     open_2.HideTitle();
plot O2_h = open_2 + a2;
     O2_h.SetStyle(Curve.Short_Dash);
     O2_h.SetLineWeight(1);
     O2_h.SetDefaultColor(Color.Green);
     O2_h.HideTitle();
plot O2_l = open_2 - a2;
     O2_l.SetStyle(Curve.Short_Dash);
     O2_l.SetLineWeight(1);
     O2_l.SetDefaultColor(Color.Red);
     O2_l.HideTitle();
# End Code

https://tos.mx/eWDyyVP

https://www.mytrade.com/profile/Mobius/statuses/16089103
 
Last edited by a moderator:

Xiuying

Member
It seems to produce the same levels as the Mobius script from years ago that was called "Implied and probable moves for futures"

I wonder if this is an updated version so it doesn't need to go based off of the options(can cause some issues on some stocks/futures to give -99999 value) .
 

3AMBH

Active member
2019 Donor
VIP
New study by Mobius. What do you all think?

oiytTnU.png


Code:
# These attributions and study notes are part of the study code.
# Average True Range Implied Move
# Mobius
# V01.08.22.2020
# Notes: Chart data must be intraday. Extended Hours must be turned on. Chart data must include the data needed to calculate the highest Average True Range (10 days of data to calculate a 10 day Average True Range). For lower aggregations (5 minute and less) Settings > Price Axis > Fit Studies may need to be checked yes to show ATR Daily limit lines. If using on a thinly traded equity there may not be a trade at the RTH open and the Daily Implied Move may not plot for that day.
# Study Limitation: Average True Range is an average of the averaged bars range. Tying that average to any fixed point on a bar makes the erroneous assumption that the range is equal distance from that point. This study divides ATR in half and plots half above and half below the open of whatever aggregation period the user inputs. In order to keep chart clutter at a minimum the study plot only the most recent range. If the expansion area is set wide enough for the next period open to display then lines will begin plotting in the expansion area instead of at the current price bar.

input ATRlength = 10;
input Agg_1 = AggregationPeriod.Day;
input Agg_2 = AggregationPeriod.hour;

def o = open;
def h = high;
def l = low;
def c = close;
def o_1 = open(period = Agg_1);
def h_1 = high(period = Agg_1);
def l_1 = low(period = Agg_1);
def c_1 = close(period = Agg_1);
def o_2 = open(period = Agg_2);
def h_2 = high(period = Agg_2);
def l_2 = low(period = Agg_2);
def c_2 = close(period = Agg_2);
def x = barNumber();
def nan = double.nan;
def ts = TickSize();
def ATR_1 = Average(TrueRange(h_1[1], c_1[1], l_1[1]), ATRlength);
def ATR_2 = Average(TrueRange(h_2[1], c_2[1], l_2[1]), ATRlength);
def RTHo = getTime() crosses above RegularTradingStart(getYYYYMMDD());
def Y1 = if RTHo
         then o
         else Y1[1];
def x1 = if RTHo
         then x
         else x1[1];
def a1 = if RTHo
         then round((ATR_1 / 2) / ts, 0) * ts
         else a1[1];
plot RTHopen = if x >= highestAll(x1)
               then highestAll(if isNaN(c[1])
                                then Y1
                                else nan)
               else nan;
     RTHopen.SetStyle(Curve.Long_Dash);
     RTHopen.SetLineWeight(3);
     RTHopen.SetDefaultColor(Color.Yellow);
     RTHopen.HideTitle();
plot Dh = RTHopen + a1;
     Dh.SetStyle(Curve.Short_Dash);
     Dh.SetLineWeight(2);
     Dh.SetDefaultColor(Color.Green);
     Dh.HideTitle();
plot Dl = RTHopen - a1;
     Dl.SetStyle(Curve.Short_Dash);
     Dl.SetLineWeight(2);
     Dl.SetDefaultColor(Color.Red);
     Dl.HideTitle();
def Y2 = if getTime() % Agg_2 == 0
         then o_2
         else Y2[1];
def x2 = if o == o_2 and getTime() % Agg_2 == 0
         then x
         else x2[1];
def a2 = if getTime() % Agg_2 == 0
         then round((ATR_2 / 2) / ts, 0) * ts
         else a2[1];  
plot open_2 = if x >= highestAll(x2)
              then highestAll(if isNaN(c[1])
                              then Y2
                              else nan)
              else nan;
     open_2.SetStyle(Curve.Long_Dash);
     open_2.SetLineWeight(1);
     open_2.SetDefaultColor(Color.Yellow);
     open_2.HideTitle();
plot O2_h = open_2 + a2;
     O2_h.SetStyle(Curve.Short_Dash);
     O2_h.SetLineWeight(1);
     O2_h.SetDefaultColor(Color.Green);
     O2_h.HideTitle();
plot O2_l = open_2 - a2;
     O2_l.SetStyle(Curve.Short_Dash);
     O2_l.SetLineWeight(1);
     O2_l.SetDefaultColor(Color.Red);
     O2_l.HideTitle();
# End Code

https://tos.mx/eWDyyVP

https://www.mytrade.com/profile/Mobius/statuses/16089103
To function properly and per Mobius directions, "Extended Hours must be turned on".
 

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