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g'day Traders welcome back to another
pine script lesson today's lesson is
going to be a pretty interesting one I
think today I'm going to be answering a
question from a student in my pinescript
Mastery course and here is the question
this Trader has written a script where
they are trying to print the ATR of the
past 10 days the closing price of the
past 10 days and what percentage the ATR
is of those respective closing prices in
the form of a table so far pretty simple
however as they say here everything
works perfectly as long as I'm on the
daily trading time frame or lower but
the moment I go to a weekly or any time
frame higher than the daily time frame
my table shows incorrect data or data as
it's known in Australia and it's showing
incorrect data because it's picking up
the wrong resolution so what we have
here is a problem relating to the
security function so as you probably
know by now when we want to reference
price data or indicator values from a
time frame other than our trading time
frame we typically use the security
function the rep Quest dot security
function however that function only
works when retrieving higher time frame
data so if we're on a one hour chart and
we want to get yesterday's Daily high
and daily low for example we can
reference yesterday's Daily bar on that
lower time frame and we can get that
high and low value really easily just
using ignore all this code here for a
moment normally we would for example to
get the daily High we would say request
dot security and then we need to pass in
the symbols so we could just pass in our
current symbol
wow can't type today
um our time frame so the daily time
frame and the expression would be the
bars high now this is just a rough
example that there's some more code we
need to add in order to help with
repainting and so on but you get the
idea pretty simple we just get the high
from the daily time frame the problem
when referencing lower time frame data
in this student's case they are on the
weekly chart and they want to reference
daily bars the problem with referencing
a lower time frame data is that instead
of just getting one value
there are between five to seven days in
a trading week on the stock market it's
typically five days and the markets
close for the weekend same with Forex
for crypto it's typically seven days
unless there's an exchange outage or
maintenance or whatever so when we're
referencing that lower time frame data
we actually have up to seven values on
this weekly time frame and on a monthly
chart we've got 30 on average days in a
month so that obviously complicates
things but in today's lesson I'm going
to show you a solution I came up with
for getting the past 10 days ATR values
so that we can
perform whatever analysis we want to on
that data and this technique applies to
ATR values price values open high low
close other indicator values Etc it
should work for any of those
requirements so I've already written the
script obviously to save time I'm not
going to write out the code again I'm
just going to break down what I've done
here so the source code for this script
will be below this video if you're
watching on YouTube it'll be in the
video description if you're watching in
the course as you know there is always
the source code below the video so the
first thing we are doing as always is
getting our user input
so for this script I'm just getting two
inputs I'm getting a look back period
and a time frame period so by default
our look back is going to be 10 days I'm
going to just to keep things simple for
for this lesson we're going to focus on
getting daily bars on the weekly and
monthly time frames but this technique
should apply to any time frame which is
why I've included a time frame setting
so for example if I wanted to get one
hour bars
I could just set that to one hour and so
long as we are on a time frame that's
above the one on the one hour time frame
or above the script will work if we go
below that
the security function for requesting
lower time frame data does not work on
Lower time frames than the reference
time frame for that you would need to
use the regular security function so
those are our two user inputs the second
thing I do here is this is completely
optional you don't need to do this but I
did this because it keeps things simple
more simple later on so here I'm
defining a custom function for safely
retrieving array values without an array
index out of bound error so if you're
not familiar with arrays in the course I
have a whole section on arrays I don't
think I've covered it much on YouTube
yet it's not something I personally use
a lot in my scripts but today we're
going to use some basic array
functionality the issue with arrays is
that they have boundaries or bounds so
this for example is our array I've
written it out the very first element in
our array is today's ATR value so if I
hover over the current bar I go down to
the Daily time frame and hover over this
current bar bitcoin's not having a great
day the ATR is actually picking up when
I first wrote this out about an hour ago
it was actually 657 now it's
662. this purple number here is the
current ETR on whichever bar I'm hovered
over so I need to change this
662 that's our very first array element
if we try to reference an array element
below zero so if we passed into our
array function a negative one index we
would get an array index out of bounds
error because there is no negative one
value you cannot assign a negative value
to an array index can only have positive
numbers and the array Begins Counting at
zero the first element in an array its
index is zero and so here we have 10
array elements nine is the tenth element
because we start counting from zero one
two three four and so on gets a little
bit confusing but you get used to it
with practice and basically we have a 10
element array here if we were to try to
reference the array index 10 which would
be the 11th element we would get an
array index out of bounds error because
that element does not exist our array
only has 10 elements this function
allows us to pass in our array and an
array index and regardless of whether
that index exists or not it will not
crash our script our script will not
give out an error because we have two
checks here so we Define our custom
function get array value it has two
parameters our array ID and our array
index and then we use the equals right
arrow operator to define the code for
this function and then we check if our
array size is greater than our index
then we have a valid array index and we
can just use the array.get function to
retrieve this array indexes value from
this given array so in this particular
case let's call this array here our ATR
values when I call this function if I
were to pass in my ATR array and an
index of zero then we would get this
value here retrieved if I were to pass
in an array index of 20 on this
particular set of data or data sorry I
keep saying data I know some of you
don't don't like me saying data it's an
Aussie thing I'm working on it if we
were to pass in an array index of 20
then this function would return n a
instead of crashing our script so that's
the purpose of this function the next
thing we do here is we get our
expression that we're passing into the
security function so in this particular
case this Trader who sent in this
question wants to retrieve the ATR value
so I just declare a new expression here
a variable called ATR value equals and
then we use the inbuilt ATR function for
this is optional but for debugging
purposes so it's
that scares me every time I need to
figure out how to turn the volume down
on that thing nearly blew my eardrums
out I'm just plotting the ATR value here
onto the chart for debugging purposes so
that I can keep track of what my script
is doing the next thing I do is I get my
lower time frame data from the security
lower time frame function so before we
continue I'm going to pull up the
documentation for this function so that
we can understand exactly how it works
so here is the documentation
for requesting data from a lower time
frame so the security function the
original request.security function was
designed to request data of a time frame
higher than the current chart time frame
so on a 60 Minutes chart this would mean
requesting 240 daily weekly or any
higher time frame however if you are on
a 60 Minute chart and you want to use
the data from one minute bars then you
need to use this new that was
technically new but it's been around for
several months now it's new to Pine
script version 5 and it's called the
request.security underscore lower
underscore TF for time frame function if
you were to use the request.security
function in our example the example
below you would actually only get the
final minute bar for the last hour here
it says this is why we added the request
or security lower time frame function so
you will now receive an array containing
all of the minute bars in the last hour
The Returned array will contain all of
the available intra bars sorted by the
timestamp in ascending order and then
they have an example here of requesting
one minute bars from the current symbol
using this new request.security lower
time frame function so let's jump back
over to our charts and see what I've
done here so for our purposes we want to
get the ATR value of our lower time
frames so we Define an array a float
array called ldf for lower time frame
ATR array is set to
request.security lower time frame and
then we pass in the current symbol ID
for whatever Market we have loaded on on
our chart we pass in the period so the
time frame that we want to reference
this is our lower time frame so in this
case that is the daily chart and then we
pass in our expression that we want to
retrieve from this lower time frame in
this market which in this case is our
ATR value this line of code here will
get executed on this time frame on this
market and this array will be filled
with this data the next thing we do is
Define our merged ATR values array this
is where things get a bit confusing a
bit hard to
for me to explain because there's a lot
of moving parts for the rest of the
script here so the problem we have when
we're on a weekly time frame is that in
this particular case it's Tuesday here
at the moment where I live
and so we only have a couple of days
that are contained within this weekly
bar but we need the past 10 days so I'm
only getting Tuesdays ATR value Monday's
ATR value I believe the weekly bars on
trading views start from Monday I'm not
sure it could be Sunday but anyway the
point is we only have a couple of days
worth of data on this current weekly bar
which means if we want the past 10 lower
time frame daily bars on this weekly
chart we need to reference the previous
week's lower time frame data as well
so that's what this block of code here
does the first thing I do is check if we
are currently on our trading time frame
so if the current time frame is equal to
our lower time frame here
so in this case if we're on the daily
chart this code here gets executed and
basically all this does is it Loops from
zero so from the current bar
it Loops from this current bar back to
our look back so in this case back 10
bars so we would loop back to Bar number
nine right here so the first Loop would
start on zero so this current bars ATR
value gets set to our ATR array this guy
here gets set
2i our Loop Index this arrays index here
I get set to our lower time frame data
so sorry this isn't an array this is our
ATR value for the current time frame and
we're just using the regular historical
operator to set our array values let me
comment out all of these plots for a
moment because I have a table here
drawing out array values to make it easy
to see what's going on so I'm going to
comment all of these out and I'll show
you a new feature for the pinescript
editor while I'm here if you hit F1 or
the command palette and type in comment
and then click add line comment that
will comment all of those lines of code
in one go without having to do them
individually saves a lot of time when
you're debugging a script or developing
a script anyway here are our array
values drawing as a string and I wonder
if I can let me change the text color
really quickly for our cell
text color equals color dot let's make
it green that's better so these values
you see on my chart right now are the
contents of our ATR array and because
we're on the daily time frame which is
our reference time frame our lower time
frame we don't need to actually
reference any lower time frame data we
just need to reference the current bars
on our chart so that's what this little
for Loop does it Loops from zero to our
array size minus one so remember an
array starts counting from zero so if we
have an array with 10 elements in it
the 10th index would be 9 not 10 and so
we need to subtract 1 from the size
otherwise we will Loop one too many and
we will get some sort of index out of
bounds error so we loop from zero the
current bar back to our look back period
essentially because the size of this
array is set to our look back period so
this is the same as saying
um from zero to look back minus one
either would work and then we're setting
the index of our ATR array value on this
Loop to the ATR value for that bar using
the historical operator so when this
Loop gets to 9 the final array element
um here 637 that's our blue line here if
I count back nine bars six three seven
point seven six
you can see that purple number there is
our ATR that is the first value in our
array and this value here is the current
bars ATR which has increased even more
so I need to edit that again and so this
for Loop here just sets our array up on
the current time frame and then we
reverse the array order that's why 637
this Bar's ATR here is the first element
of our array and not the current bar the
reason I did this is because the next
for Loop here which is used on higher
time frames so when the time frame is
not equal to our trading time frame or
reference time frame the array order
that we get is like this so today's ETR
value is the final element in the array
and so to keep things consistent I've
reversed the array using the
array.reverse function you pass in the
array ID to reverse and this just flips
the order of our array so I know it gets
a little bit confusing this is probably
not a necessary step but for whatever
reason calling array.reverse on this
version of our array pop population
breaks our rain we get some weird
happenings occurring when I do that and
I haven't had time to figure out why so
it's a little bit confusing that today's
bar is the final element in the array
and not the first element but anyway it
shouldn't really matter for the purposes
of this student's requirements so that's
how we handle the time frame if it's
equal to our reference time frame if
it's not equal then that means we should
be on a higher time frame
if we are on a higher time frame this
code gets executed and what this code is
doing is saying if the array size of our
lower time frame array if I drop out to
a weekly time frame if whatever bar our
script is running on has lower time
frame data or in other words if the
lower time frame array has a size that's
greater than zero then our little for
Loop here is executed and we populate
our array with the lower time frame data
so this is a for Loop identical to this
one except that instead of referencing
our ATR array we're referencing our
lower time frame array that gets
retrieved by the security function so we
loop from 0 to our array size on that
lower time frame array and this is where
things are very different to how we just
set our values when we're on the actual
lower time frame when on the higher time
frame we do things a little bit
differently we use what's called a first
in first out application of our array so
the array.shift function removes an
arrays first element and also returns
its value now we don't care what its
value is so if I wanted to I could say
first value equals and then if we needed
to reference that value we could in this
case we don't need to so I don't need to
set that to anything we just want to
delete the very first element in our
array and then we want to push or insert
a new array element so this will Loop
through our lower time frame array data
and shift all of our values in the array
by deleting the first element and
pushing in a new element and to do that
we use the array.push function we pass
in our ATR array which is this here and
the value we want to push into this
array is our lower time frame array data
for the current index the loop index and
so this just constantly shuffles our
array to populate it so that we have all
10 elements so if we weren't to do this
and we would just simply reference our
lower time frame array we'd only get two
values in our array because there's only
two days in the current week so by doing
this with a persistent array by the way
I I didn't mention this our merged ATR
values array is a persistent array does
not get reset on every new bar in our
chart unlike all these other values this
saves our lower time frame data across
every bar in our chart and this for Loop
just constantly updates that array with
the elements we require in order to
perform whatever analysis it is we need
to do on those lower time frame bars so
in this Trader's case the person who
sent in this question wants to calculate
the current bars closing price as a
percentage of the ATR across the past 10
days on these higher time frames and
then draw them into a table which we're
not going to cover in today's video I've
already covered how to use tables in
previous lessons I'll leave a link below
this video to any relevant lessons I've
done if you're in the Mastery course
there's a bunch of lessons on on how to
use tables especially in the strategy
section but in any case this is pretty
much our script completed so if I drop
down to the Daily time frame here
and I bring in my text wherever it went
I don't know why this happens every time
it's very annoying stay there on my
screen please if I look at each bar here
keep an eye on this purple number here
which is the current ATR for the bar I'm
hovering over so today's daily bar is
its ATR value is 69.7 which is what we
have here yesterday's ATR value is 618
which we have here so we have six one
eight then six one four six two four all
the way to the 10th bar or the ninth bar
index from the current bar which starts
at zero we have six three seven so our
array is working properly if I dropped
out to the weekly time frame all these
values should stay the same so drop out
to a weekly get rid of that line all the
values are the same we are still
referencing those daily bars on the
weekly time frame we're getting those
values we we need if I drop out to the
monthly time frame they all stay the
same as well so the script is working we
are getting the past 10 days worth of
ATR values on the weekly and monthly
time frame or any time frame for that
matter if I set this to two week
should stay the same so problem solved
at least for crypto markets and most
other markets for some reason this code
doesn't work properly when I load up a
stock market on the weekly time frame it
works so these are the past 10 daily ATR
values for apple on The Daily time frame
you can see these values are all equal
so yesterday was a Monday in the US so
Monday's ATR value was 5.44 and the 10th
day back was 4.57 our array elements
match that so it works fine on the
weekly time frame but for some reason
when I drop out to a monthly time frame
these numbers don't work properly I
haven't figured out why yet that's a
problem for another day so I apologize
for stock Traders if you're trying to
use this approach on stocks you're going
to need to use some creativity and
figure out what's going on until I can
figure out myself and I'll do an update
video if I do manage to figure out why
this approach doesn't work on Apple the
reason isn't obvious to me so if you're
more experienced at this than I am and
you know why my code's not working
please leave a comment below or send me
an email explaining why I would be very
grateful for that we all have weaknesses
I don't know everything about pinescript
or mathematics especially and so this is
just a limitation of my brain I'm at my
maximum capacity with this script and so
I'm I apologize I couldn't figure out
how to get this to work on the monthly
time frame but it does work on the
weekly time frame at least and obviously
the daily time frame I didn't try the
two week see if that works it seems to
work fine on the two week as well three
week four week huh so it works fine on
the full week but not on the monthly
which should technically be four weeks
or so I'm not sure what's going on there
could have something to do with time
zone differences I have no idea anyway
let's go back to bitcoin for now to wrap
up this video
um one thing I'll show you before we do
wrap this up is if I can find my well my
text has gone for some reason that is
great uh whatever it's not important
what I wanted to show you is that these
inputs also work so if I set our look
back to 20 days click OK we get a lot
more values here we now count all the
way to 20 bars back now I do have in my
notepad next to me I've lost the first
10 bars values for some reason but I do
have the 10th to 20th bar values if I
click ok so we have our first 10 values
here all the way to
637.76 and then the next 10 values here
are these ones here and I went through
and counted them individually I had I
checked the ATR value for each of these
bars to make sure the script is working
and as you can see here it is so we have
the 10th which is technically the 11th
bar but it's the 10th array index is six
five four six five four all the way to
the 20th or 19th the rain index 20th bar
19th array index hopefully you're
following along but this value should be
637 and that's what we have here so we
have successfully written a script that
has a variable look back period works on
any time frame any lower time frame so
it has to be a lower time frame than the
one you have on your chart or the script
won't work if I drop down to a four hour
time frame we get an error here time
frame pass to the security lower time
frame function must be lower than the
time frame of the main chart as long as
we're on the same time frame or higher
as our reference time frame this script
should work fine if you wanted to
display the past 10 daily bar values
into a table you would need to copy all
10 of these into this if statement and
you'd probably want to set up 10 rows
columns or however you want to set up
your table so that you can fill each
cell individually with each day's value
and in this Trader's case he just wanted
to calculate what the percentage ATR is
of the respective closing price
so to do that we would need to create a
second array here this one here we would
need to call this
something like closing price array we
need to copy this line of code and call
this lower time frame closing price
array and then this expression would
need to be the closing price and then we
would need to copy all of this array
code so because these arrays are the
same size all we really need to do is
copy our setting and shifting lines of
code paste in uh
this code here
we need to reverse this array as well
and then we need to copy this or get rid
of the duplicate comments
and pass in this
and this
and now we should have exactly the same
thing but for closing prices as well as
the ATR value so let's save the code and
make sure that compiles there we go and
now just to confirm this works let's
copy
the closing price of rate into our plots
actually let's do it down here this will
be a lot quicker I'll just paste closing
price into our
table say the code here are our 10
values I'll lower the look back just
temporarily so that we don't have so
many values on our chart and so this
value here is our current closing price
which it's hard to read or this is
easier to look at
19706 and then the previous day should
be 20
593 that's correct correct
correct and correct drop out to the
weekly time frame these numbers should
stay the same and they do a monthly time
frame so there we go we have the past
five lower time frame daily closing
prices as well as their ATR values and
now you can do the math you need to by
dividing
um you know in this case it would be
dividing uh what do we want to do again
what percentage the ATR is of the
respective closing price in the form of
a table so we would divide ATR percent
equals ATR array value
divided by closing price of rain if I
set this to string save that and let me
set this to today's value which we can
do by using the array dot size
pass in our closing price array and
subtract one of that that will get the
final array element in that array we can
do the same thing here for this array
save my code I have no idea what I'm
doing when it comes to math which is a
great thing to admit as a Trader just
goes to show you don't need to be a math
genius to be a successful Trader because
I certainly am not a math genius and I
do pretty well with my trading so unless
I've completely messed this up the
current ATR values 3.4 percent of the
current price so 669 is 3 of 19600 but
anyway that is the end of today's video
I hope you found it interesting and most
importantly helpful in your own trading
especially those of you who need to
reference lower time frame data in your
analysis if you like the video please
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very much for watching best of luck with
your trading and your coding and I'll
speak with you in the next lesson have a
great week