MTF Last Month's High, Low, Close

[traderjoe777]

Based on Saty Mahajan's Golden Gate Strategy, I am trying to create a scanner (Simplified version below) (let's call it golden_gate_scanner) which relies on 4 things, "high", "low", "close" of last month and close price today (or 1 day before). Below is the algorithm.

1. Based on the previous months high, low & close. We calculate the ATR value (Wilders) say atr.
2. Using this expression (previous_month_close + (atr * 0.382)) we get a value, say upper_trigger
3. Plot the upper_trigger & if today's close crosses it then the ticker should appear in our scan/watchlist.

I have coded the above logic & have added a filter with the following condition on ToS scan tab.

1. close is greater than or equal to golden_gate_scanner()."upper_trigger" with the aggregation period of "D".

As thinkorswim cannot aggregation 2 different periods (Month and Day in this case), Is there a way we can create a scan for this scenario? I believe we can because Saty's website indicates that it exists. Any inputs are highly appreciated.
Thank you.

input use_current_close = no;
input atr_length = 14;

def trading_period = AggregationPeriod.MONTH;

def previous_close = close(period = trading_period)[if use_current_close then 0 else 1];
def atr = Round(WildersAverage(TrueRange(high(period = trading_period), close(period = trading_period), low(period = trading_period)), atr_length)[if use_current_close then 0 else 1], 2);

def upper_0382 = previous_close + (atr * 0.382);

plot upper_trigger = upper_0382;

 

[tradecombine]

This is not supported. See this link for more details.
https://usethinkscript.com/threads/answers-to-commonly-asked-questions.6006/post-72503

Thus, there is no need to mention aggregation period within the scan, because you can only use one at a time in the Stock Hacker tab. If you do mention an aggregation period, it would have to be the same as the aggregation chosen for the scan, which would be redundant.

As far as a potential workaround, the closest I can get to your intent is to compare the current month's close to last month's upper 0382.

Also, you could really only see if current month's close is greater than or equal to last month's upper 0382.[if you take the [1] off the upper_0382 in the value below and scan, you should see zero results, because upper_0382 = the close + more stuff.

# create this scan using monthly aggregation
input atr_length = 14;

def atr = Round(WildersAverage(TrueRange(high, close, low), atr_length), 2); 

def upper_0382 = close + (atr * 0.382); # upper 0382

plot scan = close >= upper_0382[1]; # compare current  close to prior upper 0382

# assuming this scan is done at monthly aggregation