Battle of the Bands Indicator for ThinkorSwim

horserider

Well-known member
VIP
Just reviewing some old charts and ran across this one. BB,ATR and IV bands. Has some labels also. If anyone can make us of it here you go.

Code:
# Battle of the Bands
# Implied Volatility Bands
# ATR Bands
# Bollinger Bands
# Mobius
# Added ATR label. Added conditional color for labels. Altered bands on lower aggs. to 100% IV spread from mean. Altered coding structure to be more efficient.
# V02.10.17.2013

# Hide Study Name and Inputs ###########################
plot X = Double.NaN;                                   #
X.SetDefaultColor(CreateColor ( 0, 0, 0 ));            #
########################################################

declare hide_on_daily;

input n = 21;
input IvDailyBands = no;
input IvHourBands = no;
input IV15minBands = yes;
input AtrBands = no;
input BollingerBands = yes;
input DisplayLabels = yes;

def o = open;
def h = high;
def l = low;
def c = close;
def period = AggregationPeriod.DAY;
def hd = high(period = period);
def ld = low(period = period);
def cd = close(period = period);
def DaysMean = hl2(period = period);
def HoursMean = hl2(period = AggregationPeriod.HOUR);
def IVd = imp_Volatility(period = period);
def IV = if isNaN(IVd) then IV[1] else IVd;
def hIV = Highest(IV, 252);
def lIV = Lowest(IV, 252);
def IVpercentile = (IV - lIV) / (hIV - lIV);
AddLabel(DisplayLabels, "IV " + AsPercent(IV) +
                         "  IV Percentile: " + AsPercent(IVpercentile)
                       , if IsAscending(IV)
                         then Color.GREEN
                         else if IsDescending(IV)
                         then Color.RED
                         else Color.WHITE);
def ATR = Average(TrueRange(h, c, l), n);
def ATRd = Average(TrueRange(hd, cd, ld), n);
def SDatr = StDev(ATRd, 252);
def hATR = Highest(SDatr, 252);
def lATR = Lowest(SDatr, 252);
def ATRpercentile = (SDatr - lATR) / (hATR - lATR);
def DaysIV = IV / Sqrt(252);
def DaysIVSD = StDev(DaysIV, n);
def DaysIVValue = Round((DaysMean * DaysIV) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("Days IV " + AsPercent(DaysIV), " Value $" + DaysIVValue),
                    if IsAscending(DaysIV)
                    then Color.GREEN
                    else if IsDescending(DaysIV)
                    then Color.RED
                    else Color.WHITE);
def HoursIV = IV / Sqrt(5796);
def HoursIVSD = StDev(HoursIV, n);
def HoursIVValue = Round((HoursMean * HoursIV) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("Hours IV " + AsPercent(HoursIV), " Value $" + HoursIVValue),
                    if IsAscending(HoursIV)
                    then Color.GREEN
                    else if IsDescending(HoursIV)
                    then Color.RED
                    else Color.WHITE);
def IV15min = IV / Sqrt(23184);
def IV15minSD = StDev(IV15min, n);
def IV15mValue = Round((c * IV15min) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("15min IV " + AsPercent(IV15min), " Value $" + IV15mValue),
                     if IsAscending(IV15min)
                     then Color.GREEN
                     else if IsDescending(IV15min)
                     then Color.RED
                     else Color.WHITE);

plot DaysIVhigh = DaysMean + ((DaysIVValue) / 2);
DaysIVhigh.SetDefaultColor(Color.ORANGE);
DaysIVhigh.SetHiding(!IvDailyBands);
DaysIVhigh.SetPaintingStrategy(PaintingStrategy.DASHES);
plot DaysIVlow = DaysMean - ((DaysIVValue) / 2);
DaysIVlow.SetDefaultColor(Color.ORANGE);
DaysIVlow.SetHiding(!IvDailyBands);
DaysIVlow.SetPaintingStrategy(PaintingStrategy.DASHES);
plot HoursIVhigh = Average(HoursMean + HoursIVValue, n);
HoursIVhigh.SetDefaultColor(Color.CYAN);
HoursIVhigh.SetHiding(!IvHourBands);
plot HoursIVlow = Average(HoursMean - HoursIVValue, n);
HoursIVlow.SetDefaultColor(Color.CYAN);
HoursIVlow.SetHiding(!IvHourBands);
plot IV15minhigh = Inertia(c + (c * IV15minSD), n);
IV15minhigh.SetDefaultColor(Color.YELLOW);
IV15minhigh.SetHiding(!IV15minBands);
plot IV15minlow = Inertia(c - (c * IV15minSD), n);
IV15minlow.SetDefaultColor(Color.YELLOW);
IV15minlow.SetHiding(!IV15minBands);
plot ATRup = Inertia(c + ATR, n);
ATRup.SetHiding(!AtrBands);
plot ATRdn = Inertia(c - ATR, n);
ATRdn.SetHiding(!AtrBands);

def SD = StDev(close, n);
def Avg = Average(close, n);

plot SDup = Avg + (2 * SD);
SDup.SetDefaultColor(Color.GREEN);
SDup.SetHiding(!BollingerBands);
plot SDdn = Avg + (-2 * SD);
SDdn.SetDefaultColor(Color.GREEN);
SDdn.SetHiding(!BollingerBands);

#AssignPriceColor(if (SDup < IV15minhigh) or
#                     (SDdn > IV15minlow)
#                  then Color.PLUM
#                  else Color.CURRENT);
AddLabel(DisplayLabels, "ATR Chart Agg. = $" + (Round(ATR / TickSize(), 0) * TickSize()) +
                        "  ATR Daily $" + (Round(ATRd / TickSize(), 0) * TickSize()) +
                        "  ATR Percentile: " + AsPercent(ATRpercentile),
                                  if ATR > ATR[1]
                                  then Color.GREEN
                                  else if ATR < ATR[1]
                                  then Color.RED
                                  else Color.WHITE);

# End Code Battle of the Bands
 

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I was scrolling through the site the other day and found this cool indicator and tested it out today. I was hoping someone could help create some type of watchlist signal for the Daily IV bands so anyone who would like to use the indicator wouldn't have to sift through stocks to find their trade.file:///D:/Battle%20of%20the%20bands.PNG

The code:
# Battle of the Bands
# Implied Volatility Bands
# ATR Bands
# Bollinger Bands
# Mobius
# Added ATR label. Added conditional color for labels. Altered bands on lower aggs. to 100% IV spread from mean. Altered coding structure to be more efficient.
# V02.10.17.2013

declare hide_on_daily;

input n = 21;
input IvDailyBands = no;
input IvHourBands = no;
input IV15minBands = yes;
input AtrBands = no;
input BollingerBands = yes;
input DisplayLabels = yes;

def o = open;
def h = high;
def l = low;
def c = close;
def period = AggregationPeriod.DAY;
def hd = high(period = period);
def ld = low(period = period);
def cd = close(period = period);
def DaysMean = hl2(period = period);
def HoursMean = hl2(period = AggregationPeriod.HOUR);
def IVd = imp_Volatility(period = period);
def IV = if isNaN(IVd) then IV[1] else IVd;
def hIV = Highest(IV, 252);
def lIV = Lowest(IV, 252);
def IVpercentile = (IV - lIV) / (hIV - lIV);
AddLabel(DisplayLabels, "IV " + AsPercent(IV) +
" IV Percentile: " + AsPercent(IVpercentile)
, if IsAscending(IV)
then Color.GREEN
else if IsDescending(IV)
then Color.RED
else Color.WHITE);
def ATR = Average(TrueRange(h, c, l), n);
def ATRd = Average(TrueRange(hd, cd, ld), n);
def SDatr = StDev(ATRd, 252);
def hATR = Highest(SDatr, 252);
def lATR = Lowest(SDatr, 252);
def ATRpercentile = (SDatr - lATR) / (hATR - lATR);
def DaysIV = IV / Sqrt(252);
def DaysIVSD = StDev(DaysIV, n);
def DaysIVValue = Round((DaysMean * DaysIV) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("Days IV " + AsPercent(DaysIV), " Value $" + DaysIVValue),
if IsAscending(DaysIV)
then Color.GREEN
else if IsDescending(DaysIV)
then Color.RED
else Color.WHITE);
def HoursIV = IV / Sqrt(5796);
def HoursIVSD = StDev(HoursIV, n);
def HoursIVValue = Round((HoursMean * HoursIV) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("Hours IV " + AsPercent(HoursIV), " Value $" + HoursIVValue),
if IsAscending(HoursIV)
then Color.GREEN
else if IsDescending(HoursIV)
then Color.RED
else Color.WHITE);
def IV15min = IV / Sqrt(23184);
def IV15minSD = StDev(IV15min, n);
def IV15mValue = Round((c * IV15min) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("15min IV " + AsPercent(IV15min), " Value $" + IV15mValue),
if IsAscending(IV15min)
then Color.GREEN
else if IsDescending(IV15min)
then Color.RED
else Color.WHITE);

plot DaysIVhigh = DaysMean + ((DaysIVValue) / 2);
DaysIVhigh.SetDefaultColor(Color.ORANGE);
DaysIVhigh.SetHiding(!IvDailyBands);
DaysIVhigh.SetPaintingStrategy(PaintingStrategy.DASHES);
plot DaysIVlow = DaysMean - ((DaysIVValue) / 2);
DaysIVlow.SetDefaultColor(Color.ORANGE);
DaysIVlow.SetHiding(!IvDailyBands);
DaysIVlow.SetPaintingStrategy(PaintingStrategy.DASHES);
plot HoursIVhigh = Average(HoursMean + HoursIVValue, n);
HoursIVhigh.SetDefaultColor(Color.CYAN);
HoursIVhigh.SetHiding(!IvHourBands);
plot HoursIVlow = Average(HoursMean - HoursIVValue, n);
HoursIVlow.SetDefaultColor(Color.CYAN);
HoursIVlow.SetHiding(!IvHourBands);
plot IV15minhigh = Inertia(c + (c * IV15minSD), n);
IV15minhigh.SetDefaultColor(Color.YELLOW);
IV15minhigh.SetHiding(!IV15minBands);
plot IV15minlow = Inertia(c - (c * IV15minSD), n);
IV15minlow.SetDefaultColor(Color.YELLOW);
IV15minlow.SetHiding(!IV15minBands);
plot ATRup = Inertia(c + ATR, n);
ATRup.SetHiding(!AtrBands);
plot ATRdn = Inertia(c - ATR, n);
ATRdn.SetHiding(!AtrBands);

def SD = StDev(close, n);
def Avg = Average(close, n);

plot SDup = Avg + (2 * SD);
SDup.SetDefaultColor(Color.GREEN);
SDup.SetHiding(!BollingerBands);
plot SDdn = Avg + (-2 * SD);
SDdn.SetDefaultColor(Color.GREEN);
SDdn.SetHiding(!BollingerBands);

#AssignPriceColor(if (SDup < IV15minhigh) or
# (SDdn > IV15minlow)
# then Color.PLUM
# else Color.CURRENT);
AddLabel(DisplayLabels, "ATR Chart Agg. = $" + (Round(ATR / TickSize(), 0) * TickSize()) +
" ATR Daily $" + (Round(ATRd / TickSize(), 0) * TickSize()) +
" ATR Percentile: " + AsPercent(ATRpercentile),
if ATR > ATR[1]
then Color.GREEN
else if ATR < ATR[1]
then Color.RED
else Color.WHITE);

# End Code Battle of the Bands
 
The scan itself can only use one aggregation. It would have to be set to daily data as a work around. It will most likely pump out a huge number of symbols for you to sort through regardless. Here it is though. You can easily edit the last line to just check for one or the other. I haven't tested it that much either I just tried to scrape out the necessary code.

Code:
input n = 21;
input IvDailyBands = Yes;
input DisplayLabels = yes;
def o = open;
def h = high;
def l = low;
def c = close;
def hd = high();
def ld = low();
def cd = close();
def DaysMean = hl2();
def IVd = imp_Volatility();
def IV = if isNaN(IVd) then IV[1] else IVd;
def hIV = Highest(IV, 252);
def lIV = Lowest(IV, 252);
def IVpercentile = (IV - lIV) / (hIV - lIV);
def ATR = Average(TrueRange(h, c, l), n);
def ATRd = Average(TrueRange(hd, cd, ld), n);
def SDatr = StDev(ATRd, 252);
def hATR = Highest(SDatr, 252);
def lATR = Lowest(SDatr, 252);
def ATRpercentile = (SDatr - lATR) / (hATR - lATR);
def DaysIV = IV / Sqrt(252);
def DaysIVSD = StDev(DaysIV, n);
def DaysIVValue = Round((DaysMean * DaysIV) / TickSize(), 0) * TickSize();
def DaysIVhigh = DaysMean + ((DaysIVValue) / 2);
def DaysIVlow = DaysMean - ((DaysIVValue) / 2);
plot Scan = high > DaysIVhigh or Low < DaysIVlow;
 
A code from mobius. I use the Daily IV plot ranges on intraday. I want to code a scan for price that has crossed the "daysivlow" but not the "daysivhigh" on the day.



# Battle of the Bands
# Implied Volatility Bands
# ATR Bands
# Bollinger Bands
# Mobius
# Added ATR label. Added conditional color for labels. Altered bands on lower aggs. to 100% IV spread from mean. Altered coding structure to be more efficient.
# V02.10.17.2013

declare hide_on_daily;

input n = 21;
input IvDailyBands = no;
input IvHourBands = no;
input IV15minBands = yes;
input AtrBands = no;
input BollingerBands = yes;
input DisplayLabels = yes;

def o = open;
def h = high;
def l = low;
def c = close;
def period = AggregationPeriod.DAY;
def hd = high(period = period);
def ld = low(period = period);
def cd = close(period = period);
def DaysMean = hl2(period = period);
def HoursMean = hl2(period = AggregationPeriod.HOUR);
def IVd = imp_Volatility(period = period);
def IV = if isNaN(IVd) then IV[1] else IVd;
def hIV = Highest(IV, 252);
def lIV = Lowest(IV, 252);
def IVpercentile = (IV - lIV) / (hIV - lIV);
AddLabel(DisplayLabels, "IV " + AsPercent(IV) +
" IV Percentile: " + AsPercent(IVpercentile)
, if IsAscending(IV)
then Color.GREEN
else if IsDescending(IV)
then Color.RED
else Color.WHITE);
def ATR = Average(TrueRange(h, c, l), n);
def ATRd = Average(TrueRange(hd, cd, ld), n);
def SDatr = StDev(ATRd, 252);
def hATR = Highest(SDatr, 252);
def lATR = Lowest(SDatr, 252);
def ATRpercentile = (SDatr - lATR) / (hATR - lATR);
def DaysIV = IV / Sqrt(252);
def DaysIVSD = StDev(DaysIV, n);
def DaysIVValue = Round((DaysMean * DaysIV) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("Days IV " + AsPercent(DaysIV), " Value $" + DaysIVValue),
if IsAscending(DaysIV)
then Color.GREEN
else if IsDescending(DaysIV)
then Color.RED
else Color.WHITE);
def HoursIV = IV / Sqrt(5796);
def HoursIVSD = StDev(HoursIV, n);
def HoursIVValue = Round((HoursMean * HoursIV) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("Hours IV " + AsPercent(HoursIV), " Value $" + HoursIVValue),
if IsAscending(HoursIV)
then Color.GREEN
else if IsDescending(HoursIV)
then Color.RED
else Color.WHITE);
def IV15min = IV / Sqrt(23184);
def IV15minSD = StDev(IV15min, n);
def IV15mValue = Round((c * IV15min) / TickSize(), 0) * TickSize();
AddLabel(DisplayLabels, Concat("15min IV " + AsPercent(IV15min), " Value $" + IV15mValue),
if IsAscending(IV15min)
then Color.GREEN
else if IsDescending(IV15min)
then Color.RED
else Color.WHITE);

plot DaysIVhigh = DaysMean + ((DaysIVValue) / 2);
DaysIVhigh.SetDefaultColor(Color.ORANGE);
DaysIVhigh.SetHiding(!IvDailyBands);
DaysIVhigh.SetPaintingStrategy(PaintingStrategy.DASHES);
plot DaysIVlow = DaysMean - ((DaysIVValue) / 2);
DaysIVlow.SetDefaultColor(Color.ORANGE);
DaysIVlow.SetHiding(!IvDailyBands);
DaysIVlow.SetPaintingStrategy(PaintingStrategy.DASHES);
plot HoursIVhigh = Average(HoursMean + HoursIVValue, n);
HoursIVhigh.SetDefaultColor(Color.CYAN);
HoursIVhigh.SetHiding(!IvHourBands);
plot HoursIVlow = Average(HoursMean - HoursIVValue, n);
HoursIVlow.SetDefaultColor(Color.CYAN);
HoursIVlow.SetHiding(!IvHourBands);
plot IV15minhigh = Inertia(c + (c * IV15minSD), n);
IV15minhigh.SetDefaultColor(Color.YELLOW);
IV15minhigh.SetHiding(!IV15minBands);
plot IV15minlow = Inertia(c - (c * IV15minSD), n);
IV15minlow.SetDefaultColor(Color.YELLOW);
IV15minlow.SetHiding(!IV15minBands);
plot ATRup = Inertia(c + ATR, n);
ATRup.SetHiding(!AtrBands);
plot ATRdn = Inertia(c - ATR, n);
ATRdn.SetHiding(!AtrBands);

def SD = StDev(close, n);
def Avg = Average(close, n);

plot SDup = Avg + (2 * SD);
SDup.SetDefaultColor(Color.GREEN);
SDup.SetHiding(!BollingerBands);
plot SDdn = Avg + (-2 * SD);
SDdn.SetDefaultColor(Color.GREEN);
SDdn.SetHiding(!BollingerBands);

#AssignPriceColor(if (SDup < IV15minhigh) or
# (SDdn > IV15minlow)
# then Color.PLUM
# else Color.CURRENT);
AddLabel(DisplayLabels, "ATR Chart Agg. = $" + (Round(ATR / TickSize(), 0) * TickSize()) +
" ATR Daily $" + (Round(ATRd / TickSize(), 0) * TickSize()) +
" ATR Percentile: " + AsPercent(ATRpercentile),
if ATR > ATR[1]
then Color.GREEN
else if ATR < ATR[1]
then Color.RED
else Color.WHITE);

# End Code Battle of the Bands

The scan itself can only use one aggregation. It would have to be set to daily data as a work around. It will most likely pump out a huge number of symbols for you to sort through regardless. Here it is though. You can easily edit the last line to just check for one or the other. I haven't tested it that much either I just tried to scrape out the necessary code.
how would I code for price that has crossed the "daysivlow" but not the "daysivhigh" on the day. and vice versa.
 
Change

Plot Scan = high > DaysIVhigh or Low < DaysIVlow;

to only

plot Scan = high > DaysIVhigh;

Or

Plot Scan = Low < DaysIVlow;
 
Change

Plot Scan = high > DaysIVhigh or Low < DaysIVlow;

to only

plot Scan = high > DaysIVhigh;

Or

Plot Scan = Low < DaysIVlow;
what i've noticed is sometimes price gaps up touching both ranges. Is there a way in thinkscript to code for close =< daysivlow and also has not touched daysivhigh yet.
 

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