Bryan Johnson Market Momentum Indicator For ThinkOrSwim

Hi guys,

I'm trying to create a market sentiment indicator via Bryan Johnson's work. The following is required:

Market Momentum Indicator
It is the sum of:
• 21 day ema of Nasdaq Up Volume/(Up Volume + Down Volume)
• Russell 2000 closing price / 21 day ema of Russell 2000 closing price Pep Indicator

Pep Indicator is the Market Momentum Indicator subtracting its 8 day ema


How do I go about finding the Nasdaq Up Volume and Down Volume? What ticker if possible?

Thanks.

More information from the power point on his website:

Market Strength Indicator is the sum of four metrics using a 21 day smoothing:

•Nasdaq Advance/decline
•Nasdaq Up/down volume
•Nasdaq New High New Lows
•IWM Price
AND

•25 divided by VIX (halfway between 10 and 40)
•MSI > 4.50 at market tops means a strong market
•MSI > 3.80 at sell signal means a strong market


BEAR MARKET BOTTOM SIGNAL

Market Momentum Indicator (MMI) is the basis for the Pep Indicator

MMI is the sum of two metrics using a 21-day smoothing:

•IWM Price
•NASDAQ Up/Down volume
Pep Indicator is the MMI minus the 8-day ema of the MMI

•At buy signal, Pep Indicator needs to be > 3.8%


http://www.moonrunreport.com/tsunami-indicator
 

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DocBrown83,

$UVOL and $DVOL are the TOS symbols for the up/down NASDAQ volumes. Here's your described Market Momentum Indicator & PEP depicted by two separate metrics as a single lower panel indicator:


Code:
#Market Momentum Indicator & PEP
#Idea by Bryan Johnson
#Thinkscript derivation provided to useThinkScript by Cybersloth



declare lower;


input time_frame = AggregationPeriod.DAY;


#COND 1

input cond1_symbol = "RUT";

input cond1_ema_length = 21;


def cond1_source = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond1_symbol, period = time_frame);

def cond1_ema = MovingAverage(AverageType.EXPONENTIAL, cond1_source, cond1_ema_length);

def cond1_value = cond1_source / cond1_ema;


#COND 2

input cond2_advances = "$UVOL/Q";

input cond2_declines = "$DVOL/Q";

input cond2_ema_length = 21;

input subtraction = 0.50;


def cond2_source_advances = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond2_advances, period = time_frame);

def cond2_source_declines = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond2_declines, period = time_frame);


def cond2_ema = MovingAverage(AverageType.EXPONENTIAL, cond2_source_advances / (cond2_source_advances + cond2_source_declines), cond2_ema_length);


input show_market_momentum = yes;

plot market_momentum = cond1_value + cond2_ema - subtraction;

market_momentum.sethiding(!show_market_momentum);

addlabel(show_market_momentum, "Market Momentum: " + market_momentum, color.white);


input show_pep = yes;

input pep_ema_length = 8;


def pep_ema = movingaverage(averageType.EXPONENTIAL, market_momentum, pep_ema_length);


plot pep = market_momentum - pep_ema;

pep.sethiding(!show_pep);

addlabel(show_pep, "PEP: " + pep, color.white);
 
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