Jenkins Cycle Volume Indicator for ThinkorSwim

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BenTen

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This study indicates a possible trend reversal after the cumulative volume range specified by the user is reached.

This code is based on some of the cyclic and harmonic methodology theory developed by Michael S. Jenkins. Ken Hodor modified the cyclic indicator based on trade volume for the SPY and implemented his approach in TradeStation. This is an implementation of the approach Ken presented at the August 22, 2015 San Diego Investools Meeting.

Every 1.1 Billion shares of SPY traded represents a possible trend reversal. (Ken switched to 950 million float or jenmins range.) Original Implementation: Ken Hodor - TradeStation Easy Language

09/16/2015 Implemented by Tim Sayre - ThinkorSwim thinkScript
That was part of the header for the source code below. I took it apart so that it would be easier to read.



thinkScript Code

Code:
#Jenkins Cycle Volume
#hint jenkins_range: The number of shares traded for a trend reversal.
#hint length: The number of trading days per year.
##   NO ACTUAL OR IMPLIED WARRANTIES OFFERED - USE AT YOUR OWN DISCRETION
##################################################################################
declare lower;

input jenkins_range = 950000000;        ## Ken Hodor determined 950 million shares traded fit the data set. (12/18/2015)
input length = 252;                     ## Trading days per year.
input showApproxDaysRemainLabel = yes;  ## Shows/Hide Label with approximate number of bars until reversal.

def cycle_dir;
def cumulative_vol;
def debug_label;

def bar_vol = GetValue( volume, 0 );

## Only need these values at the first bar, but not sure how else to keep this tidy except by
## using the Compound Value function w/o this preventing the calculation for every bar.
## The variable isn't needed afterwards so just copying the previous bar value into the current bar value.
def avg_daily = ( fold i = 0 to length with vol_sum = 0 do vol_sum + GetValue( volume, i ) ) / length;
def lo_idx = GetMinValueOffset( low, length );
def vol_to_low = CompoundValue( 1, vol_to_low[1], fold j = 0 to length - lo_idx with vol = 0 do vol + GetValue( volume, j ) );

## Checks to see if odd or even number to determine initial direction.
def cur_dir =  CompoundValue( 1, cycle_dir[1], If( floor( vol_to_low / jenkins_range ) % 2 == 0, 1, -1 ) );

## If it is first bar then we need to calculate initial volume based on location of lowest low bar.
## Otherwise we use the previous bars value for cumulative volume.
def hist_vol = CompoundValue( 1, cumulative_vol[1],  vol_to_low % jenkins_range );

## Check to see if we need to reverse direction or not.
if ( hist_vol + bar_vol > jenkins_range ) then {
    ## Account for cycle reversal.
    cumulative_vol = hist_vol + bar_vol - jenkins_range;
    cycle_dir = cur_dir * (-1);
   
    ## debug
    debug_label = no;
} else {
    cumulative_vol = hist_vol + bar_vol;
    cycle_dir = cur_dir;

    ## debug
    debug_label = no;
}

plot JenkinsVol =  If ( cycle_dir == 1, 0, 1 ) + cycle_dir * cumulative_vol / jenkins_range;
JenkinsVol.SetPaintingStrategy( PaintingStrategy.LINE_VS_POINTS );
JenkinsVol.SetLineWeight( 2 );   ## Range from 1 to 5 ThinkScript imposed.

## Display for approximate number of bars remaining in the cycle.
def remain = ( jenkins_range - cumulative_vol ) / avg_daily;
AddLabel( showApproxDaysRemainLabel, "Approx. Days Remaining: " + Round( remain, 2 ), Color.WHITE );

#### debug ####
## Just change this out for other variables.  
AddChartBubble( debug_label, 1.0, AsText( cycle_dir, NumberFormat.TWO_DECIMAL_PLACES ), Color.WHITE );

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