Worden Stochastics For ThinkOrSwim

[TraderC]

So in TC2000, the Wordens have their own version of Stochastics. Here is some background on it. Has anyone converted this for ThinkOrSwim? My guess it's not too hard to do. Thanks!

TC2000 Worden Stochastics

https://www.investopedia.com/terms/w/worden-stochastics.asp

 

[mashume]

Thanks to the work of @Svanoy we can do this. This thread : https://usethinkscript.com/threads/rank-volume-1-10.9504/#post-86497 had the key to figuring out ranks, and then this was simple. It seems like an interesting oscillator.

declare lower;

input length = 12;
input k = 3;
input d = 5;
input OS = 20;
input OB = 80;

def rank = fold i=1 to length with rankcounter=0 do if close>GetValue(close,i) then rankcounter+1 else rankcounter;

def w = ( 100 / ( length – 1 ) ) * Rank;

plot Worden = SimpleMovingAvg(w, k);
plot signal = SimpleMovingAvg(Worden, d);

plot OverSold = OS;
plot OverBought = OB;

Worden.SetDefaultColor(color.yellow);
signal.SetDefaultColor(color.blue);
OverSold.SetDefaultColor(color.gray);
OverBought.SetDefaultColor(color.gray);

Happy Trading,
mashume

 

[TraderC]

Thanks to the work of @Svanoy we can do this. This thread : https://usethinkscript.com/threads/rank-volume-1-10.9504/#post-86497 had the key to figuring out ranks, and then this was simple. It seems like an interesting oscillator.

Thank you so much!

 

[mashume]

TL;DR: please update your code with the new version above. Below is the story of why.

I believe I introduced a mathematical error into this via copy paste and not thinking.

When I ran it as originally posted, and at the default length, it looked passably correct. When I adjusted the length to 30 I noticed that the indicator line maxed out at 70. This was strange. Turns out it was maxed at 88 with the default length of 12.

It's a simple order of operations error, a lack of parentheses, and the difference between 0 and 1 indexed lists.

def w = (100/length – 1) * Rank;

should have been

def w = (100/(length – 1)) * Rank;

That gets us the canonical formula for the Worden Stochastic. HOWEVER I used a 1 indexed list of positions not a zero indexed. If you think abuout that for a minute, you'll see this with a length of 26 and the highest value candle (number 26):

w = ( 100 / ( length - 1 ) ) * rank
w = ( 100 / (   26 - 1   ) ) * 26
w = ( 100 / (     25     ) ) * 26
w = 4 * 26
w = 104

Not Good.
So we actually, for this implementation, need to replace the original code with:

def w = ( 100 / ( length - 1 ) ) * ( Rank - 1 );

And then our maths should all work out for an indicator that will go from 0 to 100. If we had just used a zero indexed list it might have been simpler, but that's life. But since code isn't life, we'll change to a zero-indexed ranking list and save ourselves a little bit of processor cycling for the extra subtraction:

def rank = fold i=1 to length with rankcounter=0 do if close>GetValue(close,i) then rankcounter+1 else rankcounter;

If your strategy for this used crossovers, nothing really changed. but if you relied on OS and OB levels, it's a different story.

For all of you who made it this far through my pre-coffee rambling, thank you. This one actually kept me awake for a while puzzling it out.

Happy Trading,
mashume