Repaints Multi-Time Frame MTF PSAR for ThinkorSwim

[tradebyday]

@rad14733 hope you find something wonderful with renko bars. I am just waiting on a couple choppy days and a couple red days to analyze the viability of the specific set up I have and then will mess with some renko as well. Might even look into some long term and medium use for options plays. Want to really thank @tradegeek for his amazing work at finding a work around for the "MTF" style to be used across all types of frames. And this one has zero re-painting which is awesome! Hope this opens the door to seeing other "out of reach" MTF indicators transformed into use with tick, range, and renko in the future.

 

[HighBredCloud]

@tradebyday Zero repainting? Are you referring to the time or tick version of this indicator? All MTF time version will have repaints unless you minimize by using timeframes such as 3 min 4 min and 5 min...even then there is a risk of repainting eventually but not as bad as other combinations of timeframes.

 

[tradebyday]

@HighBredCloud the tick version

 

[TNTOutburst]

I am using "Multi time-frame Parabolic SAR indicator by tradegeek" and I'm wanting to make a scanner that lists stocks that have had their totalAssetTurnover cross below 3 (turn green) in the last like 12 minutes (I use 1 day 2 min charts so that would be 6 bars). I'm wanting to do this because the indicator would give much better results if I buy a stock right after MTF_PSAR turns green, instead of when it has been green for a while.

Though this does not work because the scanner doesn't allow you to use multiple aggregation periods in one filter. If I split each TimeFrame into different filters, then I can't check that the sum of them is less than 3.
I'm using this code:

declare lower;

input TimeFrame1 = AggregationPeriod.MIN;
input TimeFrame2 = AggregationPeriod.TWO_MIN;
input TimeFrame3 = AggregationPeriod.FIVE_MIN;
input TimeFrame4 = AggregationPeriod.TEN_MIN;
input TimeFrame5 = AggregationPeriod.FIFTEEN_MIN;
input PaintBars = {default "yes", "no"};

def close1 = Close(Period = TimeFrame1);
def close2 = Close(Period = TimeFrame2);
def close3 = Close(Period = TimeFrame3);
def close4 = Close(Period = TimeFrame4);
def close5 = Close(Period = TimeFrame5);

def low1 = Low(Period = TimeFrame1);
def low2 = Low(Period = TimeFrame2);
def low3 = Low(Period = TimeFrame3);
def low4 = Low(Period = TimeFrame4);
def low5 = Low(Period = TimeFrame5);

def high1 = High(Period = TimeFrame1);
def high2 = High(Period = TimeFrame2);
def high3 = High(Period = TimeFrame3);
def high4 = High(Period = TimeFrame4);
def high5 = High(Period = TimeFrame5);

input accelerationFactor = 0.02;
input accelerationLimit = 0.2;

assert(accelerationFactor > 0, "'acceleration factor' must be positive: " + accelerationFactor);
assert(accelerationLimit >= accelerationFactor, "'acceleration limit' (" + accelerationLimit + ") must be greater than or equal to 'acceleration factor' (" + accelerationFactor + ")");

##### Chart Time-frame (Time-frame 1)
def state = {default init, long, short};
def extreme;
def SAR;
def acc;

switch (state[1]) {
case init:
    state = state.long;
    acc = accelerationFactor;
    extreme = high;
    SAR = low;
case short:
    if (SAR[1] < high)
    then {
        state = state.long;
        acc = accelerationFactor;
        extreme = high;
        SAR = extreme[1];
    } else {
        state = state.short;
        if (low < extreme[1])
        then {
            acc = min(acc[1] + accelerationFactor, accelerationLimit);
            extreme = low;
        } else {
            acc = acc[1];
            extreme = extreme[1];
        }
        SAR = max(max(high, high[1]), SAR[1] + acc * (extreme - SAR[1]));
    }
case long:
    if (SAR[1] > low)
    then {
        state = state.short;
        acc = accelerationFactor;
        extreme = low;
        SAR = extreme[1];
    } else {
        state = state.long;
        if (high > extreme[1])
        then {
            acc = min(acc[1] + accelerationFactor, accelerationLimit);
            extreme = high;
        } else {
            acc = acc[1];
            extreme = extreme[1];
        }
        SAR = min(min(low, low[1]), SAR[1] + acc * (extreme - SAR[1]));
    }
}

##### Time-frame 2
def state2 = {default init, long, short};
def extreme2;
def SAR2;
def acc2;

switch (state2[1]) {
case init:
    state2 = state2.long;
    acc2 = accelerationFactor;
    extreme2 = high2;
    SAR2 = low2;
case short:
    if (SAR2[1] < high2)
    then {
        state2 = state2.long;
        acc2 = accelerationFactor;
        extreme2 = high2;
        SAR2 = extreme2[1];
    } else {
        state2 = state2.short;
        if (low2 < extreme2[1])
        then {
            acc2 = min(acc2[1] + accelerationFactor, accelerationLimit);
            extreme2 = low2;
        } else {
            acc2 = acc2[1];
            extreme2 = extreme2[1];
        }
        SAR2 = max(max(high2, high2[1]), SAR2[1] + acc2 * (extreme2 - SAR2[1]));
    }
case long:
    if (SAR2[1] > low2)
    then {
        state2 = state2.short;
        acc2 = accelerationFactor;
        extreme2 = low2;
        SAR2 = extreme2[1];
    } else {
        state2 = state2.long;
        if (high2 > extreme2[1])
        then {
            acc2 = min(acc2[1] + accelerationFactor, accelerationLimit);
            extreme2 = high2;
        } else {
            acc2 = acc2[1];
            extreme2 = extreme2[1];
        }
        SAR2 = min(min(low2, low2[1]), SAR2[1] + acc2 * (extreme2 - SAR2[1]));
    }
}

##### Time-frame 3
def state3 = {default init, long, short};
def extreme3;
def SAR3;
def acc3;

switch (state3[1]) {
case init:
    state3 = state3.long;
    acc3 = accelerationFactor;
    extreme3 = high3;
    SAR3 = low3;
case short:
    if (SAR3[1] < high3)
    then {
        state3 = state3.long;
        acc3 = accelerationFactor;
        extreme3 = high3;
        SAR3 = extreme3[1];
    } else {
        state3 = state3.short;
        if (low3 < extreme3[1])
        then {
            acc3 = min(acc3[1] + accelerationFactor, accelerationLimit);
            extreme3 = low3;
        } else {
            acc3 = acc3[1];
            extreme3 = extreme3[1];
        }
        SAR3 = max(max(high3, high3[1]), SAR3[1] + acc3 * (extreme3 - SAR3[1]));
    }
case long:
    if (SAR3[1] > low3)
    then {
        state3 = state3.short;
        acc3 = accelerationFactor;
        extreme3 = low3;
        SAR3 = extreme3[1];
    } else {
        state3 = state3.long;
        if (high3 > extreme3[1])
        then {
            acc3 = min(acc3[1] + accelerationFactor, accelerationLimit);
            extreme3 = high3;
        } else {
            acc3 = acc3[1];
            extreme3 = extreme3[1];
        }
        SAR3 = min(min(low3, low3[1]), SAR3[1] + acc3 * (extreme3 - SAR3[1]));
    }
}

##### Time-frame 4
def state4 = {default init, long, short};
def extreme4;
def SAR4;
def acc4;

switch (state4[1]) {
case init:
    state4 = state4.long;
    acc4 = accelerationFactor;
    extreme4 = high4;
    SAR4 = low4;
case short:
    if (SAR4[1] < high4)
    then {
        state4 = state4.long;
        acc4 = accelerationFactor;
        extreme4 = high4;
        SAR4 = extreme4[1];
    } else {
        state4 = state4.short;
        if (low4 < extreme4[1])
        then {
            acc4 = min(acc4[1] + accelerationFactor, accelerationLimit);
            extreme4 = low4;
        } else {
            acc4 = acc4[1];
            extreme4 = extreme4[1];
        }
        SAR4 = max(max(high4, high4[1]), SAR4[1] + acc4 * (extreme4 - SAR4[1]));
    }
case long:
    if (SAR4[1] > low4)
    then {
        state4 = state4.short;
        acc4 = accelerationFactor;
        extreme4 = low4;
        SAR4 = extreme4[1];
    } else {
        state4 = state4.long;
        if (high4 > extreme4[1])
        then {
            acc4 = min(acc4[1] + accelerationFactor, accelerationLimit);
            extreme4 = high4;
        } else {
            acc4 = acc4[1];
            extreme4 = extreme4[1];
        }
        SAR4 = min(min(low4, low4[1]), SAR4[1] + acc4 * (extreme4 - SAR4[1]));
    }
}

##### time-frame 5
def state5 = {default init, long, short};
def extreme5;
def SAR5;
def acc5;

switch (state5[1]) {
case init:
    state5 = state5.long;
    acc5 = accelerationFactor;
    extreme5 = high5;
    SAR5 = low5;
case short:
    if (SAR5[1] < high5)
    then {
        state5 = state5.long;
        acc5 = accelerationFactor;
        extreme5 = high5;
        SAR5 = extreme5[1];
    } else {
        state5 = state5.short;
        if (low5 < extreme5[1])
        then {
            acc5 = min(acc5[1] + accelerationFactor, accelerationLimit);
            extreme5 = low5;
        } else {
            acc5 = acc5[1];
            extreme5 = extreme5[1];
        }
        SAR5 = max(max(high5, high5[1]), SAR5[1] + acc5 * (extreme5 - SAR5[1]));
    }
case long:
    if (SAR5[1] > low5)
    then {
        state5 = state5.short;
        acc5 = accelerationFactor;
        extreme5 = low5;
        SAR5 = extreme5[1];
    } else {
        state5 = state5.long;
        if (high5 > extreme5[1])
        then {
            acc5 = min(acc5[1] + accelerationFactor, accelerationLimit);
            extreme5 = high5;
        } else {
            acc5 = acc5[1];
            extreme5 = extreme5[1];
        }
        SAR5 = min(min(low5, low5[1]), SAR5[1] + acc5 * (extreme5 - SAR5[1]));
    }
}

##### Plots
def PSAR = if IsNaN(SAR) then Double.NaN else 1;

def PSAR2 = if IsNaN(SAR2) then Double.NaN else 2;

def PSAR3 = if IsNaN(SAR3) then Double.NaN else 3;

def PSAR4 = if IsNaN(SAR4) then Double.NaN else 4;

def PSAR5 = if IsNaN(SAR5) then Double.NaN else 5;

def PSAR_TF1 = if state == state.long then 0 else 1;
def PSAR_TF2 = if state2 == state2.long then 0 else 1;
def PSAR_TF3 = if state3 == state3.long then 0 else 1;
def PSAR_TF4 = if state4 == state4.long then 0 else 1;
def PSAR_TF5 = if state5 == state5.long then 0 else 1;


plot MTF_PSAR = 6;
MTF_PSAR.SetPaintingStrategy(PaintingStrategy.SQUARES);
MTF_PSAR.SetLineWeight(lineWeight = 3);
MTF_PSAR.DefineColor("Buy", GetColor(5));
MTF_PSAR.DefineColor("Sell", GetColor(6));
MTF_PSAR.AssignValueColor ( if (PSAR_TF1 + PSAR_TF2 + PSAR_TF3 + PSAR_TF4 + PSAR_TF5) >= 3 then MTF_PSAR.Color("Buy") else MTF_PSAR.Color("Sell"));

plot totalAssetTurnover = (PSAR_TF1 + PSAR_TF2 + PSAR_TF3 + PSAR_TF4 + PSAR_TF5);
plot line = 3;

 

[ob1]

be careful using the above scripts, in addition to changing the candle stick colors it will also change the volume bar colors. Not sure it's very useful then

 

[tradegeek]

be careful using the above scripts, in addition to changing the candle stick colors it will also change the volume bar colors. Not sure it's very useful then

Obviously you didn't pay attention to the "paint bar" option that you can toggle on/off to color the candles. Besides that there is nothing in the script that reference volume bars. You may want to check your settings or other indicators you may have.

 

[Zajcev]

@tradegeek Thank you, an interesting indicator! Is it possible to add sending e-mail when changing the color of line 6?

 

[MerryDay]

@Zajcev
Commonly Asked Questions about Alerts:

There are Three Types of Alerts:

1. The alerts written into studies --cannot be sent to phone/email --cannot have custom sounds
2. You could create alerts on a chart for one specific stock. But it will only fire once. At that point, the condition has been met, the alert expires. No, this can't be changed.
3. You can not use scanned watchlist alerts because the scanner does not accept the MTF format.

 

[Zajcev]

@Zajcev
Commonly Asked Questions about Alerts:

There are Three Types of Alerts:

1. The alerts written into studies --cannot be sent to phone/email --cannot have custom sounds
2. You could create alerts on a chart for one specific stock. But it will only fire once. At that point, the condition has been met, the alert expires. No, this can't be changed.
3. You can not use scanned watchlist alerts because the scanner does not accept the MTF format.

Thanks for the answer. Sending is not provided anywhere at all? For example, in a messenger?

 

[MerryDay]

@Zajcev There is no messenger module available on the TOS platform.

 

[gn5150]

@tradebyday @rad14733

What @tradebyday stated above makes sense. However, I've searched Google and read several "pro" thinkscripters stated that MTF for tick and range chart isn't possible. I'm not a coder but I think I'm pretty good at solving problems and sometimes what seems like something that can't be done could very well be done with a very simple solution.

I just altered the indicator to support tick and range charts. Yes, it can be done and I've done it! That means other MTF indicators could be made to support tick and range charts the same way. It's so ridiculously simple. I'm so proud of myself and my "copy and paste" abilities...LOL!


(I'll post it soon! Meanwhile here are some screenshots.)

how did you alter aggregation period parameter in the code?

 

[tradegeek]

how did you alter aggregation period parameter in the code?

Check and compare the scripts in the first post and read the comments in the tick script. I just changed the aggregation period to a tick multiplier.

 

[gn5150]

Check and compare the scripts in the first post and read the comments in the tick script. I just changed the aggregation period to a tick multiplier.

ah yes, I missed your follow-up tick/range edit code below the original post. Hopefully it's a game changer, as non-time-based periods don't distort price action like time charts do. More cyclicality yields better signals than time-based noise

 

[MarginMoses]

Howdy @horserider, sorry to necropost but I noticed the PSAR MTF code you posted will plot different values when viewed in lower aggregations.

Example for AAPL: "WEEK" PSAR level when viewing on a 1Month : Day chart is $149.12, but when viewing on a 1Year : Day chart is $165.16. "YEAR" PSAR level on 1Year : Day is $116.21 versus 66.10 on 5Year : Week.

The value can also change when looking at the same "time frame" (5 years for example) but when using a different candle length (4 Hour, Day, Week, Month...).

I also noticed this happens when almost any higher aggregation plot is created outside the timeframe that's being displayed.

Do you know if there's a way for these plots to display the same value across all aggregations regardless of length or candle duration?

Thanks!

 

[MerryDay]

Howdy @horserider, sorry to necropost but I noticed the PSAR MTF code you posted will plot different values when viewed in lower aggregations.

Example for AAPL: "WEEK" PSAR level when viewing on a 1Month : Day chart is $149.12, but when viewing on a 1Year : Day chart is $165.16. "YEAR" PSAR level on 1Year : Day is $116.21 versus 66.10 on 5Year : Week.

The value can also change when looking at the same "time frame" (5 years for example) but when using a different candle length (4 Hour, Day, Week, Month...).

I also noticed this happens when almost any higher aggregation plot is created outside the timeframe that's being displayed.

Do you know if there's a way for these plots to display the same value across all aggregations regardless of length or candle duration?

Thanks!

MTF indicators will only reflect the correct value when the high timeframe closes.
For example if you have an hourly aggregation on a 2min chart. It will take 30 bars for those bars to reflect the correct value.
Read more about MTF repainting here:
https://usethinkscript.com/threads/answers-to-commonly-asked-questions.6006/#post-57833

 

[MarginMoses]

Thanks for the reply @MerryDay ... I thought for sure my question would have been lost in the abyss by now.

Also, thanks for the clarification and the link! I went ahead and gave it a read and it's possible that I'm encountering some of what's in that post. It's also possible that what I'm experiencing is part of how PSAR plots overall.

I'm fairly familiar with MTF studies, specifically MTF StandardDev/Error Channels as well as MTF Moving averages (I've used and modified ThinkScript code for both). Generally, the values they plot are pretty consistent across all the lower aggregations and they only seem to vary slightly when looking an smaller and smaller aggregations (plotting a Weekly MTF MA level on a 10 minute chart for example).

What I'm running into is a bit different.

Essentially, what I think is happening, is that when the Stop-And-Reverse (switch from Long to Short) occurs outside the viewed time frame, it somehow changes the plot (not just the value but also changes from long to short).

Here's a couple screenshots of what I'm talking about:

https://imgur.com/a/9RGDIQo

I'm assuming it has something to do with how the indicator looks back when viewing smaller aggregations. So far, my solution has been to "max out" any aggregation I'm viewing (1D : Max, 4H : 360Day, etc) to make sure it doesn't mis-plot.

Any input or help is always greatly appreciated!

 

[MerryDay]

Thanks for the reply @MerryDay ... I thought for sure my question would have been lost in the abyss by now.

Also, thanks for the clarification and the link! I went ahead and gave it a read and it's possible that I'm encountering some of what's in that post. It's also possible that what I'm experiencing is part of how PSAR plots overall.

I'm fairly familiar with MTF studies, specifically MTF StandardDev/Error Channels as well as MTF Moving averages (I've used and modified ThinkScript code for both). Generally, the values they plot are pretty consistent across all the lower aggregations and they only seem to vary slightly when looking an smaller and smaller aggregations (plotting a Weekly MTF MA level on a 10 minute chart for example).

What I'm running into is a bit different.

Essentially, what I think is happening, is that when the Stop-And-Reverse (switch from Long to Short) occurs outside the viewed time frame, it somehow changes the plot (not just the value but also changes from long to short).

Here's a couple screenshots of what I'm talking about:

https://imgur.com/a/9RGDIQo

I'm assuming it has something to do with how the indicator looks back when viewing smaller aggregations. So far, my solution has been to "max out" any aggregation I'm viewing (1D : Max, 4H : 360Day, etc) to make sure it doesn't mis-plot.

Any input or help is always greatly appreciated!

Ahhhhh... Wow, as you have astuted; it uses extremes in its calculations:
Read more here and here for some workarounds:
https://usethinkscript.com/threads/tos-parabolic-sar-bug-is-there-a-working-alternative.10260/
https://usethinkscript.com/threads/psar-shifting-question.3709/

 

[MarginMoses]

Ahhhhh... Wow, as you have astuted; it uses extremes in its calculations:
Read more here and here for some workarounds:
https://usethinkscript.com/threads/tos-parabolic-sar-bug-is-there-a-working-alternative.10260/
https://usethinkscript.com/threads/psar-shifting-question.3709/

Beautiful... I'll give those a read @MerryDay. Thank you!

 

[northdecoder]

Here is a study for an aggregation of three parabolicSAR.
Works intraday and daily, with an adjustment of the default inputs.
http://tos.mx/!d7I1Dyyy

#hint: Plot parabolicSAR for multi-time-frame aggregation.

# Typically the parabolicSAR is plotted with dots, however the
# script would plot multiple dots at the higher aggregation
# periods, which is confusing, so the plot PaintingStrategy is
# set to line.
#
# The calculations take a long time to paint.  While waiting
# for the calculations the little stop sign in the upper left
# corner presents a message that says "Trying to self-assign a non-initialized rec:acc"

# date: 1-November 2024

input short_aggregation = AggregationPeriod.FIVE_MIN;
input medium_aggregation = AggregationPeriod.TEN_MIN;
input long_aggregation = AggregationPeriod.FIFTEEN_MIN;

input accelerationFactor = 0.04;
input accelerationLimit = 0.4;

#

script psar_agg {
    input aggregation_period = 0;
    
    
    # copy and pasted parabolicSAR from
    # Charles Schwab & Co. (c) 2008-2024
    #
    # fcj37irl added aggregation period 10/31/24
    
    input accelerationFactor = 0;
    input accelerationLimit = 0;


    Assert(accelerationFactor > 0, "'acceleration factor' must be positive: " + accelerationFactor);
    Assert(accelerationLimit >= accelerationFactor,
               "'acceleration limit' (" + accelerationLimit + ") must be greater than or equal to 'acceleration factor' (" + accelerationFactor + ")");

    def state = {default init, long, short};
    def extreme;
    def SAR;
    def acc;


    def high_agg = high(period = aggregation_period);
    def low_agg  = low(period = aggregation_period);

    #

    switch (state[1]) {
    case init:
        state = state.long;
        acc = accelerationFactor;
        extreme = high_agg;
        SAR = low_agg;
    case short:
        if (SAR[1] < high_agg)
        then {
            state = state.long;
            acc = accelerationFactor;
            extreme = high_agg;
            SAR = extreme[1];
        } else {
            state = state.short;
            if (low_agg < extreme[1])
            then {
                acc = Min(acc[1] + accelerationFactor, accelerationLimit);
                extreme = low_agg;
            } else {
                acc = acc[1];
                extreme = extreme[1];
            }
            SAR = Max(Max(high_agg, high_agg[1]), SAR[1] + acc * (extreme - SAR[1]));
        }
    case long:
        if (SAR[1] > low_agg)
        then {
            state = state.short;
            acc = accelerationFactor;
            extreme = low_agg;
            SAR = extreme[1];
        } else {
            state = state.long;
            if (high_agg > extreme[1])
            then {
                acc = Min(acc[1] + accelerationFactor, accelerationLimit);
                extreme = high_agg;
            } else {
                acc = acc[1];
                extreme = extreme[1];
            }
            SAR = Min(Min(low_agg, low_agg[1]), SAR[1] + acc * (extreme - SAR[1]));
        }
}# end switch

    plot psar_agg = SAR;
}# end script

#

plot psar_short = psar_agg(short_aggregation, accelerationFactor, accelerationLimit);
plot psar_medium = psar_agg(medium_aggregation, accelerationFactor, accelerationLimit);
plot psar_long = psar_agg(long_aggregation, accelerationFactor, accelerationLimit);

psar_short.SetPaintingStrategy(PaintingStrategy.LINE);
psar_medium.SetPaintingStrategy(PaintingStrategy.LINE);
psar_long.SetPaintingStrategy(PaintingStrategy.LINE);

psar_short.SetDefaultColor(Color.MAGENTA);
psar_medium.SetDefaultColor(Color.BLUE);
psar_long.SetDefaultColor(Color.GRAY);

 

[GiJoe1970]

I got the lower indicator to work in the intraday. What settings should I use for the Daily? Not working on Daily no matter what settings I use.