After hours ATR

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Hey Pete,
Thanks for all your help. I’m looking to use overnight ATR for a broader breakout strategy. I have pieced together a code, but I believe because of the way pre/post market is defined it is inconsistent and only works on intraday charts.  Could you help me with these issues?

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Posted by (Questions: 3, Answers: 1)
Asked on July 2, 2020 11:24 am
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Just for context I want to test a strategy that uses breakout high/low minus overnight ATR as an entry rather than the high/low itself. My thought is to try to catch the gap up/down to the breakout point. Sound logic, or pointless idea?
( at July 2, 2020 11:42 am)
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Not exactly sure what you are requesting here. You posted this in the Chart Studies topic but then you mention that you want this to be used as a strategy. Those to completely different things. Both plot on a chart but one includes the ability to back test your entry and exit rules.

Some bits and pieces from your request:

"only works on intraday chart".

Exactly, when you have something that includes the word "Overnight" in it's description then is by definition only operative on an intraday chart. I have no clue what you want to do about that.

"could you help me with these issues"

What issues? I do not see anything here except that you find the results are inconsistent. Perhaps you are expecting much more assistance than we can provide in the Q&A forum. I get no more than 15 minutes to provide solutions. Seems you are actually in need of our professional services here.

"I want to test a strategy that uses breakout high/low minus overnight ATR as an entry rather than the high/low itself"

Again, I am not sure what you are requesting here. A screenshot may have helped to explain things more clearly. But every statement you have made leads me to believe you need much more assistance than we can provide for no charge in the Q&A forum.

Final note. If you really are intended to use this a chart strategy for back-testing. Through this code away and start from scratch. This code uses a function named "HighestAll()". This is not permitted for any chart strategy used for back testing. Pure garbage from that perspective.

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Posted by (Questions: 37, Answers: 4086)
Answered on July 2, 2020 5:59 pm
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I think in my attempt at not asking for too much I was vague and not clear. I apologize. The code I provided was to give framework but I think it only brought confusion. Please disregard. Simply I would like a label to show overnight ATR with a length of 20 overnight periods.
( at July 3, 2020 3:21 am)
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There is no way to compute the ATR for only the extended hours session on Thinkorswim. This would require custom sized arrays and loop structures. That is a technical description. In plain English it means, Thinkorswim can't get there from here. It doesn't have the juice to do that.
( at July 3, 2020 8:45 am)
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