OPEN-SOURCE SCRIPT
Bipower Jump Detector [forexobroker]
🔶 OVERVIEW
Bipower Jump Detector [forexobroker] implements the Barndorff-Nielsen jump test: realized variance (RV) captures both diffusion and jump risk, while bipower variation (BV) — built from products of adjacent absolute returns scaled by pi/2 — is jump-robust. Their non-negative difference isolates the jump component J; the standardized Jump-Z statistic tests whether that difference is significant. When Jump-Z exceeds the cutoff (default 1.96, 95% one-sided), the script enters in the direction of the largest absolute return inside the window. The unique angle is using a peer-reviewed jump test rather than ad-hoc bar-size thresholds.
🔶 ALGORITHM
1. Log-returns r_t = log(close / close[1]) are computed each bar.
2. Realized variance RV = sum of r_t^2 over the window (default 20).
3. Bipower variation BV = (pi/2) * sum of |r_t| * |r_{t-1}| over the window (jump-robust by construction).
4. Jump component J = max(RV - BV, 0) is plotted as a histogram.
5. Jump-Z = sqrt(N) * (RV - BV) / sqrt(theta * BV^2 * 0.5) with theta = pi^2/4 + pi - 5 (Barndorff-Nielsen and Shephard, 2006).
6. Direction is the sign of the largest |r_k| inside the window — the dominant jump bar drives the entry side.
7. Significant jump = Jump-Z > threshold (default 1.96); a 15-bar cooldown and position state flip-prevention stop the same jump cluster from firing multiple entries.
🔶 SIGNAL LOGIC
- Buy: Jump-Z above threshold AND dominant return in the window is positive AND session filter passes AND position is not already long AND cooldown bars elapsed AND barstate.isconfirmed.
- Sell: Jump-Z above threshold AND dominant return in the window is negative AND session filter passes AND position is not already short AND cooldown bars elapsed AND barstate.isconfirmed.
The Z test is the gate, the dominant return is the direction.
🔶 INPUTS
- Jump Calculation group: window length default 20, significance Z default 1.96 (raise to 2.58 for stricter 99%).
- Signal Logic group: cooldown bars default 15.
- Filters group: session restriction (default 0000-2400).
- Visual group: dashboard, 3-layer glow, jump markers, jump component color, Jump-Z color, buy and sell colors.
🔶 ALERTS
BJD Buy, BJD Sell, BJD Any Signal, BJD Significant, BJD Jump Up, BJD Jump Down, BJD Z Rising, BJD J Rising, BJD High Jump Ratio, BJD Quiet Diffusion, BJD Webhook JSON.
🔶 LIMITATIONS
- The Barndorff-Nielsen test was designed for high-frequency intraday returns; on daily timeframes the diffusion-jump decomposition is harder to interpret and BV becomes a less precise diffusion proxy.
- Bipower variation needs at least two adjacent non-zero absolute returns; a window with one or two zero returns inflates Jump-Z artificially.
- The direction comes from the single dominant return in the window — when two large opposite jumps occur back-to-back, the entry side may not reflect the most recent move.
- Defaults are tuned for liquid crypto and intraday futures; thin instruments with frequent zero-volume bars produce noisy BV estimates.
- The Z formula uses a simplified variance approximation (theta * BV^2 * 0.5); under extreme volatility the small-sample distribution deviates from the normal approximation.
Bipower Jump Detector [forexobroker] implements the Barndorff-Nielsen jump test: realized variance (RV) captures both diffusion and jump risk, while bipower variation (BV) — built from products of adjacent absolute returns scaled by pi/2 — is jump-robust. Their non-negative difference isolates the jump component J; the standardized Jump-Z statistic tests whether that difference is significant. When Jump-Z exceeds the cutoff (default 1.96, 95% one-sided), the script enters in the direction of the largest absolute return inside the window. The unique angle is using a peer-reviewed jump test rather than ad-hoc bar-size thresholds.
🔶 ALGORITHM
1. Log-returns r_t = log(close / close[1]) are computed each bar.
2. Realized variance RV = sum of r_t^2 over the window (default 20).
3. Bipower variation BV = (pi/2) * sum of |r_t| * |r_{t-1}| over the window (jump-robust by construction).
4. Jump component J = max(RV - BV, 0) is plotted as a histogram.
5. Jump-Z = sqrt(N) * (RV - BV) / sqrt(theta * BV^2 * 0.5) with theta = pi^2/4 + pi - 5 (Barndorff-Nielsen and Shephard, 2006).
6. Direction is the sign of the largest |r_k| inside the window — the dominant jump bar drives the entry side.
7. Significant jump = Jump-Z > threshold (default 1.96); a 15-bar cooldown and position state flip-prevention stop the same jump cluster from firing multiple entries.
🔶 SIGNAL LOGIC
- Buy: Jump-Z above threshold AND dominant return in the window is positive AND session filter passes AND position is not already long AND cooldown bars elapsed AND barstate.isconfirmed.
- Sell: Jump-Z above threshold AND dominant return in the window is negative AND session filter passes AND position is not already short AND cooldown bars elapsed AND barstate.isconfirmed.
The Z test is the gate, the dominant return is the direction.
🔶 INPUTS
- Jump Calculation group: window length default 20, significance Z default 1.96 (raise to 2.58 for stricter 99%).
- Signal Logic group: cooldown bars default 15.
- Filters group: session restriction (default 0000-2400).
- Visual group: dashboard, 3-layer glow, jump markers, jump component color, Jump-Z color, buy and sell colors.
🔶 ALERTS
BJD Buy, BJD Sell, BJD Any Signal, BJD Significant, BJD Jump Up, BJD Jump Down, BJD Z Rising, BJD J Rising, BJD High Jump Ratio, BJD Quiet Diffusion, BJD Webhook JSON.
🔶 LIMITATIONS
- The Barndorff-Nielsen test was designed for high-frequency intraday returns; on daily timeframes the diffusion-jump decomposition is harder to interpret and BV becomes a less precise diffusion proxy.
- Bipower variation needs at least two adjacent non-zero absolute returns; a window with one or two zero returns inflates Jump-Z artificially.
- The direction comes from the single dominant return in the window — when two large opposite jumps occur back-to-back, the entry side may not reflect the most recent move.
- Defaults are tuned for liquid crypto and intraday futures; thin instruments with frequent zero-volume bars produce noisy BV estimates.
- The Z formula uses a simplified variance approximation (theta * BV^2 * 0.5); under extreme volatility the small-sample distribution deviates from the normal approximation.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
🔵Gain access to our powerful tools : forexobroker.com/tv
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
🔵Gain access to our powerful tools : forexobroker.com/tv
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/dominicwalsfxhtrader
All scripts & content provided by Forexobroker are for informational & educational purposes only.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.