Volatility Script for TOS

August 26th, 2020, 01:56 AM

Could someone please help me write the following script:

I would like to take the closing price and divide it by the 20 bar Average True Range and the result should be less than 30.

For example I tried close/ ATR(20) < 30 but that obviously is wrong.

Thanks

August 28th, 2020, 09:59 PM

the close is a single point, where as the ATR is the average ranges... two points... try dividing the 20 ATR by the 1 ATR since the 1 ATR should just be the ATR of the current bar

August 29th, 2020, 12:06 AM

Thanks for your reply but that wouldn't work. I need to take into account the price of the stock,
For example a 10 dollar stock that has a 20 bar ATR of 5 is much more volatile than a 100 dollar stock
with the same 20 bar ATR of 5. I'd like to do scan that would allow me to find such volatile stocks.

So the formula would be "Close divided by the 20 bar ATR < 30" but that is not the correct script. If someone knows
how to write the above formula so that I can do a scan it would be greatly appreciated.

September 28th, 2020, 07:59 AM

We can better help if you describe what you�re trying to do. G137 told you why the close cannot be used in the formula you referenced. You seem to be looking for an ATR % scan, which you will compare the current range to the average. If you are looking for an ATR weighted position size then see the article in the included link

https://leighdrogen.com/position-sizing-is-everything-c6076ee7f44

Volatility Script for TOS

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Volatility Script for TOS