Changing Aggregation Period for ATR Strategy

[jrsnell]

I am using the ATR Strategy and Donchian Channels on a weekly chart for long-term trading decision help. I would like to Add Labels etc for Account values etc to use for position sizing.

I understand that the highest time frame to use these account values is the daily time frame. I think that either I would like to open a DAILY chart next to my weekly chart to display GetNetLiq values to work into my position sizing calculations.

Displaying the ATR Strategy on a daily chart with the forced AggregationPeriod to WEEK would be another way to tackle the issue.

Can anyone provide some pointers as to what to change on the ATR calculations to make the aggregation period weekly on a daily chart. I understand some of the simpler examples (close, high, etc.), but can't seem to get my head around what to change on the ATR strategy.

Here is my "combined" ATR LE and LX strategy code:

input trailType = {default modified, unmodified};
input ATRPeriod = 50;
input ATRFactor = 3;
input firstTrade = {default long, short};
input averageType = AverageType.SIMPLE;

def buycondition = ATRTrailingStop(trailType, ATRPeriod, ATRFactor, firstTrade, averageType).buySignal;

addOrder(OrderType.BUY_TO_OPEN, buycondition, tickColor = GetColor(0), arrowColor = GetColor(0));

def sellcondition = ATRTrailingStop(trailType, ATRPeriod, ATRFactor, firstTrade, averageType).sellSignal;

addOrder(OrderType.SELL_TO_CLOSE, sellcondition, tickColor = GetColor(1), arrowColor = GetColor(1));

=====

Any help would be greatly appreciated. Thanks, Jeff

 

[MerryDay]

I am using the ATR Strategy and Donchian Channels on a weekly chart for long-term trading decision help. I would like to Add Labels etc for Account values etc to use for position sizing.

I understand that the highest time frame to use these account values is the daily time frame. I think that either I would like to open a DAILY chart next to my weekly chart to display GetNetLiq values to work into my position sizing calculations.

Displaying the ATR Strategy on a daily chart with the forced AggregationPeriod to WEEK would be another way to tackle the issue.

Can anyone provide some pointers as to what to change on the ATR calculations to make the aggregation period weekly on a daily chart. I understand some of the simpler examples (close, high, etc.), but can't seem to get my head around what to change on the ATR strategy.

Here is my "combined" ATR LE and LX strategy code:

input trailType = {default modified, unmodified};
input ATRPeriod = 50;
input ATRFactor = 3;
input firstTrade = {default long, short};
input averageType = AverageType.SIMPLE;

def buycondition = ATRTrailingStop(trailType, ATRPeriod, ATRFactor, firstTrade, averageType).buySignal;

addOrder(OrderType.BUY_TO_OPEN, buycondition, tickColor = GetColor(0), arrowColor = GetColor(0));

def sellcondition = ATRTrailingStop(trailType, ATRPeriod, ATRFactor, firstTrade, averageType).sellSignal;

addOrder(OrderType.SELL_TO_CLOSE, sellcondition, tickColor = GetColor(1), arrowColor = GetColor(1));

=====

Any help would be greatly appreciated. Thanks, Jeff

Putting a weekly overlay on your daily chart would result in the bars repainting until the weekly bar closes.
Repainting strategies containing AddOrder statements are not posted on the forum as it is not possible to get true P&L results

A better approach is to create a grid with a small daily chart with your position sizing study above your weekly chart

 

[jrsnell]

Putting a weekly overlay on your daily chart would result in the bars repainting until the weekly bar closes.
We do not post repainting strategies that contain AddOrder statements on the forum because it isn't possible to get true P&L results

I get that... then I think I would simply like to try to open a daily chart next to my weekly chart. In that case, I need to know how far down it is to the weekly ATR stop... but I need that data on the daily chart because of the GetNetLiq call... so, if I could get a little help as to how to change the aggregation period on just the ATR stop, that would be wonderful. Then I can leave the strategy alone on the weekly chart.

... unless there's a way to pull in the GetNetLiq onto a weekly chart?

 

[MerryDay]

I get that... then I think I would simply like to try to open a daily chart next to my weekly chart. In that case, I need to know how far down it is to the weekly ATR stop... but I need that data on the daily chart because of the GetNetLiq call... so, if I could get a little help as to how to change the aggregation period on just the ATR stop, that would be wonderful. Then I can leave the strategy alone on the weekly chart.

... unless there's a way to pull in the GetNetLiq onto a weekly chart?

​

​

1.The timeframes which will support the GetNetLiq() function:​

The Portfolio functions can only be used with the following aggregation periods: 1 min, 2 min, 3 min, 4 min, 5 min, 10 min, 15 min, 20 min, 30 min, 1h, or 1 day. Time period for the aggregation of 1 day is limited to 1 year.​

https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Portfolio​

2. You realize that the MTF indicator will still repaint?​

Here is a script that you can modify:​

https://usethinkscript.com/threads/multi-timeframe-atr-trailing-stops-for-thinkorswim.3488/​

 

[jrsnell]

​

​

1.The timeframes which will support the GetNetLiq() function:​

https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Portfolio​

2. You realize that the MTF indicator will still repaint?​

Here is a script that you can modify:​

https://usethinkscript.com/threads/multi-timeframe-atr-trailing-stops-for-thinkorswim.3488/​

Yes... I got the idea from somewhere else on this forum to open a small chart and then make it thin so that the AddLabel "stacks" on the left of my weekly chart. I don't think repainting will be an issue since I'll be taking my triggers off of the weekly chart and only referencing the AddLabels on the left on "decision day" once a week. I've blacked out the lines and made everything black or transparent so the window is truly only for the Labels. Here's what it looks like at the moment... The position sizing on the right is on the weekly ATR and the position sizing on the left is wrong because it's on the daily... but I do get my GetNetLiq() called properly... now I just want to push a weekly aggregation on the blacked out chart on the left so that those numbers match the numbers on the right on "decision day" (if you will).

 

[jrsnell]

@MerryDay Thanks for the link. I substituted the MTF ATR for my regular weekly study. I can make what mods I need to make to the AddLabel Study to get it to show the weekly data on that daily "blank" chart. Thanks for the help!

 

[MerryDay]

@MerryDay Thanks for the link. I substituted the MTF ATR for my regular weekly study. I can make what mods I need to make to the AddLabel Study to get it to show the weekly data on that daily "blank" chart. Thanks for the help!

The Portfolio functions can only be used with the following aggregation periods: 1 min, 2 min, 3 min, 4 min, 5 min, 10 min, 15 min, 20 min, 30 min, 1h, or 1 day. Time period for the aggregation of 1 day is limited to 1 year.

https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Portfolio

 

[jrsnell]

https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Portfolio

Exactly... that's why I have that little thin "chart" to the left of the weekly chart. It is set up on daily aggregation so that I can pull in Portfolio functions. Thanks again.