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duplicate ATR from 30 min chart to 15 min chart
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duplicate ATR from 30 min chart to 15 min chart

  #1 (permalink)
Elite Member
Nanjing, NJ
 
Futures Experience: Intermediate
Platform: CQG/TOS
Broker/Data: Optimus/CQG
Favorite Futures: CL
 
Posts: 102 since Jun 2010
Thanks: 33 given, 71 received

duplicate ATR from 30 min chart to 15 min chart

Hi, this is a generic question about ATR on thinkorswim, but the idea should be applicable to any platform.

The idea is duplicate my ATR value from a 30 min chart to 15 min chart.

The script for a 45 period ATR on 30 min chart is : Average(TrueRange(high, close, low), 45)

On my 15 min chart, I changed 45 to 90, and everything else is the same: Average(TrueRange(high, close, low), 90);

Since 15 min chart has double the bar count of 30 min chart, I thought the revised script would give me the exact reading from the 30 min chart, but it does not.

Anyone has any clue what's not right?

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  #3 (permalink)
Elite Member
Nanjing, NJ
 
Futures Experience: Intermediate
Platform: CQG/TOS
Broker/Data: Optimus/CQG
Favorite Futures: CL
 
Posts: 102 since Jun 2010
Thanks: 33 given, 71 received


I managed to put together something like this, in case anyone need it. And it works

def agg1 = AggregationPeriod.FIFTEEN_MIN;
def agg2 = AggregationPeriod.THIRTY_MIN;

def ATR1 = Average(TrueRange(high(period = agg1), close(period = agg1), low(period = agg1)), 45);
def ATR2 = Average(TrueRange(high(period = agg2), close(period = agg2), low(period = agg2)), 45);

Little hidden gem that TOS allows a secondary aggregation period in their script language

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