Volatility Scan & Indicator For ThinkOrSwim

[drasp]

Volatility Ratio Indicator & Scan
Here's a good scan I made:
http://tos.mx/IuRFsgv

To use the above scan, first load this script into your library. Name it: Volatility Ratio
http://tos.mx/nvDXYsK

declare lower;

input length = 14;
input signal = .6;

def truehigh = Max(high, close[1]);
def truelow = Min(low, close[1]);
def TTR = truehigh - truelow;
def ATR = MovingAverage(averagetype.WILDERS, TTR, length);

plot VR = TTR / ATR;
VR.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
VR.AssignValueColor(if VR >= signal then Color.GREEN else Color.LIGHT_RED);

plot zeroline = 0;
zeroline.SetDefaultColor(Color.GRAY);
plot sigline = signal;
sigline.SetDefaultColor(Color.LIME);
plot widerangeline = 2;
widerangeline.SetDefaultColor(Color.CYAN);

 

[JeffryBatista]

@drasp 3 questions. In your scan is it possible to add a shares amount to control the supply of shares being traded? Does the scan work better if there is no max close price or is it possible to limit it to the close price desired? Will this scan work premarket ?

 

[MerryDay]

@drasp 3 questions. In your scan is it possible to add a shares amount to control the supply of shares being traded? Does the scan work better if there is no max close price or is it possible to limit it to the close price desired? Will this scan work premarket ?

1. Yes, you can add shares. Click on Add Stock, click on Shares
2. The best way to determine if "no max close price" will make to work better, is to add it and see.
3. The best way to determine how well if it will work premarket, is to try it and see.

Recommend you test out your questions on the scanner. Nothing beats personal experience The only way you will know what works best for you is to play with the settings and see how the scan results line up w/ your strategy and with your other indicators. To determine if this scan brings value, analyze it across history and with multiple instruments.

 

[Mattyb740]

Volatility Ratio Indicator & Scan
Here's a good scan I made:
http://tos.mx/IuRFsgv

To use the above scan, first load this script into your library. Name it: Volatility Ratio
http://tos.mx/nvDXYsK

declare lower;

input length = 14;
input signal = .6;

def truehigh = Max(high, close[1]);
def truelow = Min(low, close[1]);
def TTR = truehigh - truelow;
def ATR = MovingAverage(averagetype.WILDERS, TTR, length);

plot VR = TTR / ATR;
VR.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
VR.AssignValueColor(if VR >= signal then Color.GREEN else Color.LIGHT_RED);

plot zeroline = 0;
zeroline.SetDefaultColor(Color.GRAY);
plot sigline = signal;
sigline.SetDefaultColor(Color.LIME);
plot widerangeline = 2;
widerangeline.SetDefaultColor(Color.CYAN);

Thank you for this. I will be using it!
Question though-
After you open the first file (vol ratio)
Do you have to open it anywhere?
I couldn’t find it but I opened your 2nd file ( vol ratio and scan) and a bunch of results came up. I guess my question is, is the vol ratio file running in the background or do I manually have to load the scan somewhere as I wasn’t sure what you meant by library.
Thanks and I apologize if I asked an easy question as I did try to search for library in the search bar.

 

[MerryDay]

Thank you for this. I will be using it!
Question though-
After you open the first file (vol ratio)
Do you have to open it anywhere?
I couldn’t find it but I opened your 2nd file ( vol ratio and scan) and a bunch of results came up. I guess my question is, is the vol ratio file running in the background or do I manually have to load the scan somewhere as I wasn’t sure what you meant by library.
Thanks and I apologize if I asked an easy question as I did try to search for library in the search bar.

No the scan hacker does not require that a study be open.

 

[drasp]

@drasp 3 questions. In your scan is it possible to add a shares amount to control the supply of shares being traded? Does the scan work better if there is no max close price or is it possible to limit it to the close price desired? Will this scan work premarket ?

@MerryDay answered them all beautifully. Yes. this scan should work for premarket as well, I don't see why not. Set the aggregation to daily, and you will see. 1. yes 2. yes 3. yes
the filters that I use are stuff I've learned overtime that helps me find big ranges I can trade in. When a range is that big it trades freely, so you gotta be disciplined. It needs to be liquid enough, have enough interest, and activity.

When it comes to the scan you gotta load the indicator first. Save it as an indicator.
Then you load up the scan that @MerryDay made.

The indicator itself is amazing at finding which futures contracts are moving that day (the column). With stocks I haven't toyed with it much. The main strategy I would use is the gap and go method, if you're scanning premarket.

 

[Robster021]

Volatility Ratio Indicator & Scan
Here's a good scan I made:
http://tos.mx/IuRFsgv

To use the above scan, first load this script into your library. Name it: Volatility Ratio
http://tos.mx/nvDXYsK

declare lower;

input length = 14;
input signal = .6;

def truehigh = Max(high, close[1]);
def truelow = Min(low, close[1]);
def TTR = truehigh - truelow;
def ATR = MovingAverage(averagetype.WILDERS, TTR, length);

plot VR = TTR / ATR;
VR.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
VR.AssignValueColor(if VR >= signal then Color.GREEN else Color.LIGHT_RED);

plot zeroline = 0;
zeroline.SetDefaultColor(Color.GRAY);
plot sigline = signal;
sigline.SetDefaultColor(Color.LIME);
plot widerangeline = 2;
widerangeline.SetDefaultColor(Color.CYAN);

Hi, is there a way to show if the volume is majority buy vs selling in the indicator?

 

[drasp]

Hi, is there a way to show if the volume is majority buy vs selling in the indicator?

I'm not sure. I imagine you can filter buy putting >0.01% or <0.01% to filter out which ones are bullish or bearish

 

[MerryDay]

Hi, is there a way to show if the volume is majority buy vs selling in the indicator?

Actual breakout of buying and selling volume is not available from the ToS data feeds

 

[PAM]

Hey @drasp I noticed an error on your imported scan (see pic below).

If you look at the first custom study, just change it to this to fix:

VOLATILITY_RATIO()."VR" is greater than 2

Thanks for a great scan1