Request for: average ATR range for same bar from different period

[astrostrider]

Greetings from Europe,
Is it possible to use price information for the same bar in different time periods to construct a moving ATR band? Fore example using a 5-min bar at 9:30-9:35 over the last 20 days to computer ATR for that particular bar, etc. I think it's helpful for intraday trading as it factors in intraday time-period based volatilities. I tried to do it myself but I am not a developer and there is this saying "old dog doesn't learn new tricks". Would appreciate it very much if someone can help. Thanks a lot.

 

[SleepyZ]

Greetings from Europe,
Is it possible to use price information for the same bar in different time periods to construct a moving ATR band? Fore example using a 5-min bar at 9:30-9:35 over the last 20 days to computer ATR for that particular bar, etc. I think it's helpful for intraday trading as it factors in intraday time-period based volatilities. I tried to do it myself but I am not a developer and there is this saying "old dog doesn't learn new tricks". Would appreciate it very much if someone can help. Thanks a lot.

See if this method helps. It uses 'thisday snippet' to capture each day's atr, starting with thisday at 0 for today and the thisday between 1 to 20 for the past 20 days, all at 0935's bar.

input lookback = 20;
input time     = 0935;
def ymd        = GetYYYYMMDD();
def candles    = if IsNaN(close) then candles[1] else close;
def capture    = candles and ymd != ymd[1];
def dayCount   = CompoundValue(1, if capture then dayCount[1] + 1 else dayCount[1], 0);
def thisDay    = (HighestAll(dayCount) - dayCount) ;
def atrpast    = if Between(thisDay, 1, lookback) and SecondsFromTime(0935) == 0 then atrpast[1] + Average(TrueRange(high, close, low), 1) else atrpast[1];
def atrtoday   = if thisDay == 0 and SecondsFromTime(0935) == 0 then Average(TrueRange(high, close, low), 1) else atrtoday[1];
AddLabel(1, "ATR@" + time + " - Today: " + atrtoday + "; Last " + lookback + " days: " + (atrpast / lookback), if atrtoday > (atrpast / lookback) then Color.LIGHT_GREEN else Color.LIGHT_RED);

 

[astrostrider]

Thank you SleepyZ. I was able to modify someone's code to get time-segment based ATRs for each bar, but have difficulties to apply to a reference curve. I would like to have it pre-plotted in advance but all MAs are laggard. I am trying to find a price projection curve, which probably render this idea useless.