NASDAQ NORMALIZED NEW HIGHS & NEW LOWS For ThinkOrSwim

[Cybersloth]

Really appreciate the willingness of others to share their Thinkscript codes here. Accordingly, what follows is a Thinkscript indicator which tallies the new highs and new lows for the NASDAQ in a normalized format. The indicator is from Bryan Johnson's book, "Before the Bear Strikes", in which the code was shared in Metastock format. Here, it is translated to Thinkscript. The author normalized the highs and lows to accommodate the changing number of issues. and suggested Normalized New Lows > 40 is a bearish indication. I haven't found that particular value to be especially useful, although monitoring market breadth is unquestionably important. Hope you find the Thinkscript helpful in some manner.

Thinkscript Code:

input time_frame = AggregationPeriod.DAY;

#COND1
input cond1_newhighs = "$NAHGH";
input cond1_newlows = "$NALOW";
input cond1_ema_length = 260;

def cond1_source_newhighs = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond1_newhighs, period = time_frame);
def cond1_source_newlows = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond1_newlows, period = time_frame);

#COND2
input cond2_advances = "$ADVN/Q";
input cond2_declines = "$DECN/Q";
input cond2_ema_length = 260;

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_advance_ema = movingaverage(averageType.EXPONENTIAL, cond2_source_advances, cond2_ema_length);
def cond2_decline_ema = movingaverage(averageType.EXPONENTIAL, cond2_source_declines, cond2_ema_length);

#COND3
input cond3_unchanged = "$UNCN/Q";
input cond3_ema_length = 260;
input cond3_multiplier = 3000;

def cond3_source_advances = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond3_unchanged, period = time_frame);
def cond3_ema = movingaverage(averageType.EXPONENTIAL, cond3_source_advances, cond3_ema_length);

plot normalized_newhighs = round(cond1_source_newhighs / (cond2_advance_ema + cond2_decline_ema + cond3_ema) * cond3_multiplier,2);
normalized_newhighs.definecolor("Default", color.green);
normalized_newhighs.assignvalueColor(normalized_newhighs.color("Default"));
addlabel(yes, "Normalized New Highs: " + normalized_newhighs, normalized_newhighs.color("Default"));

plot normalized_newlows = round(cond1_source_newlows / (cond2_advance_ema + cond2_decline_ema + cond3_ema) * cond3_multiplier,2);
normalized_newlows.definecolor("Default", color.red);
normalized_newlows.assignvalueColor(normalized_newlows.color("Default"));
addlabel(yes, "Normalized New Lows: " + normalized_newlows, normalized_newlows.color("Default"));

 

[Moderation]

Really appreciate the willingness of others to share their Thinkscript codes here. Accordingly, what follows is a Thinkscript indicator which tallies the new highs and new lows for the NASDAQ in a normalized format. The indicator is from Bryan Johnson's book, "Before the Bear Strikes", in which the code was shared in Metastock format. Here, it is translated to Thinkscript. The author normalized the highs and lows to accommodate the changing number of issues. and suggested Normalized New Lows > 40 is a bearish indication. I haven't found that particular value to be especially useful, although monitoring market breadth is unquestionably important. Hope you find the Thinkscript helpful in some manner.

Thinkscript Code:

input time_frame = AggregationPeriod.DAY;

#COND1
input cond1_newhighs = "$NAHGH";
input cond1_newlows = "$NALOW";
input cond1_ema_length = 260;

def cond1_source_newhighs = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond1_newhighs, period = time_frame);
def cond1_source_newlows = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond1_newlows, period = time_frame);

#COND2
input cond2_advances = "$ADVN/Q";
input cond2_declines = "$DECN/Q";
input cond2_ema_length = 260;

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_advance_ema = movingaverage(averageType.EXPONENTIAL, cond2_source_advances, cond2_ema_length);
def cond2_decline_ema = movingaverage(averageType.EXPONENTIAL, cond2_source_declines, cond2_ema_length);

#COND3
input cond3_unchanged = "$UNCN/Q";
input cond3_ema_length = 260;
input cond3_multiplier = 3000;

def cond3_source_advances = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond3_unchanged, period = time_frame);
def cond3_ema = movingaverage(averageType.EXPONENTIAL, cond3_source_advances, cond3_ema_length);

plot normalized_newhighs = round(cond1_source_newhighs / (cond2_advance_ema + cond2_decline_ema + cond3_ema) * cond3_multiplier,2);
normalized_newhighs.definecolor("Default", color.green);
normalized_newhighs.assignvalueColor(normalized_newhighs.color("Default"));
addlabel(yes, "Normalized New Highs: " + normalized_newhighs, normalized_newhighs.color("Default"));

plot normalized_newlows = round(cond1_source_newlows / (cond2_advance_ema + cond2_decline_ema + cond3_ema) * cond3_multiplier,2);
normalized_newlows.definecolor("Default", color.red);
normalized_newlows.assignvalueColor(normalized_newlows.color("Default"));
addlabel(yes, "Normalized New Lows: " + normalized_newlows, normalized_newlows.color("Default"));

thanks for sharing this! i am reading over the code you share here, but was wondering if you could tell us what the study is calculating or if you have a link to the book's description/calculation?

 

[Cybersloth]

There isn't really a satisfactory explanation of the formulation in the book, although I think I understand what the author is attempting to accomplish. I'll explain the formulation's logic by drawing attention to 2 problems with identifying new highs and new lows, ipso facto, in an index: 1) The number of total issues is subject to change; 2) The changes in new highs and new lows are often erratic, increasing the likelihood of an interpretive error. The above formulation weights the divisor with the 3000 multiple to address the arbitrary change that an added and subtracted number of issues brings, and it attempts to isolate potentially more significant changes in the new highs and new lows by linking those with the broader directional movements of advancing and declining issues in the index.

I posted the indicator under the pretense someone might either follow the formula as is, because it does identify times of unrest in the market, or so others might take the general idea as a starting point for more useful breadth metrics.

 

[Moderation]

it sounds interesting. i can understand why he would have wanted to solve the number of issues problem. also, having two charts on the page would make it more difficult to decipher than to have one representing both. also one could calculate the percentage change rather than a whole number.

 

[Jansuperv]

Really appreciate the willingness of others to share their Thinkscript codes here. Accordingly, what follows is a Thinkscript indicator which tallies the new highs and new lows for the NASDAQ in a normalized format. The indicator is from Bryan Johnson's book, "Before the Bear Strikes", in which the code was shared in Metastock format. Here, it is translated to Thinkscript. The author normalized the highs and lows to accommodate the changing number of issues. and suggested Normalized New Lows > 40 is a bearish indication. I haven't found that particular value to be especially useful, although monitoring market breadth is unquestionably important. Hope you find the Thinkscript helpful in some manner.

View attachment 13947


Thinkscript Code:

input time_frame = AggregationPeriod.DAY;

#COND1
input cond1_newhighs = "$NAHGH";
input cond1_newlows = "$NALOW";
input cond1_ema_length = 260;

def cond1_source_newhighs = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond1_newhighs, period = time_frame);
def cond1_source_newlows = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond1_newlows, period = time_frame);

#COND2
input cond2_advances = "$ADVN/Q";
input cond2_declines = "$DECN/Q";
input cond2_ema_length = 260;

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_advance_ema = movingaverage(averageType.EXPONENTIAL, cond2_source_advances, cond2_ema_length);
def cond2_decline_ema = movingaverage(averageType.EXPONENTIAL, cond2_source_declines, cond2_ema_length);

#COND3
input cond3_unchanged = "$UNCN/Q";
input cond3_ema_length = 260;
input cond3_multiplier = 3000;

def cond3_source_advances = Fundamental(fundamentalType = FundamentalType.CLOSE, symbol = cond3_unchanged, period = time_frame);
def cond3_ema = movingaverage(averageType.EXPONENTIAL, cond3_source_advances, cond3_ema_length);

plot normalized_newhighs = round(cond1_source_newhighs / (cond2_advance_ema + cond2_decline_ema + cond3_ema) * cond3_multiplier,2);
normalized_newhighs.definecolor("Default", color.green);
normalized_newhighs.assignvalueColor(normalized_newhighs.color("Default"));
addlabel(yes, "Normalized New Highs: " + normalized_newhighs, normalized_newhighs.color("Default"));

plot normalized_newlows = round(cond1_source_newlows / (cond2_advance_ema + cond2_decline_ema + cond3_ema) * cond3_multiplier,2);
normalized_newlows.definecolor("Default", color.red);
normalized_newlows.assignvalueColor(normalized_newlows.color("Default"));
addlabel(yes, "Normalized New Lows: " + normalized_newlows, normalized_newlows.color("Default"));

Thanks for interesting code and idea. Your are right, New Highs And New lows can be quite noisy.

How would it look on a minute chart ? It apears on daily tf, right ? Watching on 1 min tf could be telling.

Further more, I have noticed that "all us new highs and lows" from weekly to yearly does not show up on this site. you may allready be familiar with this. There is the etf version, i understand. That is if I am not mistaken. Here it is: $ushi1w vs $uslow1 $advus $declus $unchus