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Futures True Range Report
This is an excel file (excel 365) that includes an analysis of the most traded futures markets. The goal was to analyze and compare the different futures contracts based on volume, dollar, tick and point movement at different timeframes.

An indicator JFTrueRange calculated the true range for each bar and generated a report that was then copied into excel. It average the true range for all bars on a given day of the week and time of day. i.e. for 15 minute bars, it average all the bars at 6:00 for monday, at 6:15 for monday, etc for all times and days of week. For daily bars, it averaged 1000 days. For minute bars, it averaged 400 days. The report includes statistics an each futures contract for daily, 240, 60, 15 & 5 minute bars. For each bar it used the TickSize & PointValue to determine the price range, tick range & point range per bar. Daily bars ended at different times. So that is an interesting artifact you will see in the data.

In the summary report volume is higher in the high timeframe reports (daily, 240 min) than in the lower timeframe reports (15min & 5min). This is because I totaled the volume at each timeframe and this included the odd times that bars were reported. The higher daily volume at 15:00 is approximately the same as the lower timeframe bar totals.

Finally, the true range reported in points, ticks and dollars is higher at low timeframes as expected. This is because it takes into account all the smaller price fluctuations. Some of these fluctuations are inside the higher timeframe bars and are thus washed out.

Note: The timeframe used in the reports was Mountain Time (MT). Sorry, that is my timezone. So do the mental adjustment or modify the times to meet your needs.

I hope you find this report interesting and useful.

 
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Details: Futures True Range Report


January 9th, 2024
Size: 3.47 MB
BollingerPro NT 8 5 *
This simple indie uses 'added data' in the code.. Just input the 'data series' you want to
study in relation to the 30min BB's and it will plot values (estimates) of where the 30 min
BB 'Upper' and 'Lower' will plot on the hour and half-hour that is coming up..

These bands will also show you the median value of the current 30minute study which I
find very useful to form a "bias"..

In general : if price is below the 'Lower' plotted 30min BB (30 min chart) AND below the
'Lower' (already plotted 'fulcrum') 10 min BollingerPro (10 min data on any tick or volume series chart) then price is in oversold territory ... at least its below the number of SD's you're
studying AND what's projected..

**Important : This indicator will stop working on Rollover.. .. The 'added data' in the code
needs to be updated to the current Sept, Dec, Mar, June series AND underlying !.. i.e. if you
want to study ES, the code has to be changed to use ES as 'added data'.. It's very simple to
do - the 'added data' lines are 70 and 71.. (try changing them yourself - you'll feel like a coder)

Note: I started a thread for 'BBPro' here :

I attached a couple more pics to explain 'Ellipse #'s 1 & 2' in the pic attached here..
I've penned specifics on data series and some tips you 'May' use.. "Only trade with money
you can afford to lose" haha - seriously I hope it all helps.. Chof
 
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Details: BollingerPro NT 8


September 19th, 2023
Size: 164.50 KB
VOLCumulativeVsHist
This indicator has been updated and posted under a new name in the other section on nexusfi:


This indicator displays both the session cumulative volume as it progresses versus the average historical cumulative volume for the same period. It works on minute chart only and it calculates on bar close.
 
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Details: VOLCumulativeVsHist


September 12th, 2023
Size: 2.86 KB
Scaling and Centering of Raw Indicator Values +50/-50
The attached file is a function that scales and center raw values between a range of +50/-50. This is a derivative work from the book Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments by David Aronson and Timothy Masters. The function follows the concept of "Historical Adjustment to Improve Stationarity". An example of use of this scaling can be found in the indicator section in the multicharts section. -JZ  
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mwIndOBVMCD 5 *
This indicator compares favorably to NT8 Order Flow Cumulative Delta .. without requiring tick replay or a lifetime license

The On Balance Volume indicator looks at NET volume (buyers vs sellers) for each bar and adds to the previous OBV .. so OBV goes up when there are more buyers .. OBV goes down when there are more sellers

Published in April, 2020 .. Vitali Apirine added an EMA ( [fast] smoothing line ) to the OBV indicator and called it OBVM ..

I added a second smoothing line ( [slow] smoothing line ) .. and compare the difference between the smoothing lines .. much like a MACD

Then I added a signal line, background colors, up/down arrows, and sound alerts

The alert sound file will need to be set for one of the sound files on your computer

This indicator may be a bit quick on trade alerts .. adjust the fast/slow periods accordingly .. OR .. look in the source code for two spots where OBV() is used and convert to ADL() ..

I am not a programmer .. what I've created is from what I was able to glean from indicators by other traders/programmers ..
 
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Details: mwIndOBVMCD


April 26th, 2023
Size: 10.38 KB


Keywords: obvm
True Range Adjusted Exponential Moving Average (TRAdj EMA) 5 *
Traders' Tip January 2023

In his article in this issue, “True Range Adjusted Exponential Moving Average (TRAdj EMA),” author Vitali Apirine presents how a security’s true range, which measures volatility, can be incorporated into a traditional exponential moving average. The trend-following indicator, called the true range adjusted exponential moving average (TRAdj EMA), applied with different lengths, can help define turning points and filter price movements. By comparing the indicator with an exponential moving average of identical length, the trader can gain insight into the overall trend.

Multicharts.net
V1

https://traders.com/Documentation/FEEDbk_docs/2023/01/TradersTips.html#item4
 
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Details: True Range Adjusted Exponential Moving Average (TRAdj EMA)


February 14th, 2023
Size: 1.51 KB


Keywords: average truerange
Mouse Risk Reward Lines 5 *
Shift + L.Mouse Click above/below bar , originates stop loss line with point value and dollar value, 1st target @ 1:1 RR with point and dollar value and 2nd target @ 2:1 RR with point and dollar Value.
cnt + L.Mouse Click removes lines.

You can choose the total number of contracts, the contracts for the first target and the remaining (you have to input manually) for the second target. You also have the ability to input your broker commissions so the dollar amount you see is the final end result.

Mouse Risk Reward Lines V1
Multicharts.net

Note: I only trader ES, and I made it to work for ES and MES. I don't know how and if it works on other instrument, but I am sure tweaking a little bit the code you will make it work.
 
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Details: Mouse Risk Reward Lines


November 13th, 2022
Size: 2.61 KB
Halftrend 5 *
The HalfTrend indicator represents the trend indicator that draws zones based on moving average intersection. The indicator draws bearish and bullish invalidation zones on the chart and marks a trend shift. The Green line represents the “Long” zone, while the Red line “Short” zone.

Ported it from NT8 code from this site.
Multicharts.net
V1
 
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Details: Halftrend


September 29th, 2022
Size: 2.26 KB
tiyfEasyOrdering strategy - NT8 5 *
This entry is a Strategy, named: tiyfEasyOrdering.

Once installed in Ninjatrader, you'll find it within a folder named TrendIsYourFriend in the Strategies directory.

Strategy objective
To place an order automatically when specific criteria are met and manage the stop/target based on your initial risk/reward settings as defined in the parameters.

The .zip archive contains a special version of the Parabolic SAR named PSAR. The strategy needs this modified version of the indicator to function properly so don't skip it when asked during the installation.

I have created a thread dedicated to it. Every new update will be described there. So if you have any question or just want to give your feedback then go ahead and visit this page as some more precisions have been posted there :

https://nexusfi.com/elite-circle/58876-tiyfeasyordering-strategy-helping-bot-enter-manage-trade.html

Have fun.

Changelog:

yyyy-MM-dd - reasons
---------------------------------------------
2022-09-06 Version 1: first time released on Futures.io
2022.09.12 - minor bug corrected: removing param "Allow Stop loss to move backward"
2022.09.14 - added the option to attach the stop order(s) to a Ray object (for trailing)
2022.09.17 - The middle button used to manage the Stop Loss (before and during a trade) has been expanded to display more information and to quickly move the Stop Loss to break even.
2022.09.23 - Property 'Stop-limit order margin <as tick(s)>' accepts negative value
2022.09.23 - New way to enter has been added:
- Psar(↓↑) Buy if Parabolic Sar changes direction from Down to UP
- Psar(↑↓) Sell if Parabolic Sar changes direction from UP to Down
a minor correction has been done to the function created this date 2022.09.17
 
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Details: tiyfEasyOrdering strategy - NT8


September 14th, 2022
Size: 32.51 KB
VolumetricData V1.0 5 *
This indicator will provide the volumetric Bar statistics in a hidden plot form. The main purpose is to provide (through 21 plots) the bar statistics values to the Strategy Builder and/or Chart alerts, and/or the Market analyzer without the need to program. You can also use in a Ninjascript indicator or strategy. The 21 plots are hidden so they will not change the display. See the screenshot to see the names of the available data points (plots).

When you select the indicator in the strategy builder or the chart alerts, you can change the plot to any of the 20 other plots so you can work with the statistic of interest.

Also, all 21 plot values will show in the charts data box window or the charts mini data box.

The indicator must be applied to a chart or data series that uses Volumetric bars. You must have the NinjaTrader lifetime license to access the Volumetric bars.

There is an option, for debugging, to print the output to the Ninjascript output window. This will show two values that should match on each line. One value is direct from the calculation and the other is from the plot (that gets it from the same calculation), the point is to remove the mystery of what data is being provided.
 
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Details: VolumetricData V1.0


August 27th, 2022
Size: 2.95 KB


Keywords: bar statistics volumetric
 



 
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