OPEN-SOURCE SCRIPT
JSE Wyckoff Wave

The Stock Market Institute (SMI) describes an propriety indicator the "SMI Wyckoff Wave" for US Stocks. This code is an attempt to make a Wyckoff Wave for the Johannesburg Stock Exchange (JSE). Once the wave has been established the volume can also be calculated. Please see code for the JSE Wyckoff Wave Volume which goes with this indicator.
The Wave presents a normalized price for the 10 selected stocks (An Index for the 10 stocks). The theory is to select stocks that are widely held, market leaders, actively traded and participate in important market moves. This is only my attempt to select 10 stocks and a different selection can be made. I am not certain how SMI determine their weightings but what I have done it to equalize the Rand value of the stock so that moves are of equal magnitude. The then provides a view of the overall condition of the market and volume flow in the market.
I have used the September 2018 price to normalize the stock price for the 10 selected stocks based. The stocks and weightings can be changed periodically depending on the performance and leadership.
Most Indecies when constructed assume that all high prices and all low prices happen at the same time and therefor inflate the wicks of the bars. To make the wave more representatives for the SMI Wyckoff Wave the price is determined on the 5 minute timeframe which removes this bias. However, TradingView does not calculate properly when selecting a lower timeframe than in current period. A work around is to call the sma of the highs and add these which provides more realistic tails. Please, let me know if there is a better work around this.
The stocks and their weightings are:
"JSE:BTI"*0.79
"JSE:SHP"*2.87
"JSE:NPN"*0.18
"JSE:AGL"*1.96
"JSE:SOL"*1.0
"JSE:CFR"*4.42
"JSE:MND"*1.40
"JSE:MTN"*7.63
"JSE:SLM"*7.29
"JSE:FSR"*8.25
The Wave presents a normalized price for the 10 selected stocks (An Index for the 10 stocks). The theory is to select stocks that are widely held, market leaders, actively traded and participate in important market moves. This is only my attempt to select 10 stocks and a different selection can be made. I am not certain how SMI determine their weightings but what I have done it to equalize the Rand value of the stock so that moves are of equal magnitude. The then provides a view of the overall condition of the market and volume flow in the market.
I have used the September 2018 price to normalize the stock price for the 10 selected stocks based. The stocks and weightings can be changed periodically depending on the performance and leadership.
Most Indecies when constructed assume that all high prices and all low prices happen at the same time and therefor inflate the wicks of the bars. To make the wave more representatives for the SMI Wyckoff Wave the price is determined on the 5 minute timeframe which removes this bias. However, TradingView does not calculate properly when selecting a lower timeframe than in current period. A work around is to call the sma of the highs and add these which provides more realistic tails. Please, let me know if there is a better work around this.
The stocks and their weightings are:
"JSE:BTI"*0.79
"JSE:SHP"*2.87
"JSE:NPN"*0.18
"JSE:AGL"*1.96
"JSE:SOL"*1.0
"JSE:CFR"*4.42
"JSE:MND"*1.40
"JSE:MTN"*7.63
"JSE:SLM"*7.29
"JSE:FSR"*8.25
开源脚本
本着TradingView的真正精神,此脚本的创建者将其开源,以便交易者可以查看和验证其功能。向作者致敬!虽然您可以免费使用它,但请记住,重新发布代码必须遵守我们的网站规则。
免责声明
这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。
开源脚本
本着TradingView的真正精神,此脚本的创建者将其开源,以便交易者可以查看和验证其功能。向作者致敬!虽然您可以免费使用它,但请记住,重新发布代码必须遵守我们的网站规则。
免责声明
这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。