OPEN-SOURCE SCRIPT
BNS Jump Statistic & RV Decomposition
BNS Jump Statistic & RV Decomposition
A jump-detection oscillator that splits realized variance into a continuous (diffusive) component and a jump component, using the bipower variation framework of Barndorff-Nielsen and Shephard. It answers a specific question: how much of recent volatility is everyday noise, and how much is sudden, discontinuous moves?
How it works
Over a rolling window of length N, three quantities are computed from log returns:
The Relative Jump (RJ) ratio is J / RV — the share of variance attributable to jumps. Bounded between 0 and 1: zero means all-continuous, one means all-jump.
The BNS z-statistic (ratio form, with the Huang–Tauchen adjustment) tests whether the jump component is statistically significant. It uses tripower quarticity for a robust standard error:
Pine Script®
Under the null of no jumps, z is asymptotically standard normal. Critical values at 1.96, 2.58, and 3.09 correspond to 95%, 99%, and 99.9% confidence.
How to read it
Inputs
Built-in alerts
All alerts fire on the rising edge of their event — one notification per transition rather than one per bar while the condition holds.
Notes
The decomposition is a property of the chosen window. Different lengths give different splits; shorter windows are more responsive but noisier. The z-statistic is asymptotic, so very short windows can produce inflated values — treat anything below N=10 with care.
Bipower variation is robust to jumps in theory but sensitive to microstructure noise on very fine timeframes. Daily and 5-minute-and-up tend to behave well.
This is a diagnostic tool, not a signal generator. It tells you when variance is being driven by jumps rather than diffusion.
Five years of work on a trading system left me with dozens of indicators that ultimately didn't earn a place in the final build. They're not failures — they're tools that solved problems I no longer needed solved. So instead of shelving them, I'm publishing the majority of them open-source.
If you're a discretionary trader, take what's useful. If you're a systems builder, the source is yours to dissect, modify, and improve. The best return on five years of work is for it to keep working — for someone.
If you use this script — or part of it — in your own work, please credit the original with a link back to my profile.
Note: these indicators have been updated to Pine Script v6 — some manually, some with AI assistance.
A jump-detection oscillator that splits realized variance into a continuous (diffusive) component and a jump component, using the bipower variation framework of Barndorff-Nielsen and Shephard. It answers a specific question: how much of recent volatility is everyday noise, and how much is sudden, discontinuous moves?
How it works
Over a rolling window of length N, three quantities are computed from log returns:
- Realized Variance (RV) — the sum of squared returns. Captures everything: continuous variance plus any jumps.
- Bipower Variation (BV) — the (π/2)-scaled sum of |r_t|·|r_{t−1}|. Asymptotically robust to jumps, so it captures only the continuous part.
- Jump component (J) — max(RV − BV, 0), the variance left over after subtracting the continuous estimate.
The Relative Jump (RJ) ratio is J / RV — the share of variance attributable to jumps. Bounded between 0 and 1: zero means all-continuous, one means all-jump.
The BNS z-statistic (ratio form, with the Huang–Tauchen adjustment) tests whether the jump component is statistically significant. It uses tripower quarticity for a robust standard error:
Under the null of no jumps, z is asymptotically standard normal. Critical values at 1.96, 2.58, and 3.09 correspond to 95%, 99%, and 99.9% confidence.
How to read it
- Columns show the RJ ratio. Cool cyan when variance is mostly continuous; amber and rose as the jump share rises.
- Smoothed line is a 3-bar EMA of RJ, layered with a soft glow. The line color tracks the regime — useful for spotting persistent jump activity versus one-off spikes.
- Reference levels at 20%, 50%, and 80% mark the continuous threshold, the regime boundary, and the extreme zone.
- Markers above the pane fire on bars where the BNS test is significant: a circle at 95%, a triangle at 99%, a diamond at 99.9%.
- Background tint reflects the regime state (CONTINUOUS, MIXED, or JUMP), with hysteresis so it doesn't flicker on borderline bars.
- Status table in the top-right shows the latest RV, BV, jump component, RJ, z-statistic, and current significance level.
Inputs
- Window Length — bars used to compute RV and BV. 22 ≈ one trading month on daily. Default 22.
- Source — input series. Default close.
- Significance thresholds — z-values for 95%, 99%, and 99.9% confidence. Defaults 1.96, 2.58, 3.09.
- Regime thresholds — RJ levels marking the continuous and jump regimes. Defaults 0.20 and 0.50.
- Display toggles — status table, regime tint, significance markers, and reference levels.
Built-in alerts
- Significant Jump (95%) — z crosses above 1.96
- Strong Jump (99%) — z crosses above 2.58
- Extreme Jump (99.9%) — z crosses above 3.09
- Entered Jump Regime
- Returned to Continuous Regime
All alerts fire on the rising edge of their event — one notification per transition rather than one per bar while the condition holds.
Notes
The decomposition is a property of the chosen window. Different lengths give different splits; shorter windows are more responsive but noisier. The z-statistic is asymptotic, so very short windows can produce inflated values — treat anything below N=10 with care.
Bipower variation is robust to jumps in theory but sensitive to microstructure noise on very fine timeframes. Daily and 5-minute-and-up tend to behave well.
This is a diagnostic tool, not a signal generator. It tells you when variance is being driven by jumps rather than diffusion.
Five years of work on a trading system left me with dozens of indicators that ultimately didn't earn a place in the final build. They're not failures — they're tools that solved problems I no longer needed solved. So instead of shelving them, I'm publishing the majority of them open-source.
If you're a discretionary trader, take what's useful. If you're a systems builder, the source is yours to dissect, modify, and improve. The best return on five years of work is for it to keep working — for someone.
If you use this script — or part of it — in your own work, please credit the original with a link back to my profile.
Note: these indicators have been updated to Pine Script v6 — some manually, some with AI assistance.
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開源腳本
秉持TradingView一貫精神，這個腳本的創作者將其設為開源，以便交易者檢視並驗證其功能。向作者致敬！您可以免費使用此腳本，但請注意，重新發佈代碼需遵守我們的社群規範。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。