My intention was to release this to the Pro Subscribers only but it seems to me that I have been neglecting the general public as of late. As such, this one will be for mass consumption. The script is too long to post here so you will have to swing by the forum “Released ThinkScripter Studies” section (free registration required) to grab yourself a copy. Best of luck in your trading. -Eric

Option Volume

Alternate Modes

Volume and Price Trend

# TS_VolumeTrend
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 16 Dec 2009

declare on_volume;
declare real_size;

input period = 50;

plot VolTrend = InertiaAll(volume, period);
def volumeSlope = if voltrend>voltrend[1] then 1 else 0;
VolTrend.assignValueColor(if voltrend>voltrend[1] then color.green else color.red);
VolTrend.setLineWeight(2);

# TS_PriceTrend
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 16 Dec 2009

input price = close;
input period = 50;
def offset = 100;

def linearPriceTrend = InertiaAll(close, period);
def priceSlope =  if linearPriceTrend>linearPriceTrend[1] then 1 else 0;
def dist = HighestAll(AbsValue(linearPriceTrend - price)) * (offset / 100.0);

def VolTrend = InertiaAll(volume, period);
def volumeSlope = if voltrend>voltrend[1] then 1 else 0;

plot PriceTrend = if priceSlope==0 then linearPriceTrend-dist else if priceSlope==1 then linearPriceTrend+dist else linearPriceTrend;
PriceTrend.assignValueColor(if volumeSlope != priceSlope then color.blue else color.white);
PriceTrend.setLineWeight(2);

Divergences between price and the indicator can provide leading signals whereas the slope of the indicator shows if the bulls or bears are in control. Values above zero are bullish and indicate accumulation while values below zero indicate distribution. FVE crossing the zero line indicates that the short to intermediate balance of power is changing.

Also pictured are the ThinkScripter Volumetric Trendlines and Volume Profile (still under development).

Finite Volume Element

# TS_FiniteVolumeElement
# (c) 2009 http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 25 AUG 2009

declare lower;

input FVEPeriod = 22;
input smoothingPeriod = 10;
def intra = log(high)-log(low);
def vintra = stdev(intra, FVEPeriod);
def inter = log(hlc3)-log(hlc3[1]);
def vinter = stdev(inter,FVEPeriod);
def cutoff = 0.1*(vinter+vintra)*close;

def MF = (Close - (High + Low ) / 2 )+ hlc3 - hlc3[1] ;
def VE = if MF > cutoff then volume else if MF < -cutoff then -volume else 0;
def FVE = 100*sum(VE,FVEPeriod)/(average(volume,FVEPeriod)*FVEPeriod);

plot FiniteVolumeElement = FVE;
FiniteVolumeElement.setDefaultColor(color.cyan);

plot SmoothedFVE = Average(FVE,smoothingPeriod)  ;
SmoothedFVE.setDefaultColor(color.blue);

plot zero = 0;
zero.setDefaultColor(color.white);

You’ll need to enter the number of hours in the trading cycle. Normally this is 6.5 hours for stocks (0930-1600) and 6.75 for index futures (0930-1615). This study is designed to be used on trading hours charts (i.e. “Show trading hours only” checked).

Lastly, you’ll need to select if you are using the chart on an index future like the /ES. When TOS plots an hourly chart of an index future, there is one extra bar in the chart because of the partial hour up front and partial hour in back. I put in a particularly inelegant kludge to work around this until something more aesthetically pleasing comes to mind.

Relative Volume Percentage

# TS_RelativePercentVolume
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 26 JUL 2009

##### DO NOT USE ON TICK CHARTS #####

declare lower;

# Use the number of hours from market open to market open the following
# session (6.5 for stocks, 6.75 for index futures etc)
input hoursPerCycle = 6.75;
# Must select YES for /ES, /NQ etc since and extra bar appears on hourly charts
input indexFuture = YES;
input averagePeriod = 10;
input threshold = 25.0;

rec cycle = compoundValue(1, if getDay() != getDay()[1] then cycle[1]+1 else cycle[1],1);
def barLength = getAggregationPeriod()/60000;

def barsPerCycleV = round100(hoursPerCycle*60/barLength);
def barsPerCycleR = round100((hoursPerCycle*60/barLength)/100)*100;
def barsPerCycle = if barsPerCycleV > barsperCycleR then barsPerCycleR+1 else barsPerCycleR;

# This 'kludge' is in here since index futures plotted on a one hour chart add an extra bar
# Not elegant but it works until something hits me 

def kludge = if indexFuture and barsPerCycle==7 then 1 else 0;

rec aggVolume = volume + aggVolume[barsPerCycle+kludge];
def aveVolume = aggVolume/(cycle+1);

plot percentDiff = ((volume/aveVolume))*100.0;
percentDiff.setpaintingStrategy(paintingStrategy.HISTOGRAM);
percentDiff.setLineWeight(3);
percentDiff.assignValueColor(if percentDiff < 100-threshold then color.red else if percentDiff > 100+threshold then color.green else color.white);

plot zero = 100;
zero.setDefaultColor(color.white);
zero.setStyle(curve.SHORT_DASH);

plot highMark = 200;
highMark.setDefaultColor(color.dark_gray);

plot lowMark = 0;
lowMark.setDefaultColor(color.dark_gray);

plot ave = average(percentDiff,averagePeriod);
ave.setDefaultColor(color.yellow);

Four Volume

# TS_FourVolume
# (c) 2009 http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 13 May 2009

declare lower;

input VolumePeriod = 10;
input OscillatorLength = 10;
input priceChangeWeighted = NO;
input overbought = 80.0;
input oversold = 20.0;

input mode = {default UP_DOWN_VOL_RATIO, OSCILLATOR};

def price1 = close("/ES");
def price2 = close("/NQ");
def price3 = close("/YM");
def price4 = close("/TF");

def volume1 = volume("/ES");
def volume2 = volume("/NQ");
def volume3 = volume("/YM");
def volume4 = volume("/TF");

def avePrice = (price1+price2+price3+price4)/4.0;
def delta = absValue(avePrice-avePrice[1]);
def aveVolume = (volume1+volume2+volume3+volume4)/4.0;
def multiplier = if(priceChangeWeighted, delta,1);

plot maxLine = 80.0;
plot minLine = 20.0;
maxLine.setDefaultColor(color.BLUE);
minLine.setDefaultColor(color.BLUE);
plot midLine = 50.0;
midLine.setDefaultColor(color.WHITE);

def up = if(avePrice>avePrice[1], aveVolume*multiplier, 0);
def down = if(avePrice<avePrice[1], aveVolume*multiplier, 0);
def upvol = sum(up, VolumePeriod);
def downvol = sum(down, VolumePeriod);

def UPDVR= ((upvol/(downvol+upvol)));

def highestVR = Highest(UPDVR, OscillatorLength);
def lowestVR = Lowest(UPDVR, OscillatorLength);

plot FourVolume;

switch (mode) {

case UP_DOWN_VOL_RATIO:
FourVolume = UPDVR*100;
case OSCILLATOR:
FourVolume = (UPDVR - lowestVR) / (highestVR - lowestVR)*100;
}

FourVolume.DefineColor("OverBought", Color.DOWNTICK);
FourVolume.DefineColor("Normal", color.cyan);
FourVolume.DefineColor("OverSold", Color.UPTICK);
FourVolume.AssignValueColor(if FourVolume < oversold then FourVolume.color("OverSold")
else if FourVolume > overbought then FourVolume.color("OverBought")
else FourVolume.color("Normal"));

1) Advancing/Declining Issues Ratio
2) Advancing-Declining Issues Total
3) Advancing/Declining Volume Ratio
4) Advancing-Declining Volume Total

Market Breadth

# MARKETBREADTH
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 21 Jan 2009

declare lower;

input display = {default ADIssuesRatio, ADIssues, ADVolumeRatio, ADVolume};
input market = {default NYSE, NASDAQ};

def advancing = if(market, close("$advn/q"), close("$advn"));
def declining =  if(market, close("$decn/q"), close("$decn"));
def advVolume = if(market, close("$uvol/q"), close("$uvol"));
def decVolume = if(market, close("$dvol/q"), close("$dvol"));

plot Breadth;

switch(display) {
  case ADIssuesRatio:
    Breadth = if(advancing > declining, (advancing / declining), (-declining / advancing));
  case ADIssues:
    Breadth = advancing - declining;
  case ADVolume:
    Breadth = advVolume - decVolume;
case ADVolumeRatio:
    Breadth = if( advVolume > decVolume, (advVolume / decVolume), (-decVolume / advVolume));
}

Breadth.AssignValueColor(if Breadth >= 0.0 then color.green else color.red);
Breadth.SetPaintingStrategy(paintingStrategy.HISTOGRAM);
Breadth.SetLineWeight(3);

plot ZeroLine = 0.0;
ZeroLine.SetDefaultColor(color.white);