October 2011

TRADESTATION: THE JK HILO INDEX

In “The JK HiLo Index” in this issue, author Jay Kaeppel suggests the use of the JK HiLo index to help identify overbought and oversold conditions for the Nasdaq market.

The author suggests using the index value along with other confirming indicators or price action to better time market entries. The data used for the index includes the total issues traded on the Nasdaq, the number of new 52-week highs, and the number of new 52-week lows.

Here, we present indicator code for the JK HiLo index. To obtain the numbers required for the calculations, multiple data streams were used in the chart. A workspace is also available for download that has the multiple data streams already set up. If you want to manually set up the chart, Data1 symbol is $Compx, Data2 symbol is $Advq, Data3 symbol is $Declq, Data4 symbol is $Unchq, Data5 symbol is $52Whq, and the Data6 symbol is $52Wlq. After the data streams are inserted, the indicator may be inserted.

To download the EasyLanguage code for the indicators, first navigate to the EasyLanguage Faqs and Reference Posts Topic in the EasyLanguage Support Forum (https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=47452), scroll down, and click on the link labeled “Traders’ Tips, TASC.” Then select the appropriate link for the month and year. The Eld filename is “_JK HiLo Index.Eld.” Also included is a workspace that includes the chart setup with the multiple data streams and the indicator.

A sample chart is shown in Figure 1.

Figure 1: TRADESTATION, the JK HiLo Index. Here is a daily chart of $COMPX (NASDAQ Composite index) with the _JK HiLo index indicator applied. The yellow plot is the index, the red plot is the overbought value, and the green plot is the oversold value.

EasyLanguage code

_JK HiLo Index (Indicator)
{ TASC Article, October, 2011 }
{ The JK HiLo Index by Jay Kaeppel }

inputs:
	AvgLen( 10 ),
         OverBought( 90 ),
	OverSold( 20 ) ;

variables:
	NQTraded( 0 ), { NASDAQ daily total issues traded }
	NQNew52WkH( 0 ), { NASDAQ daily new 52-week highs }
	NQNew52WkL( 0 ), { NASDAQ daily new 52-week lows }
	MinNewHighLow( 0 ), { Lesser of new 52-highs and 
	 new 52-week lows }
	MinNewHighLowPct( 0 ),
	HiLoLogicIndex( 0 ), { NASDAQ High/Low Logic 
	 Index }
	AdjHiLoLogicIndex( 0 ), { Adjusted High/low Logic 
	 Index }
	NewHighPct( 0 ), { New 52-week highs divided by 
	 new 52-week highs plus 52-week lows }
	NewHighPctAvg( 0 ), { average of NewHighPct }
	JKHiLoIndex( 0 ) ; { JK HiLo Index }

NQTraded = Close Data2 + Close Data3 + Close Data4 ;
NQNew52WkH = Close Data5 ;
NQNew52WkL = Close Data6 ;

MinNewHighLow = MinList( NQNew52WkH, NQNew52WkL ) ;
MinNewHighLowPct = MinNewHighLow / NQTraded * 100 ;
HiLoLogicIndex = Average( MinNewHighLowPct, AvgLen ) ;

if HiLoLogicIndex >= 2.15 
 or HiLoLogicIndex <= 0.40 then
	AdjHiLoLogicIndex = HiLoLogicIndex
else
	AdjHiLoLogicIndex = 1 ;

NewHighPct = NQNew52WkH / ( NQNew52WkH + NQNew52WkL ) ;
NewHighPctAvg = Average( NewHighPct, AvgLen ) ;

JKHiLoIndex = AdjHiLoLogicIndex * NewHighPctAvg * 100 ;

Plot1( JKHiLoIndex, "JKHiLoIndex" ) ;
Plot2( OverBought, "OverBought" ) ;
Plot3( OverSold, "OverSold" ) ;

{ Alerts }
if JKHiLoIndex crosses over OverBought then
	Alert( "JKHiLoIndex cross over " + 
	 NumToStr( OverBought, 0 ) ) ;

if JKHiLoIndex crosses under OverSold then
	Alert( "JKHiLoIndex cross under " + 
	 NumToStr( OverSold, 0 ) ) ;

This article is for informational purposes. No type of trading or investment recommendation, advice, or strategy is being made, given, or in any manner provided by TradeStation Securities or its affiliates.

—Chris Imhof, TradeStation Securities, Inc.
A subsidiary of TradeStation Group, Inc.
www.TradeStation.com

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BLOOMBERG: THE JK HILO INDEX

In his article in this issue, “The JK HiLo Index,” author Jay Kaeppel demonstrates the JK HiLo index (Jkhl) on a weekly Nasdaq Composite Index chart going back to 1988. Meanwhile, the Bloomberg chart in Figure 2 shows the daily Nasdaq Composite Index over the last five years. We chose daily bars and this time period — which covers the bear move from 2007–09 through the present — because of the recent selloff and extreme market volatility that is characterizing the current market environment (as of this writing in early to mid-August).

As you can see in Figure 2, the extreme bear run was preceded by three tops in an extreme overbought range in the JK HiLo index. The first two of these extremes (points 1 and 2) appear to have been early indications of the new highs yet to come, while the third peak (point 3) coincided with the market rally attempting new highs in the last quarter of 2007. Based on the JK HiLo index, the market bottom in November 2008 began a period of extremely oversold conditions that never reached back above oversold until the rally began from the low in March 2009 (point 4). Currently, as of this writing, after some severe selling pressure, the JK HiLo index has reached an oversold level that, while not as extreme as in earlier periods prior to the recent bull run, may be signaling a potential for upward moves in the market (point 5).

Figure 2: BLOOMBERG, the JK HiLo Index. Here is a daily line chart showing NASDAQ price movement over a five-year period from 2006 to 2011. The study panel underneath shows the JK HiLo index based on the NASDAQ daily total issues traded combined with NASDAQ daily new highs and lows. Annotations on the chart show five corresponding periods in the market and indications of where the JK HiLo index reaches extremely overbought and oversold conditions.

Using the CS.Net framework within the Stdy<GO> function on the Bloomberg Terminal, C# or Visual Basic code can be written to display the JK HiLo index described in Kaeppel’s article. The C# code for this indicator is shown here.

All Bloomberg code contributions to Traders’ Tips can also be found in the sample files provided with regular Sdk updates, and the studies will be included in the Bloomberg global study list.

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using Bloomberg.Study.API;
using Bloomberg.Study.CoreAPI;
using Bloomberg.Study.Util;
using Bloomberg.Study.TA;
using Bloomberg.Math;

namespace JK_HiLo_Index
{
    
    public partial class JKHiLoIndex
    {

        
        private void Initialize()
        {
            // Create a new panel below the chart to output the JK HiLo Index
            Panels.Add("JKHL Panel", new StudyPanel());

            // Create the line for the JK HiLo Index
            Output.Add("JKHL index", new TimeSeries());
            StudyLine jkhl = new StudyLine("JKHL index", Color.Blue);
            jkhl.Style = LineStyle.Solid;
            jkhl.Width = 3;
            
            // Add output line of indicator to newly created panel
            Panels["JKHL Panel"].Visuals.Add("JKHL index", jkhl);

            // Create horizontal Overbought and Oversold Lines
            StudyHorizontalLine OB = new StudyHorizontalLine(90.0, Color.Red,VisualLineStyle.Solid);
            OB.Width = 2;
            Panels["JKHL Panel"].Visuals.Add("Overbought", OB);

            StudyHorizontalLine OS = new StudyHorizontalLine(20.0, Color.LawnGreen, VisualLineStyle.Solid);
            OS.Width = 2;
            Panels["JKHL Panel"].Visuals.Add("Oversold", OS);

            // Request the data needed for the indicator directly
            DataField total = new DataField("TRADNASD Index", "PX_LAST");
            DataField newhighs = new DataField("NWHLNDHI Index", "PX_LAST");
            DataField newlows = new DataField("NWHLNDLO Index", "PX_LAST");
            Input.Add("NSDQtrded", total);
            Input.Add("NSDQhighs", newhighs);
            Input.Add("NSDQlows", newlows);

        }

        
        public override void Calculate()
        {
            TimeSeries totaltraded = Input["NSDQtrded"];    // A
            TimeSeries highs = Input["NSDQhighs"];          // B
            TimeSeries lows = Input["NSDQlows"];            // C
            TimeSeries smaller = highs.Lower(lows);         // D
            TimeSeries E = (smaller / totaltraded) * 100;   // E
            TimeSeries MvgAvgofE = Indicator.SMAvg(E, 10);  // F

            TimeSeries G = new TimeSeries(MvgAvgofE.Count); // G
            // Loop to assess and assign value to 'G'
            for (int ii = 0; ii < MvgAvgofE.Count; ii++)
            {
                if (MvgAvgofE[ii] >= 2.15 || MvgAvgofE[ii] <= 0.40)
                    G[ii] = MvgAvgofE[ii];
                else
                    G[ii] = 1;
            }
            TimeSeries H = highs / (highs + lows);          // H
            TimeSeries MvgAvgofH = Indicator.SMAvg(H, 10);  // I
            TimeSeries JKHLI = (G * MvgAvgofH) * 100;       // J

            // Display indicator in previously created panel
            Output.Update("JKHL index", JKHLI);

        }

    }

}

—Bill Sindel, Bloomberg, LP
wsindel@bloomberg.net
www.bloomberg.com/professional

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WEALTH-LAB: THE JK HILO INDEX

The JK HiLo index (Jkhl) presented by Jay Kaeppel in his article in this issue synthesizes two market breadth indicators to arrive at a new tool for supporting buy/sell decisions. However, although it’s based on a fairly wide sample of Nasdaq symbols, his original Jkhl formula contains two hard-coded thresholds in its construction that may not necessarily be applicable outside the Nasdaq watchlist. These numbers can become out of sync when applied to other portfolios.

So we wondered, what if we wanted to trade a different universe of stocks? What about futures? What about its applicability to overseas markets?

Given these considerations, we will introduce a tweak to enhance the formula given in the article. Since Wealth-Lab allows users to easily create their own unique market indexes, the code given here focuses on making Jkhl both adaptive and universal enough to capture the breadth of a custom “universe” of symbols, not just the Nasdaq. The idea behind determining the buy and sell thresholds dynamically is based on applying Bollinger Bands with upper and lower boundaries placed two standard deviations above and below a long-term Sma of the Jkhl. Finally, the thresholds based on constants used in the adjusted high/low logic index formula from the article can be replaced with custom values. See Figure 4 for a chart implementation of the Jlhl index.

Figure 4: WEALTH-LAB, the JK HiLo Index. Here is a Wealth-Lab Developer 6.2 chart showing the JK HiLo index chart markup applied to a daily chart. The JKHL and its underlying indexes here are built against the S&P 100 stocks using 20-day new highs/lows. Our adaptive thresholds (colored bluish) are constructed using 100-day Bollinger Bands. Selling opportunities are highlighted in green.

Before the Jkhl can be used in Wealth-Lab as an aid in trading systems, several easy steps are required:

1. Install the MS123 IndexDefinitions library from the Extensions section of our website www.wealth-lab.com and restart Wealth-Lab.
2. In the Index Manager tool, select your favorite DataSet and select “JK HiLo index” from the list of available indexes to recreate the Jkhl. Type in “JKHL” as the index name. As you can see in Figure 5, everything about the Jkhl is made configurable: the new high/low period, the Sma period, and the two thresholds used when building the adjusted high/low logic index.
3. Copy and paste in the strategy’s C# code shown here or simply let Wealth-Lab do the job: in the Open Strategy dialog, click “download” to get the strategy code.

Figure 5: WEALTH-LAB, Index MANAGER. This shows the Index Manager dialog for creating the configurable JKHL index in Wealth-Lab.

C# code:

using System;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class JKHiLoIndex : WealthScript
	{
		protected override void Execute()
		{
			DataSeries J = GetExternalSymbol("%JKHL",true).Close;
			//Adaptive thresholds for the JK HiLo Index
			BBandUpper bbu = BBandUpper.Series( J, 100, 2.0 );
			BBandLower bbl = BBandLower.Series( J, 100, 2.0 );

			// Plotting JK HiLo Index
			HideVolume();
			ChartPane jPane = CreatePane(45,true,true);
			PlotSeries( jPane, J, Color.DarkBlue, LineStyle.Solid, 2);
			PlotSeriesFillBand( jPane, bbu, bbl, Color.Blue, 
				Color.FromArgb( 30, Color.Blue ), LineStyle.Solid, 1 );

			for(int bar = bbu.FirstValidValue; bar < Bars.Count; bar++)
			{
				bool sellZone = J[bar] >= bbu[bar];
				bool buyZone = J[bar] <= bbl[bar];
				
				if( sellZone )
					SetBackgroundColor( bar, Color.FromArgb( 30, Color.Green ) );
				if( buyZone )
					SetBackgroundColor( bar, Color.FromArgb( 30, Color.Red ) );
			}
		}
	}
}

—Eugene
www.wealth-lab.com

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NEUROSHELL TRADER: THE JK HILO INDEX

The JK HiLo index described by Jay Kaeppel in his article in this issue can be easily implemented with a few of NeuroShell Trader’s 800+ indicators. Simply select “New indicator…” from the Insert menu and use the Indicator Wizard to set up the following indicators:

Indicator1 [High/Low Logic Index]:
MovAvg(Multiply2( Divide( Min2( #NewHighs, #NewLows), #Traded), 100), 10)

Indicator2 [Avg of New Highs / Sum of New Highs & Lows]:
MovAvg(Divide( #NewHighs, Add2( #NewHighs, #NewLows)), 10)

JK HiLo Index:
Multiply3(If (A<B<C(0.40, Indicator1, 2.15), 1, Indicator1), Indicator2, 100)

Users of NeuroShell Trader can go to the Stocks & Commodities section of the NeuroShell Trader free technical support website to download a copy of this or any previous Traders’ Tips.

A sample chart is shown in Figure 7.

Figure 7: NEUROSHELL TRADER, the JK HiLo Index. Here is the JK HiLo index on a NeuroShell Trader chart.

—Marge Sherald, Ward Systems Group, Inc.
301 662-7950, sales@wardsystems.com
www.neuroshell.com

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TRADERSSTUDIO: THE JK HILO INDEX

The TradersStudio code for Jay Kaeppel’s Jkhl indicator presented in his article in this issue, “The JK HiLo Index,” is provided at the websites noted here. The following code files are provided in the download:

• Function “JKHL” Computes the indicator values
• Indicator Plot “JKHL_IND” For displaying the custom indicator on a session chart
• System “JKHL_SYS” A sample system I created that uses the indicator

The rules of the system that I created to try out the indicator are:

• Enter a long position the next day at market on open when:
  • Jkhl indicator is less than the buy level one bar ago, and
  • Jkhl is higher today than yesterday
• Exit a long position when:
  • After X bars the position is not profitable or
  • Jkhl indicator is above the sell level one bar ago, and
  • Jkhl is lower today than yesterday.
• Enter a short position the next day at market on open when:
  • Jkhl indicator is above the shorting level, and
  • Jkhl is lower today than yesterday.
• Exit a short position when:
  • After X bars the position is not profitable or
  • Jkhl indicator is less than the cover short level one bar ago, and
  • Jkhl is higher today than yesterday.

The parameters I used are listed in the system code. I ran the code on the S&P futures contract using data from Pinnacle Data. In Figure 9, I show the resulting logarithmic equity curve. In Figure 10, I show the underwater equity curve using the PctMarginPlan that comes with TradersStudio. I used a tradeplan parameter of 10% of margin to determine the number of contracts to trade on each signal.

Figure 9: TRADERSSTUDIO, the JK HiLo Index TRADING SYSTEM. Here is a logarithmic equity curve for the sample system that uses the JKHL indicator trading the large S&P 500 futures contract.

Figure 10: TRADERSSTUDIO, UNDERWATER EQUITY CURVE. Here is the underwater equity curve for the sample system that uses the JKHL indicator trading the large S&P 500 futures contract.

The code can be downloaded from the TradersStudio website at www.TradersStudio.com → Traders Resources → FreeCode or www.TradersEdgeSystems.com/traderstips.htm. The code is also shown here:

' THE JK HILO INDEX
' Author: Jay Kaeppel, TASC October 2011
' Coded by: Richard Denning 8/12/2011

'INDICATOR FUNCTION CODE:
Function JKHL(NAShighs As BarArray, NASlows As BarArray, NASissues As BarArray,upperCO, lowerCO, sLen)
    'Dim buyLevel, sellLevel, maxShortBars
    Dim pctNH, pctNL, HLidx
    Dim newH , newL, totIs
    Dim avgHLidx As BarArray
    Dim JKlogic As BarArray
    Dim JKnH As BarArray
    
   'set up the following in the session:
    'independent1 = Pinacle data file  "ND-HIGHS.CSV"
    'independent2 = Pinacle data file  "ND-LOWS.CSV"
    'independent3 = Pinacle data file  "ND-TOTIS.CSV"
   
   'defaults: upperCO=2.15, lowerCO=0.4, smoLen=10
    
    newH = NAShighs 'C Of independent1
    newL = NASlows  'C Of independent2
    totIs = NASissues 'C Of independent3
    If totIs > 0 Then 
        pctNH = (newH / totIs) * 100
        pctNL = (newL / totIs) * 100
    End If
    HLidx = Min(pctNH,pctNL)
    avgHLidx = Average(HLidx,sLen)
    If avgHLidx > upperCO Or avgHLidx < lowerCO Then
        JKlogic = avgHLidx
    Else
        JKlogic = 1
    End If
    If newH + newL <> 0 Then
        JKnH = Average(newH / (newH + newL), sLen)
    Else
        JKnH = JKnH[1]
    End If
    JKHL = JKlogic * JKnH * 100
End Function
'-------------------------------------------------------------------
'INDICATOR PLOT:
Sub JKHL_IND(upperCO, lowerCO, sLen, bLvl, sLvl)
    Dim newH As BarArray
    Dim newL As BarArray
    Dim totIs As BarArray
    Dim myJKHL As BarArray
    
    'set up the following in the session:
    'independent1 = Pinacle data file  "ND-HIGHS.CSV"
    'independent2 = Pinacle data file  "ND-LOWS.CSV"
    'independent3 = Pinacle data file  "ND-TOTIS.CSV"
   
   'defaults: upperCO=2.15, lowerCO=0.4, smoLen=10, bLvl=20, sLvl=90
    newH = C Of independent1    'PINNACLE DATA: ND-HIGHS.CSV
    newL = C Of independent2    'PINNACLE DATA: ND-LOWS.CSV
    totIs = C Of independent3   'PINNACLE DATA: ND-TOTIS.CSV

    myJKHL = JKHL(newH,newL,totIs,upperCO,lowerCO,sLen)
    plot1(myJKHL)
    plot2(bLvl)
    plot3(sLvl)
End Sub
'---------------------------------------------------------------------
'SAMPLE SYSTEM (NOT IN ARTICLE):
Sub JKHL_Sys(upperCO,lowerCO,sLen,bLvl,sLvl,ssLvl,cvLvl,beBars)
    Dim newH As BarArray
    Dim newL As BarArray
    Dim totIs As BarArray
    Dim myJKHL As BarArray
    newH = C Of independent1    'PINNACLE DATA: ND-HIGHS.CSV
    newL = C Of independent2    'PINNACLE DATA: ND-LOWS.CSV
    totIs = C Of independent3   'PINNACLE DATA: ND-TOTIS.CSV
    
    myJKHL = JKHL(newH,newL,totIs,upperCO,lowerCO,sLen)
    
    'SAMPLE SYSTEM THAT USES THE JKHL INDEX
    'default parameters: uupperCO=2.15, lowerCO=0.4, sLen=10
    '                    bLvl=20, sLvl=90, ssLvl=95, cvLvl=15, beBars=4

    If myJKHL[1] < bLvl And myJKHL > myJKHL[1] Then
        Buy("LE",1,0,Market,Day)
    End If
    If myJKHL[1] > sLvl And myJKHL < myJKHL[1] Then
        ExitLong("LX","",1,0,Market,Day)
    End If
    If marketpos(0) = 1 And BarsSinceEntry > beBars And C < EntryPrice Then
        ExitLong("LX_LOSS","",1,0,Market,Day)
    End If
    If myJKHL[1] > ssLvl And myJKHL < myJKHL[1] Then
        Sell("SE",1,0,Market,Day)
    End If
    If myJKHL[1] < cvLvl And myJKHL > myJKHL[1] Then
        ExitShort("SX","",1,0,Market,Day)
    End If
    If marketpos(0) = -1 And BarsSinceEntry > beBars And C > EntryPrice Then
        ExitShort("SX_LOSS","",1,0,Market,Day)
    End If  
End Sub
'----------------------------------------------------------------------------

—Richard Denning
info@TradersEdgeSystems.com
for TradersStudio

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OMNITRADER: THE JK HILO INDEX

In “The JK HiLo Index” in this issue, author Jay Kaeppel demonstrates a method of combining two breadth indicators to form the Jkhl indicator. The calculation uses the high/low logic index and the new highs/new highs plus new lows indicator. For the sake of completeness, we have included code for all three indicators. The code will work with both OmniTrader and VisualTrader.

To use the software, copy the three files to the Vba folder of your OmniTrader or VisualTrader directory. The next time you start OT or VT, these indicators will be available for use. If desired, the calculations can be modified using the OmniLanguage Ide.

For more information and complete source code, visit https://www.omnitrader.com/ProSI. A sample chart is shown in Figure 12.

Figure 12: OMNITRADER, the JK HiLo Index. Here is the JK HiLo index plotted alongside the S&P 500.

"JKHL.txt"

'*********************************************************************
'*	NASDAQ JK HiLo Index
'* 		by Jeremy Williams
'*
'*	Adapted from Technical Analysis of Stocks & Commodities
'* 	October 2011
'*
'*	Summary: 
'* 		This indicator uses the percentage of new highs or lows
'* 	to predict overbought and oversold conditions. For more information
'*	see "The JK HiLo Index" in the October 2011 Issue of Technical 
'*	Analysis of Stocks & Commodities magazine.
'*
'* 	Parameters:
'*
'*	Periods- Specifies the number of periods for the smoothing moving
'*		average
'*
'**********************************************************************

#Indicator

#Param "Periods",10

Dim NewHighs	As Single
Dim NewLows		As Single
Dim TotalIssues As Single
Dim NQLogic		As Single
Dim NQLogicMA	As Single
Dim HoverHL		As Single
Dim HoverHLMA	As Single
Dim Multiplier	As Single
Dim Indicator 	As Single

' Get market breadth indicators
NewHighs = GetClose("$NQ52WH.N")
NewLows = GetClose("$NQ52WL.N")
TotalIssues = GetClose("$NQTI.N")

' Calculate the indicator value
NQLogic = 100*Math.Min(NewHighs,NewLows)/TotalIssues
NQLogicMA = SMA(NQLogic,Periods)
HoverHL = NewHighs/(NewHighs+NewLows)
HoverHLMA = SMA(HoverHL,Periods)

If NQLogicMA >= 2.15 or NQLogicMA <=.40 Then
	Multiplier = NQLogicMA
Else
	Multiplier = 1
End If

Indicator = 100*Multiplier*HoverHLMA

' Plot the indicator
SetScales(0,100)
Plot("HLLogic",Indicator)

' Return the value calculated by the indicator
Return Indicator


"NQHLLogicIndex.txt"

'*********************************************************************
'*	NASDAQ High/Low Logic Indicator
'* 		by Jeremy Williams
'*
'*	Adapted from Technical Analysis of Stocks & Commodities
'* 	October 2011
'*
'*	Summary: 
'* 		This indicator uses the percentage of new highs or lows
'* 	to predict overbought and oversold conditions. For more information
'*	see "The JK HiLo Index" in the October 2011 Issue of Technical 
'*	Analysis of Stocks & Commodities magazine.
'*
'**********************************************************************

#Indicator

Dim NewHighs	As Single
Dim NewLows		As Single
Dim TotalIssues As Single
Dim Indicator 	As Single

' Get Market Breadth Data
NewHighs = GetClose("$NQ52WH.N")
NewLows = GetClose("$NQ52WL.N")
TotalIssues = GetClose("$NQTI.N")

' Calculate the Indicator
Indicator = 100*Math.Min(NewHighs,NewLows)/TotalIssues

' Plot the Indicator
SetScales(0,5)
Plot("HLLogic",Indicator)

' Return the value calculated by the indicator
Return Indicator      


"NQHoverHL.txt"

'*********************************************************************
'*	NASDAQ High/Highs Plus Lows Indicator
'* 		by Jeremy Williams
'*
'*	Adapted from Technical Analysis of Stocks & Commodities
'* 	October 2011
'*
'*	Summary: 
'* 		This indicator uses the percentage of new highs or lows
'* 	to predict overbought and oversold conditions. For more information
'*	see "The JK HiLo Index" in the October 2011 Issue of Technical 
'*	Analysis of Stocks & Commodities of magazine.
'*
'**********************************************************************

#Indicator

Dim NewHighs	As Single
Dim NewLows		As Single
Dim Indicator 	As Single

' Get Market Breadth Indicators
NewHighs = GetClose("$NQ52WH.N")
NewLows = GetClose("$NQ52WL.N")

' Calculate Value of Indicator
Indicator = 100*NewHighs/(NewHighs+NewLows)

'Plot Indicator
SetScales(0,100)
Plot("HoverHL",Indicator)

' Return the value calculated by the indicator
Return Indicator

—Jeremy Williams
Senior Trading Systems Researcher
Nirvana Systems, Inc.
www.nirvanasystems.com, www.omnitrader.com

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UPDATA: THE JK HILO INDEX

The Traders’ Tip for this month is based on the article in this issue by Jay Kaeppel, “The JK HiLo Index.”

In the article, Kaeppel combines the principles of two referenced indicators to create a market breadth-based oscillator using the number of new highs/lows within an index to time trend reversals.

The Updata code has now been made available in the Updata Library and may be downloaded by clicking the custom menu and then either library. Those who cannot access the library due to a firewall may paste the code below into the Updata custom editor and save it.

A sample chart is shown in Figure 14.

FIGURE 14: UPDATA, the JK HiLo Index. Here is an example of the JK HiLo index applied to the NASDAQ 100 Index. After the recent selloff, this indicator’s low reading would suggest the market is due to perform above average for the next equivalent period.

PARAMETER "Avg. Period" #Period=20
PARAMETER "Period Hi/Lo" #HiLoPeriod=250 
PARAMETER "Sell Threshold" @SellThresh=90
PARAMETER "Buy Threshold" @BuyThresh=20
PARAMETER "Choose Watchlist" &MyList=SELECT
NAME "JK HiLo Index" ""
DISPLAYSTYLE 3LINES
PLOTSTYLE THICK2 RGB(10,10,255)
PLOTSTYLE2 THICK2 RGB(10,255,10)
PLOTSTYLE3 THICK2 RGB(255,10,10)
#ShareNumber=0  
@PeriodNewHighs=0
@PeriodNewLows=0
@HiLoLogicIndex=0
@AdjHiLoLogicIndex=0
@JKHiLoIndex=0
@HiLoRatioAvg=0

FOR #CURDATE=#Period TO #LASTDATE
 
@PeriodNewHighs=0
@PeriodNewLows=0
 
For #ShareNumber=0 to Length(&MyList)-1  

if Close(&MyList,#ShareNumber)>Hist(PHigh(Close(&MyList,#ShareNumber),#HiLoPeriod),1)
   @PeriodNewHighs=@PeriodNewHighs+1
endif
if Close(&MyList,#ShareNumber)<Hist(PLow(Close(&MyList,#ShareNumber),#HiLoPeriod),1)
   @PeriodNewLows=@PeriodNewLows+1
endif

Next
 
@HiLoLogicIndex=Sgnl(100*Min(@PeriodNewHighs,@PeriodNewLows)/Length(&MyList),#Period,M)
                
If @HiLoLogicIndex>=2.15 OR @HiLoLogicIndex<=0.4
   @AdjHiLoLogicIndex=@HiLoLogicIndex
Else
   @AdjHiLoLogicIndex=1
EndIf      
 
@HiLoRatioAvg=Sgnl(@PeriodNewHighs/(@PeriodNewHighs+@PeriodNewLows),#Period,M)
            
@JKHiLoIndex=(@AdjHiLoLogicIndex*@HiLoRatioAvg)*100  
 
@Plot=@JKHiLoIndex
@Plot2=@SellThresh
@Plot3=@BuyThresh
 
NEXT

—Updata support team
support@updata.co.uk
www.updata.co.uk

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WORDEN BROTHERS TC2000: QUICKSORT AND QUICKSCAN

Using QuickSort and QuickScan in TC2000 version 12, you can get results directly from a price plot or from indicators on the chart with only a few clicks.

For example, if you want to find the most active stocks so far today, just click volume on the chart, then click QuickSort. This will generate a watchlist sorted by today’s volume with the most active stocks at the top.

To find stocks crossing up through a 50-day moving average on the chart, click on price, then click “Create condition.” Set the condition to “Crossing Up Moving Average 50,” then click Scan → QuickScan.

To see which stocks are making a new one-year high, click on price, then click “Create condition.” Set the condition to “new high.” For a one-year new high on a daily time frame, set the period to 250, then click Scan → QuickScan.

You can also use QuickScan and QuickSort on intraday charts with TC2000 Platinum. To find stocks crossing up through volume-weighted average price (Vwap) on a one-minute chart, set the time frame on the chart to one minute and add Vwap to the chart by clicking Add Indicator → VWAP. Click on price, then click “Create condition.” Set the condition to “Price crossing up VWAP” and click Scan → QuickScan. Scan results come up in less than a second (Figure 15).

Figure 15: TC2000, QUICKSORT AND QUICKSCAN. To find the most active stocks today, click on volume on the chart (1); click QuickSort (2), and a watchlist window will pop up showing the most active stocks (3). In this example, we’re looking at the most active stocks in the S&P 500. To view the most active in a different list, just click on the watchlist selector to change to a different list.

You can try QuickSort and QuickScan for yourself with a free trial at www.TC2000.com.

—Patrick Argo
Worden Brothers, Inc.
www.TC2000.com

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THE JK HILO INDEX (JKHL) - KAEPPEL ARTICLE CODE

With the JK HiLo index, a number of calculations are involved, but the good news is that it can all be entered into a spreadsheet and recalculated automatically from there. Here are the components:

A = Nasdaq daily total issues traded
B = Nasdaq daily new highs
C = Nasdaq daily new lows
D = Lesser of B and C 

E = (D / A) * 100

F = 10-day simple moving average of E

G =If F >=2.15 or if F <= 0.40 then G = F, else G = 1.00

H = B / (B + C)

I = 10-day simple moving average of H

J = (G * I) *100

—Jay Kaeppel
Optionetics.com.

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