Volatility Box Indicator for ThinkorSwim

[john3]

Does the code in post #41 repaint?

 

[BenTen]

@john3 I believe so

 

[john3]

@john3 I believe so

Does the Volatility Box use a volume profile?

 

[BenTen]

@john3 I have no idea at all. Never used it.

 

[john3]

If it uses a volume profile, post #41, maybe it doesn't really repaint, it just changes because a volume profile is dynamic.

 

[Huffmac90]

My latest swag on the V-Box script. Not really interested in this anymore though because I was able to complete a code that works much better for my strategy. This has to be adjusted to fit the different timeframes so maybe combining @tradegeek's posted code and this will give you the desired effect.

##code base from TOS TPO and multiple codes from the OneNote page.

#VM_Drummond_61_Channel
#VM_Drummond_RS_Zones

declare upper;
input showlines             = yes;
input pricePerRowHeightMode = { AUTOMATIC, default TICKSIZE, CUSTOM};
input customRowHeight       = .01;
input timePerProfile        = {CHART, MINUTE, MIN2, MIN3, MIN4, MIN5, MIN10,  default  MIN15, MIN20,  MIN30, HOUR, TWOHOUR, FOURHOUR, DAY , TWODAY, THREEDAY, FOURDAY, WEEK, MONTH, "OPT EXP", BAR};
input timePerProfile2        = {CHART, MINUTE, MIN2, MIN3, MIN4, MIN5, MIN10,  default  MIN15, MIN20,  MIN30, HOUR, TWOHOUR, FOURHOUR, DAY , TWODAY, THREEDAY, FOURDAY, WEEK, MONTH, "OPT EXP", BAR};
input multiplier         = 1.0;
input onExpansion        = no;
input profiles           = 1000;
input showPointOfControl = yes;
input showValueArea      = yes;
input valueAreaPercent   = 100.0;
input valueAreaPercent2  = 87.5;
input opacity            = 99;

def period;
def agg;
def yyyymmdd = GetYYYYMMDD();
def seconds = SecondsFromTime(0);
def month = GetYear() * 12 + GetMonth();
def day_number = DaysFromDate(First(yyyymmdd)) + GetDayOfWeek(First(yyyymmdd));
def dom = GetDayOfMonth(yyyymmdd);
def dow = GetDayOfWeek(yyyymmdd - dom + 1);
def expthismonth = (if dow > 5 then 27 else 20) - dow;
def exp_opt = month + (dom > expthismonth);
switch (timePerProfile) {

case CHART:
    period = 0;
    agg = AggregationPeriod.DAY;

case MINUTE:
    period = Floor(seconds / 60 + day_number * 24 * 60);
    agg = AggregationPeriod.MIN;

case MIN2:
    period = Floor(seconds / 120 + day_number * 24);
    agg = AggregationPeriod.TWO_MIN;

case MIN3:
    period = Floor(seconds / 180 + day_number * 24);
    agg = AggregationPeriod.THREE_MIN;

case MIN4:
    period = Floor(seconds / 240 + day_number * 24);
    agg = AggregationPeriod.FOUR_MIN;

case MIN5:
    period = Floor(seconds / 300 + day_number * 24);
    agg = AggregationPeriod.FIVE_MIN;

case MIN10:
    period = Floor(seconds / 600 + day_number * 24);
    agg = AggregationPeriod.TEN_MIN;

case MIN15:
    period = Floor(seconds / 900 + day_number * 24);
    agg = AggregationPeriod.FIFTEEN_MIN;

case MIN20:
    period = Floor(seconds / 1200 + day_number * 24);
    agg = AggregationPeriod.TWENTY_MIN;

case MIN30:
    period = Floor(seconds / 1800 + day_number * 24);
    agg = AggregationPeriod.THIRTY_MIN;

case HOUR:
    period = Floor(seconds / 3600 + day_number * 24);
    agg = AggregationPeriod.HOUR;

case TWOHOUR:
    period = Floor(seconds / 7200 + day_number * 24);
    agg = AggregationPeriod.TWO_HOURS;

case FOURHOUR:
    period = Floor(seconds / 14400 + day_number * 24);
    agg = AggregationPeriod.FOUR_HOURS;

case DAY:
    period = CountTradingDays(Min(First(yyyymmdd), yyyymmdd), yyyymmdd) - 1;
    agg = AggregationPeriod.DAY;

case TWODAY:
    period = CountTradingDays(Min(First(yyyymmdd), yyyymmdd), yyyymmdd) - 1;
    agg = AggregationPeriod.TWO_DAYS;

case THREEDAY:
    period = CountTradingDays(Min(First(yyyymmdd), yyyymmdd), yyyymmdd) - 1;
    agg = AggregationPeriod.THREE_DAYS;

case FOURDAY:
    period = CountTradingDays(Min(First(yyyymmdd), yyyymmdd), yyyymmdd) - 1;
    agg = AggregationPeriod.FOUR_DAYS;

case WEEK:
    period = Floor(day_number / 7);
    agg = AggregationPeriod.WEEK;
case MONTH:
    period = Floor(month - First(month));
    agg = AggregationPeriod.MONTH;

case "OPT EXP":
    period = exp_opt - First(exp_opt);
    agg = AggregationPeriod.DAY;

case BAR:
    period = BarNumber() - 1;
    agg = AggregationPeriod.DAY;
}



input price = close;
input displace = 0;
input length = 20;
input Num_Dev_Dn = -1.9;
input Num_Dev_Dn1 = -2.9;
input Num_Dev_Dn2 = -3.9;
input Num_Dev_Dn3 = -4.9;
input Num_Dev_Dn4 = -5.9;
input Num_Dev_up = 1.9;
input Num_Dev_up1 = 2.9;
input Num_Dev_up2 = 3.9;
input Num_Dev_up3 = 4.9;
input Num_Dev_up4 = 5.9;
input averageType = AverageType.HULL;

def sDev = StDev(data = price[-displace], length = length);

#DrummondChannel
def o = open(period = agg);
def h = high(period = agg);
def l = low(period = agg);
def c = close(period = agg);
def HMA = MovingAverage(AverageType.HULL, price, length)[displace];
plot Hull = HMA;


#====1-1Channel====
def y = HMA - AbsValue(h[1] - HMA);
def x = HMA + AbsValue(HMA - l[1]);
plot res = x;
plot sup = y;

plot LowerBand = y + Num_Dev_Dn * sDev;
plot UpperBand = x + Num_Dev_up * sDev;
plot LowerBand1 = y + Num_Dev_Dn1 * sDev;
plot UpperBand1 = x + Num_Dev_up1 * sDev;
plot LowerBand2 = y + Num_Dev_Dn2 * sDev;
plot UpperBand2 = x + Num_Dev_up2 * sDev;
plot LowerBand3 = y + Num_Dev_Dn3 * sDev;
plot UpperBand3 = x + Num_Dev_up3 * sDev;
plot LowerBand4 = y + Num_Dev_Dn4 * sDev;
plot UpperBand4 = x + Num_Dev_up4 * sDev;

LowerBand4.SetDefaultColor(Color.GREEN);
LowerBand3.SetDefaultColor(Color.GREEN);
LowerBand2.SetDefaultColor(Color.GREEN);
LowerBand1.SetDefaultColor(Color.GREEN);
LowerBand.SetDefaultColor(Color.GREEN);
UpperBand.SetDefaultColor(Color.RED);
UpperBand1.SetDefaultColor(Color.RED);
UpperBand2.SetDefaultColor(Color.RED);
UpperBand3.SetDefaultColor(Color.RED);
UpperBand4.SetDefaultColor(Color.RED);

Hull.DefineColor("Up", Color.GREEN);
Hull.DefineColor("Down", Color.RED);
Hull.AssignValueColor(if HMA > HMA[1] then Hull.Color("Up") else Hull.Color("Down"));

AddCloud(LowerBand3, LowerBand4, Color.GREEN);
AddCloud(LowerBand1, LowerBand3, Color.DARK_GREEN);
AddCloud(UpperBand4, UpperBand3, Color.RED);
AddCloud(UpperBand3, UpperBand1, Color.DARK_RED);

input AtrMult = 1.0;
input nATR = 4;
input AvgType = AverageType.HULL;
input PaintBars = yes;
def ATR = MovingAverage(AvgType, TrueRange(high, close, low), nATR);
def UP = HL2 + (AtrMult * ATR);
def DN = HL2 + (-AtrMult * ATR);
def ST = if close < ST[1] then UP else DN;
plot SuperTrend = ST;
SuperTrend.AssignValueColor(if close < ST then Color.RED else Color.GREEN);
AssignPriceColor(if PaintBars and close < ST then Color.RED else if PaintBars and close > ST then Color.GREEN else Color.CURRENT);

# End Code SuperTrend

 

[cherif]

@Huffmac90 This indicator looks really cool. Can you confirm that it's not showing the top and bottom line after the fact? Looking at the 20d 15m. I have yet to find a single false signal. This usually mean the indicator will repaint or delay. You said you're currently using it. Can you confirm its not?

i noticed so many codes in this thread and i got a bit confused on which one is corresponding with this chart. any chance i can get the tos link plzzzz

 

[BenTen]

@cherif I believe I got it from here. But before you proceed further, take a look at this.

 

[DeusMecanicus]

I did a little experimenting with the Volatility Box that tradegeek posted and that one also repaints. I have watched a few of TOSindicators youtube videos and I was impressed with how accurate their recaps seemed. Now I am not so sure this indicator will actually work in real time.

https://imgur.com/a/BuZ4LjX

The first picture I tracked the cloud movement from the beginning of the hour to where it ended up at the end of the hour. The second picture shows what would have been an entry if you looked at it at the end of the day but in real time the blue entry line was dragged down to the candle by the price dropping lower throughout the hour.

 

[diazlaz]

It will be subject to box re-calculations (repaints) at time. the higher the time frame, less volatility. it's using the high and low + a pivot point or gravity point calculated, probably at a weekly timeframe.

 

[BenTen]

@john3 A snippet was shared on here. It was reported due to the indicator being a premium product. We had to take it down. But based on what @diazlaz was saying, this seems to be a repainting indicator.

 

[jposeyx2]

Supposedly the Volatility Box was enhanced from this code:
https://www.prorealcode.com/prorealtime-indicators/volatility-breakout-indicator/

 

[BenTen]

@jposeyx2 Already converted to ToS by @diazlaz https://usethinkscript.com/threads/volatility-box-indicator-for-thinkorswim.667/post-8025

 

[Thomas]

@Huffmac90 You can find the Vwap Z-Score here https://usethinkscript.com/threads/vwap-deviation-z-score-with-chart-and-lower-indicators.602/

An alternative,.......https://tos.mx/N2f9cAA

 

[Thomas]

@diazlaz If you have watched any of the early videos of this indicator, first I don't remember seeing directional arrows, never longer than 1-5 minute chart, and several times price blows through bands,......it will help all if you learn to read price......

 

[Trader Raider]

@john3
@Thomas
@barbaros

As @BenTen stated above in post 61, what was posted earlier was premium code. I subscribed to the Volatility Box for quite a while and can assure you that it's no holy grail. It may provide a clean chart layout but it's not a complete trading system. You need additional confirmation at the pivot points and some basic knowledge of price action. The creator of the indicator is a nice guy. His product just didn't help me win trades.

For what it's worth, I overlaid the Volatility Box with numerous indicators available on this site. @horserider 's SD bands were a very close approximation.

Best wishes.

 

[john3]

@Trader Raider Would you please link that SD bands code?

Thank you for the clarification. I did not realize that BenTen was talking about the Volatility Box code, I thought Diazlaz has made a replica.

 

[barbaros]

I think it is this one: https://usethinkscript.com/threads/standard-deviation-bands-enhanced-for-thinkorswim.680/

 

[diazlaz]

Hi Everyone - not sure if I have it anymore, I believe this was VB box shared in this thread and the CSA that been released. I will check to see if i still have that grid saved.

 

[Trader Raider]

I think it is this one: https://usethinkscript.com/threads/standard-deviation-bands-enhanced-for-thinkorswim.680/

@john3, apologies for not providing the link. Thanks, @barbaros!

Just to be clear, I am referring to the portion of the VB code that was seen in images in posts 58 and 59 earlier in this thread.