Range Compression Indicator

This topic has 17 replies, 5 voices, and was last updated 4 years ago by Frankkeyo.

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08/21/2019 at 2:30 PM #105199

Thally

Hi All,

I am trying to build an indicators that draws a box around a range that represents an area of consolidation. I define this as a range less that 30% of the daily ATR. I have written the below but cannot seem to get it to draw anything. The use of for loops in PRT is not something I’ve tried before so I’d really appreciate some input if anyone can help.

Thanks

// Daily ATR
ATRperiod = 20
// ---

dTR = 0
for i = 0 to ATRperiod
dTR=dTR+max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1))))
next

// dATR
avg = dTR/ATRperiod

// ATR threshold
ATRt = 0.3 * avg

// Donchian Channel
DonchPeriod = 50
dh = HIGHEST[DonchPeriod](high)
dl = LOWEST[DonchPeriod](low)
DonchRange = dh - dl
 
if DonchRange <= ATRt then
for i = 0 to DonchPeriod do
if high[i]=dh then
x2 = barindex[i]
endif
if low[i]=dl then
x1 = barindex[i]
endif
next
if ABS(x2-x1) >= DonchPeriod then
DRAWRECTANGLE(x1,dl,x2,dh)coloured(255,10,10)
endif
endif
 
RETURN

// Daily ATR

ATRperiod = 20

// ---

dTR = 0

for i = 0 to ATRperiod

dTR=dTR+max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1))))

// dATR

avg = dTR/ATRperiod

// ATR threshold

ATRt = 0.3 * avg

// Donchian Channel

DonchPeriod = 50

dh = HIGHEST[DonchPeriod](high)

dl = LOWEST[DonchPeriod](low)

DonchRange = dh - dl

if DonchRange <= ATRt then

for i = 0 to DonchPeriod do

if high[i]=dh then

x2 = barindex[i]

endif

if low[i]=dl then

x1 = barindex[i]

endif

if ABS(x2-x1) >= DonchPeriod then

DRAWRECTANGLE(x1,dl,x2,dh)coloured(255,10,10)

endif

RETURN

Thally

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Been thanked: 8 times

08/21/2019 at 11:27 PM #105243

Thally

I figured it out in the end and it was much more simple than I thought. In essence I wanted to identify periods of consolidation and mark these out as ranges so that I could play breakout of these ranges. I use a Donchian channel and calculate when the range of the channel is less than a certain percentage of the daily ATR – e.g. in the example below I use 10 period Donchain and calculate when it is less than 10% of the daily ATR. I define this as a consolidation range and draw lines to mark it out.

Here is the code to draw lines on the chart.

// Daily ATR
ATRperiod = 20
// ---

dTR = 0
for i = 0 to ATRperiod
dTR=dTR+max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1))))
next

// dATR
avg = dTR/ATRperiod

// ATR threshold
ATRt = 0.1 * avg

// Donchian Channel
DonchPeriod = 10
dh = HIGHEST[DonchPeriod](high)
dl = LOWEST[DonchPeriod](low)
DonchRange = dh - dl

if DonchRange <= ATRt then
hh = dh
ll = dl
endif

return hh as "hh", ll as "ll"

// Daily ATR

ATRperiod = 20

// ---

dTR = 0

for i = 0 to ATRperiod

dTR=dTR+max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1))))

// dATR

avg = dTR/ATRperiod

// ATR threshold

ATRt = 0.1 * avg

// Donchian Channel

DonchPeriod = 10

dh = HIGHEST[DonchPeriod](high)

dl = LOWEST[DonchPeriod](low)

DonchRange = dh - dl

if DonchRange <= ATRt then

hh = dh

ll = dl

endif

return hh as "hh", ll as "ll"

It can also be useful as an indicator on a separate panel where a line for the ATR threshold is drawn and then the Donchain range is overlaid when the range is below the ATR threshold we are in consolidation and when above in a breakout

// Daily ATR
ATRperiod = 20
// ---

dTR = 0
for i = 0 to ATRperiod
dTR=dTR+max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1))))
next

// dATR
avg = dTR/ATRperiod

// ATR threshold
ATRt = 0.1 * avg

// Donchian Channel
DonchPeriod = 10
dh = HIGHEST[DonchPeriod](high)
dl = LOWEST[DonchPeriod](low)
DonchRange = dh - dl

RETURN DonchRange COLOURED(70,130,180) as "DR", ATRt COLOURED(255,69,0) as "ATRt"

// Daily ATR

ATRperiod = 20

// ---

dTR = 0

for i = 0 to ATRperiod

dTR=dTR+max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1))))

// dATR

avg = dTR/ATRperiod

// ATR threshold

ATRt = 0.1 * avg

// Donchian Channel

DonchPeriod = 10

dh = HIGHEST[DonchPeriod](high)

dl = LOWEST[DonchPeriod](low)

DonchRange = dh - dl

RETURN DonchRange COLOURED(70,130,180) as "DR", ATRt COLOURED(255,69,0) as "ATRt"

3 users thanked author for this post.

swapping,

Nicolas,

GraHal

Thally

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08/27/2019 at 3:31 PM #105662

Nicolas

Thanks for the code sharing. Will be of great help for future reference. Do you find it useful to filter the range period? I found that ADR (Average Daily Range) is more useful (powerful?) in this case.

Nicolas

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06/14/2020 at 10:11 PM #135932

Frankkeyo

I have used the code on my platform, but I am having difficulty with the code that boxes areas of the chart. The other code that shows DR and ATRT is a little confusing for me. One chart I noticed that it shows a break in consolidation when the gap between the two is at a certain point, but that is not the same with other charts. Anyone be kind to explain the full use if the indicator?

Thanks in advance.

Frankkeyo

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06/15/2020 at 2:59 PM #136002

Frankkeyo

Hi Nicolas or Thally,

I can’t seem to get this code that you guys write/used to work and draw those boxes. Any help, please?

// Daily ATR
ATRperiod = 20
// ---

dTR = 0
for i = 0 to ATRperiod
dTR=dTR+max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1))))
next

// dATR
avg = dTR/ATRperiod

// ATR threshold
ATRt = 0.1 * avg

// Donchian Channel
DonchPeriod = 10
dh = HIGHEST[DonchPeriod](high)
dl = LOWEST[DonchPeriod](low)
DonchRange = dh - dl

if DonchRange <= ATRt then
hh = dh
ll = dl
endif

return hh as "hh", ll as "ll"

// Daily ATR

ATRperiod = 20

// ---

dTR = 0

for i = 0 to ATRperiod

dTR=dTR+max(abs(Dhigh(i)-Dlow(i)),max(abs(Dhigh(i)-Dclose(i+1)),abs(Dlow(i)-Dclose(i+1))))

// dATR

avg = dTR/ATRperiod

// ATR threshold

ATRt = 0.1 * avg

// Donchian Channel

DonchPeriod = 10

dh = HIGHEST[DonchPeriod](high)

dl = LOWEST[DonchPeriod](low)

DonchRange = dh - dl

if DonchRange <= ATRt then

hh = dh

ll = dl

endif

return hh as "hh", ll as "ll"

Frankkeyo

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06/15/2020 at 4:51 PM #136016

Vonasi

Frankkeyo – Please use the ‘Insert PRT Code’ button when posting code – as instructed in the forum rules. I have edited your post for you.

Vonasi

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06/16/2020 at 10:31 AM #136089

Nicolas

You must have sufficient history loaded to get the daily ATR correctly calculated, try to expand the displayed units of the price chart.

Nicolas

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06/16/2020 at 10:39 AM #136095

Frankkeyo

I extended the unit number as much as 50000. The only thing it shows is a straight line at the bottom of the price chart. Nowhere near the candlesticks. Any other suggestions?

Cheers.

Frankkeyo

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06/16/2020 at 12:15 PM #136114

Nicolas

Do you apply the code on the price chart?

Nicolas

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06/16/2020 at 12:51 PM #136118

Frankkeyo

Yes. On the price chart is shows a line at the bottom of the chart. I have attached a print screen.

Frankkeyo

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06/24/2020 at 10:27 AM #136993

Frankkeyo

Did anyone found a fix for my problem with creating the lines on the price chart?

Frankkeyo

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06/24/2020 at 10:31 AM #136994

Nicolas

Works ok for me. Make sure you have sufficient units displayed on the chart in order to get the sufficient data to compute the X days ATR calculation.

Nicolas

Keymaster

Topics: 81

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06/24/2020 at 10:46 AM #136999

Frankkeyo

Nope. I am trying everything I know. It is not working. I don’t know why it wouldn’t work for me. I am using the code and adding it to the price chart. All it is doing is drawing on the price chart way off the candlesticks.

Frankkeyo

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06/24/2020 at 10:47 AM #137000

Frankkeyo

Is the code you are using edited from the code found here?

Frankkeyo

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06/24/2020 at 11:52 AM #137007

robertogozzi

Open the properties of the price chart and tick the option to scale data, on the lower side of the properties.

robertogozzi

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