Use Aggregation Periods In Scans

[SorcererPrince]

I have an indicator script that uses weekly aggregation data. However, I went to use it to scan 15m. TOS of course doesn’t allow multi data aggregation. Has anyone figured out a good workaround for this?

 

[MerryDay]

@SorcererPrince Unfortunately, there is no secondary aggregation use in scans. That is built into the platform, no work-around.

 

[lostcoastsurf]

Is it possible to pull in a smaller time frame (hourly in this case) data into a Scan that has a daily aggregation period? Thus avoided the dreaded "Error: Secondary period not allowed: Day"

I would like to access the 2nd standard deviation on the bollinger band hourly chart for comparison to the daily ATR (Average True Range)

Thanks in advance.

 

[MerryDay]

It is not possible to have different aggregations within the same script in the Scan Hacker.
It is because of the fundamental way that the scan widget works.
Before you start to create the condition filters, you choose the aggregation period.
It is locked in.

After that, the scanner executes all filter conditions solely within the aggregation chosen.
If the scanner encounters an aggregation period within the filter script that doesn't match what has already been chosen; it produces the error message: "secondary aggregations not allowed".

However*
It is possible to put one filter for your ATR condition to be true on daily.
and add another filter for your other conditions to be true on your other timeframes.

The scan will only return results if both are true.


When attempting to compare data from one aggregation to another. A workaround that members have had success with is to extrapolate the moving average length:

On a daily chart a 50 SMA would equal a 10 SMA on a weekly chart
On a 1 Min Chart a 50 SMA would equal a 10 SMA on a 5 Min Chart
On a 1 Min Chart a 300 SMA would equal a 10 SMA on a Hourly Chart
On a 1 Min Chart a 1950 SMA would equal a 10 SMA on a Daily Chart

Obviously, you need to have enough bars allocated on your chart to complete the calculations.

 

[lostcoastsurf]

It is not possible to have different aggregations within the same script in the Scan Hacker.
It is because of the fundamental way that the scan widget works.
Before you start to create the condition filters, you choose the aggregation period.
It is locked in.

After that, the scanner executes all filter conditions solely within the aggregation chosen.
If the scanner encounters an aggregation period within the filter script that doesn't match what has already been chosen; it produces the error message: "secondary aggregations not allowed".

However*
It is possible to put one filter for your ATR condition to be true on daily.
and add another filter for your BB condition to be true on hourly.

The scan will only return results if both are true.

How would you compare the two filters? Or is it not possible? If you are trying to compare the Daily ATR to the width of the Hourly Bollinger Band? So by placing the Daily ATR script/filter in one study, and the Hourly Bollinger Band width in the second script/filter study.... and wanting to compare the "width"/range between the Daily ATR and Hourly Bollinger Band width. (I hope that makes sense.)

 

[MerryDay]

How would you compare the two filters? Or is it not possible? If you are trying to compare the Daily ATR to the width of the Hourly Bollinger Band? So by placing the Daily ATR script/filter in one study, and the Hourly Bollinger Band width in the second script/filter study.... and wanting to compare the "width"/range between the Daily ATR and Hourly Bollinger Band width. (I hope that makes sense.)

No.

The ToS platform does not provide the ability to scan for the "width"/range between the Daily ATR and Hourly Bollinger Band width for the reasons explained in my above post.

 

[BijrK]

I am making a study to use in scanner.
I am finding the difference of 9EMA on the 5-minute chart to the current price.
And dividing the difference from daily ATR.
To calculate the Daily ATR, I am using daily aggregation in the code.
To calculate the 9EMA I am using the 5-minute aggregation.
But the scanner gives the error that Secondary Aggregation cannot be used.
Is there a way to get the value of the Daily ATR in the script without calculating it in the code?

Is there a workaround to this problem?

Sharing my code:

######################
#I am using AggregationPeriod.FIVE_MIN because
# I want to use the distance of current price from 9EMA on the 5-minute chart.
######################

input Agg = AggregationPeriod.FIVE_MIN;

######################
#Here I am calculating the daily ATR for which I need to use aggregationPeriod.DAY
######################

# Calcultion of daily ATR
#input length = 14;

def ATRDay =
    MovingAverage(
        AverageType.WILDERS,
        TrueRange(
            high(period = aggregationPeriod.DAY),
            close(period = aggregationPeriod.DAY),
            low(period = aggregationPeriod.DAY)
        ),
        14
    )
;



def length = 9;
def price = close; #(period = Agg);
def Avg_Type = AverageType.EXPONENTIAL;
def avg = MovingAverage(Avg_Type, price, length);
#def avg8SMA = MovingAverage(AverageType.SIMPLE, MyPrice, 8);

def chng_EMA9 = price - avg;
def diff_price_EMA9;

if (chng_EMA9>=0)
then {
    diff_price_EMA9 = price-avg;
}
else {
    diff_price_EMA9 = avg-price;
}

##################
#Here I am dividing the 9 EMA by daily ATR that is calculated above.
#I need to use chng_EMA9_std as the criteria value in my scanner.
#
#Is there a way to get the daily ATR value without having to calculate
#it in the code?
#So I do not get the second aggregation not allowed error in the scanner code.
#def chng_EMA9_std = (diff_price_EMA9 / ATRDay) * 100 ;
###################
plot chng_EMA9_std_plot = chng_EMA9_std;


def chng_VWAP = price - VWAP;
def diff_price_VWAP;


if (chng_VWAP>=0)
then {
    diff_price_VWAP = price-vwap;
}
else {
    diff_price_VWAP = vwap-price;
}
def chng_VWAP_std = (diff_price_VWAP / ATRDay) * 100 ;
plot chng_VWAP_std_plot = chng_VWAP_std ;

 

[MerryDay]

I am making a study to use in scanner.
I am finding the difference of 9EMA on the 5-minute chart to the current price.
And dividing the difference from daily ATR.
To calculate the Daily ATR, I am using daily aggregation in the code.
To calculate the 9EMA I am using the 5-minute aggregation.
But the scanner gives the error that Secondary Aggregation cannot be used.
Is there a way to get the value of the Daily ATR in the script without calculating it in the code?

Is there a workaround to this problem?

Sharing my code:

######################
#I am using AggregationPeriod.FIVE_MIN because
# I want to use the distance of current price from 9EMA on the 5-minute chart.
######################

input Agg = AggregationPeriod.FIVE_MIN;

######################
#Here I am calculating the daily ATR for which I need to use aggregationPeriod.DAY
######################

# Calcultion of daily ATR
#input length = 14;

def ATRDay =
    MovingAverage(
        AverageType.WILDERS,
        TrueRange(
            high(period = aggregationPeriod.DAY),
            close(period = aggregationPeriod.DAY),
            low(period = aggregationPeriod.DAY)
        ),
        14
    )
;



def length = 9;
def price = close; #(period = Agg);
def Avg_Type = AverageType.EXPONENTIAL;
def avg = MovingAverage(Avg_Type, price, length);
#def avg8SMA = MovingAverage(AverageType.SIMPLE, MyPrice, 8);

def chng_EMA9 = price - avg;
def diff_price_EMA9;

if (chng_EMA9>=0)
then {
    diff_price_EMA9 = price-avg;
}
else {
    diff_price_EMA9 = avg-price;
}

##################
#Here I am dividing the 9 EMA by daily ATR that is calculated above.
#I need to use chng_EMA9_std as the criteria value in my scanner.
#
#Is there a way to get the daily ATR value without having to calculate
#it in the code?
#So I do not get the second aggregation not allowed error in the scanner code.
#def chng_EMA9_std = (diff_price_EMA9 / ATRDay) * 100 ;
###################
plot chng_EMA9_std_plot = chng_EMA9_std;


def chng_VWAP = price - VWAP;
def diff_price_VWAP;


if (chng_VWAP>=0)
then {
    diff_price_VWAP = price-vwap;
}
else {
    diff_price_VWAP = vwap-price;
}
def chng_VWAP_std = (diff_price_VWAP / ATRDay) * 100 ;
plot chng_VWAP_std_plot = chng_VWAP_std ;

https://usethinkscript.com/threads/use-aggregation-periods-in-scans.17550/#post-131717

 

[BijrK]

Thanks @MerryDay

Q1. If I create a custom column in a different aggregation period, e.g. Aggregation Period 5 minute.
Can I use the value of that column in another study for calculation, if that study I am using for a scanner with 1 minute aggregation?

Q2. Some workarounds are mentioned above to calculate a different SMA on a smaller timeframe to duplicate a bigger timeframe SMA.
What EMA can I use in 1 Minute chart to replicate 9EMA of 5minute chart?

Thanks

 

[MerryDay]

Thanks @MerryDay

Q1. If I create a custom column in a different aggregation period, e.g. Aggregation Period 5 minute.
Can I use the value of that column in another study for calculation, if that study I am using for a scanner with 1 minute aggregation?

Q2. Some workarounds are mentioned above to calculate a different SMA on a smaller timeframe to duplicate a bigger timeframe SMA.
What EMA can I use in 1 Minute chart to replicate 9EMA of 5minute chart?

Thanks

1. no -- the ToS platform does not provide the ability to reference custom watchlists, custom studies in another study.

2. use the standards posted here as your starting point:
https://usethinkscript.com/threads/use-aggregation-periods-in-scans.17550/#post-131717
use extrapolation and interpolation to find what lengths model your higher aggregation plot.

 

[BijrK]

Hi,
Can I use a multi timeframe study (having different aggregation periods used in calculation) in a custom column?

Thanks.

 

[MerryDay]

Hi,
Can I use a multi timeframe study (having different aggregation periods used in calculation) in a custom column?

Thanks.

No, it is not possible to use mtf studies in watchlists.
Watchlists, first lock into an aggregation and then does it calculations only in that aggregation.