Volatility Trading Range for ThinkorSwim

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BenTen

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Volatility Trading Range is an indicator for ThinkorSwim that measures the weekly and monthly movement of a stock based on its usual trading range.

This specific indicator will be plotted as an oscillator on your chart.

Here is what it would look like when you add it to ThinkorSwim.

hcP1G38.png


How do I read this indicator?

Pay attention to the following:
  • The blue line represents the weekly volatility movement
  • The pink line represents the monthly volatility movement
  • The red line is plotted at 100
  • The green line is plotted at -100
Usage:
  • When the blue line is moving above the 100 level or below the -100 level, it means that the stock is currently exceeding its normal WEEKLY trading range.
  • When the pink line moves above the 100 level or below the -100 level, it means that the stock is currently exceeding its normal MONTHLY trading range.

A few examples:

BUWzaWO.png


A: AMD is already trading above its weekly trading range = Over-extended
B: Same thing as box A. AMD is trading above its average weekly AND monthly range to the upside. I would consider this to be an over-extended move.
C: At this level, AMD is trading below its average monthly range. At this level, I would consider it to be undervalued.
D: Same as C but this time it's the weekly trading range.

You get the idea.

Scanner

Using the default indicator, you can quickly build your own scanner to look for "undervalued" and "over-extended" stocks.

Personal Point of View

Based on my own analysis, it's safe to assume that the stocks in my watchlist don't usually trade outside of their average trading ranges. When they do, I look to trade the opposite direction. However, during this market condition, I don't like to short anything. As a result, the 100 level can be treated as a profit-taking point.

Download Volatility Trading Range Indicator

Current VIP members can download the indicator from the customer area.

If you're not a VIP member yet, consider upgrading your account or you can learn more about our VIP subscription on this page.
 

BenTen

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@Tiredoflosing Of course. There are two ways:

Method #1: see comment #7.

Method #2: Modifying the variable from def to input. This will allow you to choose the timeframe from the dropdown.

Look for the following:

Code:
def aggregationPeriod = AggregationPeriod.MONTH;
def aggregationPeriod_nd = AggregationPeriod.WEEK;

replace them with:

Code:
input aggregationPeriod = AggregationPeriod.MONTH;
input aggregationPeriod_nd = AggregationPeriod.WEEK;

After that, you can go to the indicator's settings and adjust the timeframe from there.

RNu9h0t.png
 

Daniel

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Looking good. I keep it on daily one.

Thank you so much, I will check for the next few days, but it is looking really good right now .

Have a nice (what ever left from this weekend. )😎

Daniel.
 

iPR1NT$$

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@BenTen I am new to the site and really amazed with a lot of the indicators. Thank you for the awesome support.

I tried the Volatility Trading range and it works well for Stocks. However, no data shows up for Futures..ex NQ. Please see attached screenshot.
 

BenTen

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@iPR1NT$$ You don't have enough data displayed on your chart. You have the 1D 1m chart up. The indicator pulls data from the monthly and weekly timeframe. I would expand the duration of your current timeframe to something like 30D (30 days) 1m. See if that works.
 

luiG

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Hi Ben and team,

Hope you are doing fine, I love this Volatility Study.

If possible I would like to develop a variant. instead of lower, Id like too see in graph sort of like the study as support resistance with previews closure, but this logic.

I tried to create a daily range as well, and want to combine (MONTH,WEEK,DAY) based on close price from previews day.
 

BenTen

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@luiG Did you check out the Visualizer version? When you use the Visualizer version, go to the indicator's settings and set "percentile_plot" from No to Yes :)

z1wrz0G.png
 

BenTen

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@Dix Ahh, ok, the condition is correct, but it wouldn't work the way you wanted it to.

If you set your scanner to WK, then it's going to be comparing the current VTR to the previous week's VTR. Since TOS does not allow secondary aggregation periods in their scanner, I don't think what you want to scan for is possible. :(
 

Dix

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Cool @BenTen . I understand it can't be done. I caught ZM yesterday using the VTR set-up from Thursday. I think the VTR is your best indicator yet...even better than BTD. I have been catching at least one such massive move ($15+) on a weekly basis. Last week I caught it three times. I have the original VTR loaded on the daily chart and I try to see if both VTR lines move in the same direction. I don't use it in isolation but it's one of the things I look for when I am swinging overnight hence the reason I was trying to scan to get all stocks that showed that pattern so I can review them. Now I think I've been more lucky than anything. Hope it continues.
 
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