Explosive Bollinger Bandwidth Squeeze Scan For ThinkOrSwim

[justAnotherTrader]

This one is fun. It uses the bollinger bandwidth as a measure of volatility.

The scan setup is simple:

• High Average Bandwidth > 30 (This implies very high volatility. For instance the 60 day average bandwidth on TSLA is 43 compared to SPY which is 8)
• Current Bandwidth < 15 (A low volatility state in a high volatility stock means squeeze is coming, the lower the volatility the better)

Here is the indicator:

declare lower;

input averageType = AverageType.Simple;
input price = close;
input displace = 0;
input length = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_Up = 2.0;
input BulgeLength = 150;
input SqueezeLength = 150;

def upperBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).UpperBand;
def lowerBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).LowerBand;
def midLine = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).MidLine;

plot Bandwidth = (upperBand - lowerBand) / midLine * 100;
Bandwidth.SetDefaultColor(Color.GREEN);

plot Bulge = Highest(Bandwidth, BulgeLength);
Bulge.SetDefaultColor(GetColor(8));
Bulge.setStyle(Curve.SHORT_DASH);

plot Squeeze = Lowest(Bandwidth, SqueezeLength);
Squeeze.SetDefaultColor(GetColor(8));
Squeeze.setStyle(Curve.SHORT_DASH);

#Bandwidth Label
AddLabel(Bandwidth, Concat("CurrentVolatility = ", Bandwidth), color.GREEN);

#Moving Average Volatility
def var = Bandwidth;
input len = 7;
input len1 = 14;
input len2 = 60;
input len3 = 120;
def displace1 = 0;
plot AvgVolatility7 = ExpAverage(var[-displace], len);
plot AvgVolatility14 = ExpAverage(var[-displace], len1);
plot AvgVolatility60 = ExpAverage(var[-displace], len2);
plot AvgVolatility120 = ExpAverage(var[-displace], len3);

AvgVolatility7.SetDefaultColor(Color.Dark_Green);
AvgVolatility14.SetDefaultColor(Color.Yellow);
AvgVolatility60.SetDefaultColor(Color.Blue);
AvgVolatility120.SetDefaultColor(Color.Magenta);

#Average Volatility Labels
AddLabel(AvgVolatility7, Concat("7VolatilityAverage = ", AvgVolatility7), color.DARK_GREEN);
AddLabel(AvgVolatility14, Concat("14VolatilityAverage = ", AvgVolatility14), color.YELLOW);
AddLabel(AvgVolatility60, Concat("60VolatilityAverage = ", AvgVolatility60), color.BLUE);
AddLabel(AvgVolatility120, Concat("120VolatilityAverage = ", AvgVolatility120), color.MAGENTA);

 

[wtf_dude]

Did this for me, but others might want to use it. It's the same thing but it's a customizable scan. Save it as a chart study first and when you bring it up as a custom study on the scan tab you can adjust the bollinger bands, the bandwidth average length, the bandwidth average minimum, and the current bandwidth maximum. Just change your variables and select "is true" (which just confirms all your conditions are correct) Seems to work like a charm. Good job, JustAnotherTrader!!

# ExplosiveSqueeze by JustAnotherTrader
# Custom scan mods by WTF_Dude

input averageType = AverageType.Simple;
input price = close;
input length = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_Up = 2.0;
def displace = 0;

def upperBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).UpperBand;
def lowerBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).LowerBand;
def midLine = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).MidLine;
def Bandwidth = (upperBand - lowerBand) / midLine * 100;   #current bandwidth

#Moving Average Volatility
input BandwidthAverageLength = 60; #length of bandwidth average
def BandwidthAverage = ExpAverage(Bandwidth[-displace], BandwidthAverageLength);

input BandwidthMax = 15;
def TBW = Bandwidth <= BandwidthMax;

input BandwidthAvgMin = 30;
def TBWA = Bandwidthaverage > BandwidthAvgMin;
#def TBWA = BandwidthAvgMin is greater than BandwidthAverage;

plot ExplosiveSqueeze = TBW and TBWA;

 

[jeremyadorna]

This is interesting. trying to figure out how you use it. can you share? thanks

 

[justAnotherTrader]

This is interesting. trying to figure out how you use it. can you share? thanks

I found two ways I like using it so far. The first way is on the daily chart top identify squeezes and buy/ sell the breakout and breakdown. Another way is to reverse the idea and look for a relatively low volatility average and a high volatility currently. I use this second idea intraday to identify stocks that possibly got some fundamentally changing news and is breaking up/ down. I'm still playing around with it but my thoughts are there are many ways to alter the strategy to find stocks in certain stages of boom bust cycles.

 

[jeremyadorna]

So I see multiple timeframe volatity marks on the indicator, right? So how do you determine the squeeze? I’m used to Keltner over bollinger version. And how do you determine the post squeeze trajectory projection?

On the labels in the indicator, what does the number before the label mean? Is that the number of bars the average value is based on?

 

[wtf_dude]

So I see multiple timeframe volatity marks on the indicator, right? So how do you determine the squeeze? I’m used to Keltner over bollinger version. And how do you determine the post squeeze trajectory projection?

On the labels in the indicator, what does the number before the label mean? Is that the number of bars the average value is based on?

I think you've misunderstood what he made here... This isn't a squeeze based on keltner channels. This indicator is based strictly on the width of the bollingers (how far away the top and bottom are from each other. Its a different indicator so there is no need for Keltners) goin way below their longtime average. Those aren't "marks" based on timeframe. Those are different smoothing averages you can use to compare the current bandwidth against.

Post squeeze trajectory isn't even a part of this. You'd need something else for that

 

[cswu1211]

@justAnotherTrader how to set up a scan condition wizard that specify:

1. BB bandwidth >= 30 and
2. AvgVolatility7 <= 15
or
3. AvgVolatility14<= 15?!

How to write ac script that calculate (BB_Upperband - BB_Lowerband) - 1 = %; and condition that scan the above value which is great or lesser than a particular %.

def PercentBandwidth = ((upperBand - lowerBand) - 1 )* 100; #current bandwidth percentage

 

[JE $$]

Hey @wtf_dude, thanks for your scan. What settings on the scan in the inputs section have you found work well?

ie what settings do you find are good for finding candidates?

What do you usually select under the inputs tab on the scan for

bandwidth avg length
bandwidth max
bandwidth avg min

I guess I was having trouble figuring out which selection on the input tab will give you stocks with current bandwidth of <15 and avg> 30 but it seems that these are already in there as default settings correct? and the one that specifies the current bandwidth is called "bandwidth max" correct?

thanks again

 

[sbukosky]

How does do these compare to using a built in custom scan using the existing Bollinger Bandwidth indicator?

 

[Thomas]

I think you've misunderstood what he made here... This isn't a squeeze based on keltner channels. This indicator is based strictly on the width of the bollingers (how far away the top and bottom are from each other. Its a different indicator so there is no need for Keltners) goin way below their longtime average. Those aren't "marks" based on timeframe. Those are different smoothing averages you can use to compare the current bandwidth against.

Post squeeze trajectory isn't even a part of this. You'd need something else for that

Is this something in the right direction,...otherwise difficult to understand explanation all around without an example http://tos.mx/XXxoGRV

 

[cswu1211]

Did this for me, but others might want to use it. It's the same thing but it's a customizable scan. Save it as a chart study first and when you bring it up as a custom study on the scan tab you can adjust the bollinger bands, the bandwidth average length, the bandwidth average minimum, and the current bandwidth maximum. Just change your variables and select "is true" (which just confirms all your conditions are correct) Seems to work like a charm. Good job, JustAnotherTrader!!

# ExplosiveSqueeze by JustAnotherTrader
# Custom scan mods by WTF_Dude

input averageType = AverageType.Simple;
input price = close;
input length = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_Up = 2.0;
def displace = 0;

def upperBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).UpperBand;
def lowerBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).LowerBand;
def midLine = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).MidLine;
def Bandwidth = (upperBand - lowerBand) / midLine * 100;   #current bandwidth

#Moving Average Volatility
input BandwidthAverageLength = 60; #length of bandwidth average
def BandwidthAverage = ExpAverage(Bandwidth[-displace], BandwidthAverageLength);

input BandwidthMax = 15;
def TBW = Bandwidth <= BandwidthMax;

input BandwidthAvgMin = 30;
def TBWA = Bandwidthaverage > BandwidthAvgMin;
#def TBWA = BandwidthAvgMin is greater than BandwidthAverage;

plot ExplosiveSqueeze = TBW and TBWA;


[/QUOTE]
following the steps above and starting a trial scan, but Can't find the choice of parameters: BB, bandwidth length, etc...Only
Any suggestion ?

[ATTACH=full]11511[/ATTACH]

tks

 

[TY_Joe]

Can anyone make watchlist with this code? maybe teach me what are the difference in scanning code vs Watchlist code? Thank you

 

[MerryDay]

@TY_Joe Technically, the scripts for studies, watchlists, and scans could be the same. Study scripts are saved under the study tab. Watchlist scripts are saved as Watch List columns, and scanning scripts are referenced in scans.

However, in reality, the chart studies and watchlists end up being slightly different, mostly because how you want to format a chart is different from how you format the watchlist column.

As for scans, a majority of the studies on this forum can be directly referenced in scans. Occasionally, a separate scan needs to be set up because of the complexity of the script, customization of the conditions upon which to scan, use of secondary aggregations, and other peculiarities of the TOS platform.

 

[MerryDay]

Explosive Squeeze Watchlist

Shared Link for Explosive Squeeze watchlist: http://tos.mx/wYCkrrw
Click here for --> Easiest way to load shared links

# ExplosiveSqueeze by JustAnotherTrader
# Custom scan mods by WTF_Dude

input averageType = AverageType.Simple;
input price = close;
input length = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_Up = 2.0;
def displace = 0;

def upperBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).UpperBand;
def lowerBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).LowerBand;
def midLine = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).MidLine;
def Bandwidth = (upperBand - lowerBand) / midLine * 100;   #current bandwidth

#Moving Average Volatility
input BandwidthAverageLength = 60; #length of bandwidth average
plot BandwidthAverage = ExpAverage(Bandwidth[-displace], BandwidthAverageLength);

input BandwidthMax = 15;
def TBW = Bandwidth <= BandwidthMax;

input BandwidthAvgMin = 30;
def TBWA = Bandwidthaverage > BandwidthAvgMin;
#def TBWA = BandwidthAvgMin is greater than BandwidthAverage;

def ExplosiveSqueeze = TBW and TBWA;
AssignBackGroundColor(if ExplosiveSqueeze then color.dark_orange else color.violet) ;

@TY_Joe

 

[Almighty1]

Explosive Squeeze Watchlist

View attachment 725
Shared Link for Explosive Squeeze watchlist: http://tos.mx/wYCkrrw
Click here for --> Easiest way to load shared links

# ExplosiveSqueeze by JustAnotherTrader
# Custom scan mods by WTF_Dude

input averageType = AverageType.Simple;
input price = close;
input length = 20;
input Num_Dev_Dn = -2.0;
input Num_Dev_Up = 2.0;
def displace = 0;

def upperBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).UpperBand;
def lowerBand = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).LowerBand;
def midLine = BollingerBands(price, displace, length, Num_Dev_Dn, Num_Dev_Up, averageType).MidLine;
def Bandwidth = (upperBand - lowerBand) / midLine * 100;   #current bandwidth

#Moving Average Volatility
input BandwidthAverageLength = 60; #length of bandwidth average
plot BandwidthAverage = ExpAverage(Bandwidth[-displace], BandwidthAverageLength);

input BandwidthMax = 15;
def TBW = Bandwidth <= BandwidthMax;

input BandwidthAvgMin = 30;
def TBWA = Bandwidthaverage > BandwidthAvgMin;
#def TBWA = BandwidthAvgMin is greater than BandwidthAverage;

def ExplosiveSqueeze = TBW and TBWA;
AssignBackGroundColor(if ExplosiveSqueeze then color.dark_orange else color.violet) ;

@TY_Joe

I tried to use the import shared item under Setup in TOS but the shared items list is blank after it says successfully imported, what am I doing wrong? Is this the same thing as Short Squeeze scan?

 

[MerryDay]

@Almighty1 When you saved the watchlist, do you remember what name you saved it under? If not, follow these instructions exactly
--> Easiest way to load shared links again, to load the watchlist column again, making sure to write down what name you save the watchlist column under.

After that follow these instructions ---> https://usethinkscript.com/threads/answers-to-commonly-asked-questions.6006/#post-70999 to find that watchlist column so you can load it to your watchlist.

In answer to your question, The explosive squeeze is not EXACTLY like other squeeze indicators. The squeeze indicators on the forum are all slightly different flavors. I have found that reading through the threads, is the best way to understand the nuances between them as well as picking up tips as to how other members are using these indicators.