NinjaTrader 7 Indicators

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NinjaTrader 7 Indicators

Indicators in this section are compatible with NinjaTrader 7

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Cumulative Session

This is a trivial indicator that plots the cumulative total of all Input values since the beginning of each session.
Useful for plotting of ^TICK as shown above.
Version 1.0 Feb 6, 2016
Generated with NT version 7.0.1000.30

Details: Cumulative Session

February 6th, 2016
Size: 1.82 KB
Downloaded: 362 times

Keywords: dalebru ^tick

LineAlert

This is the indicator coded a by Ninja tech support person maybe Ray. Can't remember anymore. It's from the Ninja forum if I remember. Straight forward but helpful for sure. Works with a Line, Ray, HorizonalLine and ExtendedLine. I made no changes to this indicator.

NT 7.0.1000.30

Ron

Details: LineAlert

January 14th, 2016
Size: 12.80 KB
Downloaded: 520 times

Keywords: alert line ray horizontal price extended

VolumeCounter2

Modified VolumeCounter indicator that allows for positioning of the volume value floating with price (or bottom right, top right, bottom left, top left).

Note that you may need to increase your chart margin with the 'floating with price' option (you will get a message "Increase chart Properties -Right side margin). Please, go to the chart properties and increase the margin accordingly to fit the text with the font size chosen.

Details: VolumeCounter2

January 11th, 2016
Size: 3.32 KB
Downloaded: 508 times

Keywords: counter volume

Wide Range Body and Hidden Gaps

Hello Traders, a few months ago, a trader that I met through BigMikes turned me on to The Strategy Lab.[URL="http://www.thestrategylab.com"] There is a lot of free material there to study. The more that I read, the more that I liked the concept, so I built an indi to show the Wide Range Body (WRB) and WRB Hidden Gap. The concept is to show increasing volatility and areas of support and resistance. I encourage you to read the free material.

This NT7 indicator will work on every chart type although it does not make any sense on some range restricted charts. It colors the candle of the WRB and paints a rectangle for the WRB Hidden Gap. It also draws a vertical line for a WRB in the event that you use it on a PnF chart since there is no candle to color. You can choose the colors and audio indications for the WRB and the WRB Hidden Gap and the line width for the WRB line.

If you are interested in the WRB Zones, I have heard that there is an indi on the Strategy Lab site called Mr Zones that works fine with this indi.

Trade Well
Bob

Details: Wide Range Body and Hidden Gaps

January 10th, 2016
Size: 3.00 KB
Downloaded: 683 times

MacdBBV4 + Gapless + TickSize

There has been a request for an NT7 version of my NT8 MacdBB indicator here:

https://nexusfi.com/local_links.php?action=ratelink&catid=27&linkid=1693

This version comes 'as is'

What you will get:

* Same features as Fat Tails' original MacdBB indicator.
* Gapless feature that ignores the session open gap.
* TickSize addition to help 'normalize' the macd value.
* Band region filled to the same color as the Bollinger plots.

What will not work:

* Dots plotted on price panel. Keep value 'false'. This is due to the 'filled bands', as NT will not allow plotting on both panels.
* My gradient version is not available.

Details: MacdBBV4 + Gapless + TickSize

December 19th, 2015
Size: 12.23 KB
Downloaded: 1223 times

You can have Doji with your unoutlined NT 7 candles

Name: DrawCandleClose / DrawCandleCloseWhite / DrawCandleClose Black Version 1

Author: James R. Walker

These indicators were created to show the Closing price when the CandleStick Opening and Closing price were the same and a Transparent Body Outline color was specified, when the Background color was not White. Standard NT 7 CandleStick Closing price is drawn with the Outline color and is Transparent when that color is Transparent, if the Background color is not White.

These Indicators are obsolete. Instead use fix described below. Attached file is a dummy file to meet posting requirements. Please download the file to log your interest in this fix, but do not install downloaded file. Instead, apply the fix manually. Never blindly replace standard files because of the risk of back leveling.

If you would like to have this fix standard NT8 CandleStick behavior, then post your vote for Tracking ID # SFT-818 to thread https://forum.ninjatrader.com/showthread.php?t=79416

NT 8 version fix available at https://nexusfi.com/local_links.php?catid=27&linkid=1668

Examples:
Top CandleStick: Chart Style = Candlestick with Black outline.

Middle CandleStick: Chart Style = CandleStick Transparent Outline After Fix

Bottom CandleStick on Black Background After Fix:
Chart Style = CandleStick, Candle Wick = White, Candle Outline = Transparent, Chart Property Background = Black and All markings that were Black = White.

NT7 Fix for Tracking ID # SFT-818 , Missing Doji when CandleStick Outline Transparent.
Description: Always draw the Doji Close line with the Wick Color instead of the Outline Color. This eliminates the inefficiency of having an Indicator check every CandleStick bar close for Open==Close and overwrite the already drawn Transparent Close line.

Applying this fix in no way changes the appearance of CandleSticks that have bodies. This can be verified with the examples provided.

NT7: Line 490 \Documents\NinjaTrader 7\bin\Custom\Type\@ChartStyles.cs
Replace:

Code

graphics.DrawLine(Pen, x - barWidth / 2, close, x + barWidth / 2, close);

With:

Code

graphics.DrawLine(Pen2, x - barWidth / 2, close, x + barWidth / 2, close);

I recommend the following to apply the fix. It may seem complicated but will save you time in the long run. Note that it is undocumented but NT Backup never includes files that begin with the character "@".

Attached file is a dummy to meet posting requirements.

1) Copy \Documents\NinjaTrader 7\bin\Custom\Type\@ChartStyles.cs
2) Paste the file and rename it @ChartStyles.cs Before SFT-818
3) Edit @ChartStyles.cs with with Notepad
4) Make change to line 490 with Notepad
5) Compile any NT file with NT Editor. New @ChartStyles.cs will be used in the compile.
6) From next start of NinjaTrader, CandleSticks will use Wick Color for Doji Close line.
7) Copy \Documents\NinjaTrader 7\bin\Custom\Type\@ChartStyles.cs
8) Paste the file and rename it @ChartStyles.cs After SFT-818Any NT updates will replace @ChartStyles.cs so you will have to make the changes again.

You can use Winmerge to compare updated @ChartStyles.cs and @ChartStyles.cs After SFT-818 and reapply fix to updated, after NT update.

Cleanup:
1) Delete Indicator DrawCandleClose.cs, DrawCandleCloseWhite.cs, and DrawCandleCloseBlackif, if they exist, from \Documents\NinjaTrader 7\bin\Custom\Indicator.
2) Start NT Editor > Compile any Indicator to remove deleted Indicators.
NT will automatically remove the Indicator from any chart that use it.

Test:
Create a CandleStick chart with Transparent outline. Verify that you see Doji.

Details: You can have Doji with your unoutlined NT 7 candles

December 9th, 2015
Size: 208 bytes
Downloaded: 200 times

True Strength Index (TSI)

Exported using NT Version 7.0.1000.30

The True Strength Index was developed by William Blau and published in his book "Momentum, Direction and Divergence". This version of the TSI is an enhanced version of the NinjaTrader default indicator. It comes with the following improvements:

Momentum period: The original version of the indicator uses the price difference between the current and the prior close, which is the 1-period momentum. The updated version of the indicator also allows for selecting a momentum period greater than 1.

Triple Smoothing: The standard version of the indicator comes with double smoothing for momentum and absolute momentum. William Blau himself also used triple smoothing, This indicator lets you choose between double and triple smoothing. If you set the third smoothing period to 1, you will get double smoothing, and the indicator will display identical results with the NinjaTrader default indicator.

Smoothing with different moving averages: William Blau has suggested to use the EMA for double or triple smoothing. This indicator offers you a selection of more than 30 different moving averages for the smoothing. The default is set to EMA in line with the original indicator.

Signal Line: I have added a signal line for timing entries and exits. The signal line is obtained by smoothing the TSI with one of the selectable moving averages, similar to the signal line of the MACD. The default period for the signal line is 7.

Histogram: The indicator has an option to plot a histogram, which shows the difference between TSI and signal line.

Trend definition: The indicator exposes the current trend via an IntSeries. The trend can be determined based on the TSI (rising & not oversold, falling & not overbought, neutral), the signal line (rising & not oversold, falling & not overbought, neutral)) or the TSI / signal line crosses. All trend definitions are not straightforward, but require a higher close to switch to an uptrend, or a lower close to switch to a downtrend. Moreover the DSM / signal line cross will only show an uptrend, when not oversold and a downtrend when not overbought.

Paint bars: The paintbars can be used to plot the trend information. The trend states are uptrend, downtrend and neutral trend as explained above. It is possible to apply the indicator to the price panel and unselect the indicator plots. This allows to use the indicator as a "paintbar only" indicator.

Sound alerts: The indicator comes with sound alerts which are triggered when the trend changes. The sound files are included with the zip file and should be manually copied into the directory Documents -> program files (x86) -> NinajTrader 7 -> sounds.

Update March 13, 2014: Trend filter, paint bars, sound alerts and histogram added.
Update November 16, 2015: Momentum period added. Option added to select from different moving averages.

Note: The parameter structure of the indicator was changed. In case that you have used the prior version of the anaTSI as input series for other indicators or strategies, these indicators or strategies will only work, if you change the syntax of the indicator call to conform with the new parameter structure.

Details: True Strength Index (TSI)

November 16th, 2015
Size: 86.86 KB
Downloaded: 2958 times

Keywords: blau momentum. trend truestrengthindex divergence smoothing trendfilter tsi

True Slope Indicator V1

THERE IS A NEW VERSION OF THIS INDICATOR. FIND IT AT:
https://nexusfi.com/download/ninjatrader-7/indicators/1922-download.html?view

At various times, I have wanted an indicator that showed the slope of a line between two price points on a chart. I looked here on the forum for one and found a number of people discussing it, generally attempting to measure the slope of a line they'd drawn on the chart, and realizing that, if the chart is resized in any way, the slope is changed, blowing its usability.

I finally looked at the question independent of the chart. Treating the problem as that of measuring the leftmost angle of a right triangle, with the hypotenuse formed by the price at the starting point and the price at the end point and the right angle at the lower right, I finally found a usage for the trigonometry classes I'd had.

If you know the length of two sides of a right triangle, you can calculate the angles using the inversions of the sine, cosine and tangent functions, the arcsin, the arccos and the arctangent.

Taking the difference in price between the starting bar and the ending bar, converted to ticks, as the height of the side opposite the angle and the number of bars as the length of the side parallel to the bottom of the chart, the leftmost angle can be calculated and it will stay the same regardless how the chart is resized. This gives the 'real' angle, or slope, of a line drawn from the price on the starting bar to a price on the ending bar. Fortunately, the C# programming language contains the arctan function, Atan(), so it was possible to build the math without my brain exploding.

I wrote a NinjaTrader indicator that allows you to choose whether to start on Open, Close, High, Median or Low, to choose whether to end on Open, Close, High, Median or Low and the period, or number of bars, you want to measure. I have uploaded the .cs file, zipped. Just import it, as usual. All the math is contained within the indicator.

No line is drawn on the chart (since it calculates for every bar, you'd potentially have a bazillion confusing lines). Instead a new panel is created with the angle at each bar plotted, between +90 and -90, which would be the angle if you measured price change on one bar.

The usability of this indicator is not as immediately obvious as I expected it to be. However, you can see that, where the plot makes a kind of 'plateau' or trough, price is continuing steeply up or down. With a long period, areas that are usually called 'chop' can be seen, as the angle maintains a value closer to zero.

This is not a lagging indicator, regardless how long the period is. Price movement on the current bar is immediately reflected in the angle. Relatively short periods can be used, for example, in automated trading to help guard against sudden unfavorable price spikes, an intra-day nemesis.

I have not tested moving averages of the angle, but those may also be useful, though will add a lag, of course.
(11/25/15) I have found myself using a Linear Regression Channel of the angle indicator and comparing to an LRC of price.)

I may also make an indicator that averages high-to-high, low-to-low, median-to-median and high-to-low angles in an attempt to emulate what the human brain does when we look at a chart. We see all this detailed activity, but the brain sort of fuzzes the image allowing us to immediately see, price going up, price going down, price going nowhere. Seeing the forest, rather than the trees.

If it seems to do the trick, I will post that, as well.
(11/25/15) After further exploration, I realized that the Linear Regression Channel indicator that comes with NinjaTrader does this already, and better than I could.

I hope those of you looking for an angle/slope indicator will find this of some use.

(Double-checked math. It is correct and you can use it with confidence. Understand that the 2 period minimum actually goes BACK 2 bars, so this version minimally measures 3 bars, including bar 0. 11/19/15)

Details: True Slope Indicator V1

November 15th, 2015
Size: 2.53 KB
Downloaded: 323 times

DavesFibber

This is a derivative work of PriceActionSwing. It requires the PricesActionSwing.base which is included in the download.

This is an idea based on the PASPro version of swing, which allows you to plot current Fib extensions and retracements. This offshoot indicator plots both the positive and negative extensions and/or retracements based on the settings you use. Not only that, but it keeps the plots historically so you can watch price arrive at the predicted fib targets.

This work was written by me in late fall of 2014.

Details: DavesFibber

November 13th, 2015
Size: 23.05 KB
Downloaded: 714 times

Decycler Indicators - DecyclerOscillator_V1

Decycler indicators Exported with NinjaTrader 7.0.1000.30

Note: The download on this entry and the one on the SimpleDecycler entry are the same and contain both indicators.

Revised 11/1/15

Revisions:

1 Ability to change plot colors and line widths.
2. Remove all code related to the signals produced for Bloodhound.
Another indicator which contains Bloodhound signals will be posted on the Bloodhound thread here.
3. Add basic signal codes to replace the Bloodhound codes.
4. Correct minor problem in code in formula calculation
5. Change the percent parameter to accept the more standard notation xx.y (%).

>>>End Revisions 11/1/15<<<

The two indicators provided, the Decycler Oscillator and the Simple Decycler, are based on the writing of John F. Ehlers published in the September 20015 issue of Stocks & Commodities magazine. The implementation used as the basis for this version was provided by NinjaTrader(NT). Although both indicators are contained in the download they are described separately. This entry describes the DecyclerOscillator.

The screenshot shows the DecyclerOscillator with modified version of the SimpleDecycler set to appear like the NT provided version (which can be downloaded here). Installing the NT version will not disturb the indicators provided as they are prefixed with �fpg�.

In the article Mr. Ehlers describes a class of filters known as high-pass filters which �allow the high-frequency components in the data to pass through to the filter output, and reject the low-frequency components�. He goes on further stating, �Since high-pass filters have very little lag, here is the trick to computing a decycler: Subtract the high-pass filter output from the data input.� This is performed in the partner indicator, the SimpleDecycler. He also states that, �You can virtually eliminate lag by getting rid of those low-frequency components.�. Both indicators contain the same algorithm (which is left to the interested math and EE gurus to figure out what he is doing) for identifying the high-pass frequencies.

The article states that the oscillator is useful when two instances , with different parameters, are placed in the same sub-graph. The NT implementation requires this to be done manually which, among other things this modification can do optionally. There are 2 controlling parameters, the HPPeriod (default 125) and the K value (default 1). According to the article, �The second instance is plotted at 80% of the HPPeriod with an input K value of 1.2. The basic idea is to compensate for a 20% reduction in cycle period with a 20% increase in the amplitude swing (the K value) of the indicator.�.

Ehlers notes that �there will always be some whipsaw conditions, but these are relatively easy to remove with other conditional statements in the code.�. Unfortunately he does not offer any suggestions here. Another important item to note, the default HPPeriod is set to the value of a half year on a day chart, likely being used for detecting cycle reversals on stocks. However as further stated in the article, �Decyclers and decycler oscillators can be used over a very wide range of input filter parameters�, but here too he offers no suggestions. This will be an experiment to be conducted by the user. However, setting it too low does introduce choppiness.

Enhancements:

1. The ability to request either the Slow, Fast, or Both plots (the �Plots Type� option).
2. Automatically adjust the fast indicator parameters by the specified percent (the �Percent� option) or to use the parameters specified by the user (the � AsSpecified� option).
3. Three signaling options are provided: Off, Basic, and Extended (experimental for Bloodhound users). The Basic option provides the standard IntSeries values for the crossing (1, 0, -1). Extended signaling is described in the BloodHound thread here.
4. Optional smoothing for both the Fast and Slow Plots

Caution:

If the Extended signaling option is selected additional but non-conflicting signals are sent to the same IntSeries used by the Basic signaling option.

Credits with my thanks to:
1. @Zondor and @Aligator for a formula used in the Extended signaling
2. @Jack22 for the formula and supporting code.

Change Log

9/29/2015 :- Initial release
10/1/2015 :- Correct error in algorithm code for calculating Fast plot in DecyclerOscillator
11/1/2015 :- Revisions are described at the top of this page

Details: Decycler Indicators - DecyclerOscillator_V1

November 5th, 2015
Size: 17.61 KB
Downloaded: 1875 times

Give NT 7 preference over other applications that are running.

Name: SetNinjaTradersPriorityHigh Version 1.1

Exported with: NT 64-bit 7.0.1000.27
To Import Indicator Into NT 7:
1. Download the attached file by clicking on the blue downward arrow or the NT Chart image. Save the file. Do not open it.
2. From the Control Center window select the menu File > Utilities > Import NinjaScript.
3. Navigate to the folder that contains the .zip file download by your browser.
4. Select the downloaded .zip file then click the Open button.

Updated: Oct 22, 2015 8:30AM File & Text- New Priority value of BelowNormal. New parm Show NT Priority. Priority changed only when required. New parameter Debug message to Output Window.

Author: James R. Walker

NT 8 Version available https://nexusfi.com/local_links.php?catid=27&linkid=1665

All the applications running on your computer equally share your computer's resources. The NinjaTrader application runs at Normal Priority with all the other applications. Especially during fast markets, when other applications are running on your computer, NT is not processing incoming data as quickly as your computer would allow and possibly losing trade data from your market data service. By default, this Indicator sets NinjaTrader's Process Priority to High, giving it preference over other applications that are running.

This Indicator allows you to set NT's Process Priority to one of four values: High, Above Normal, Normal, or BelowNormal. You may want to use High during your trading day and Normal at other times. You could also set it to BelowNormal to do backtesting in the background while you use your computer for other tasks.

Adding this Indicator to one chart in your Workspace will set NinjaTrader's Process Priority until you exit NT. The Indicator will check before setting the Priority and do nothing if Priority is already set to the Priority specified in its parameter.

Quoting from https://www.eightforums.com/tutorials/23830-processor-priority-level-set-processes-windows-8-a.html : "Windows 8 shares the processor time between all running processes based upon their priority level. If a process has a higher priority, it gets more processor time compared to a process having a lower priority. . . . The changes you make to the priority level of the current instance of an application or process are only temporary and not set permanently. Once you close the application or restart the PC, Windows 8 will automatically set the priority back to default for the process or application."

Parameters:
Priority - Select High, Above Normal, Normal, or BelowNormal for NinjaTrader's Process Priority. The Default is High.

HideIndicatorName - Prevent display of indicator's name at top of chart if true. Default is false.

ShowNTPriority - Display NT's Priority at top of chart. Default is true.

To have nothing displayed at top of chart set HideIndicatorName parameter to true and ShowNTPriority to false.

Details: Give NT 7 preference over other applications that are running.

October 20th, 2015
Size: 2.77 KB
Downloaded: 410 times

Chande Kroll Stop

Exported using NT Version 7.0.1000.30

This is an implementation of the volatiliy based stop that was suggested by Tushar Chande and Stanley Kroll in their book "The New Technical Trader". The indicator comes with a long stop line (blue) and and a short stop line (red).

Calculation of long stop: The preliminary long stop is calculated by deducting a multiple of a 10-period ATR from the highest high of the last 10 bars. The long stop is then calculated as the highest of the last 20 preliminary long stops.

Calculation of short stop: The preliminary short stops are calculated by adding a ,ultiple of a 10-period ATR to the lowest low of the last 10 bars. The short stop is then calculated as the lowest of the last 20 perliminary short stops.

Calculation of ATR: The ATR can be calculated in three different ways. "Arithmetic" uses a simple moving average over the last 10 true ranges. "Exponential" uses an exponential moving average over the last 10 true ranges, while "Wilder" simply calculates the default ATR(10) which is calculated as exponential moving averages with a smaller smoothing constant.

Default settings: Default settings follow suggestions by Chande & Kroll. Following suggestions in their book the default parameters are 10, 3 and 20. Also they used a simple moving average for smoothing the true ranges. The only change that was necessary was to adapt the indicator so that it can be used intra-bar. For this purpose, the calculation does not use the (unstable) true range of the current bar nor the high of the current bar, but relies on the values for the prior bar. Just for the purpose to compare the indicator with implementations for other charting packages, it is also possible to perform calculations from the current unstable bar. When used with "COBC = False" or with the strategy analyzer (backtesting), the default settings should be used.

It is recommended to use the

Details: Chande Kroll Stop

October 14th, 2015
Size: 13.73 KB
Downloaded: 778 times

Keywords: atr averagetruerange chande kroll stop trailing volatility

Decycler Indicators - SimpleDecycler_V1

Decycler indicators Exported with NinjaTrader 7.0.1000.30

Revised 11/1/15

Revisions:

1. Ability to specify Fast, Slow, or Both plots
2. Change the percent parameter to accept the more standard notation xx.y (%).
3. Remove all code related to the signals produced for Bloodhound.
Another indicator which contains Bloodhound codes will be posted on the Bloodhound thread here.
4. Add basic signal codes to replace the Bloodhound codes.
5. Ability to add dual bands for Fast, Slow, or Both plots with the following features:
-a. Different plot colors when using Dual Bands
-b. Inner and outer bands are calculated using VWStdDev each having user defined
multipliers and periods.
-c. user option to specify what values are used for the inner and outer bands follows:
--1. Fast- uses the appropriate inner or outer values derived from only the Fast midline.
--2. Slow- uses the appropriate inner or outer values derived from only the Slow midline.
--3. Min - uses the appropriate inner or outer values derived from the minimum values
of either the Fast or Slow inner and outer bands accordingly.
--4. Max - uses the appropriate inner or outer values derived from the maximum values
of either the Fast or Slow inner and outer bands accordingly.
--5. minMax - uses the minimum values from either the Fast or Slow inner for the plotted inner band, and the maximum values from either the Fast or Slow Outer band for the plotted outer band.
---6. Fast, Slow, or Both Plots is automatically set according to the Dual Band option chosen.
6. Separate parameters for Dual Bands to allow easier switching between Dual and non-Dual modes.

>>>End revisions 11/1/15<<<

The background for this indicator is explained in the entry DecyclerOscillators (above) and is not described here. [I]The download file is the same as the one posted in the DecyclerOscillator with both indicators contained in the download. The NT version can be downloaded from the link supplied in the DecyclerOscillator entry.

This indicator is the opposite of the high-pass filter with the SinpleDecycler plots created by subtracting the high-pass filtered data from the input stream allowing the decycler to display �the low-frequency components with virtually no lag.�. The author suggests the period parameter be a half-year period however, states, �the range of this variable is just about anything you choose.�.

In addition to the decycler plot the original indicator (show in the visual in the DecyclerOscillator) plots two lines that are plus and minus 0.5 percent from the low frequency decycle plot and are referred to as the hysteresis lines. The interpretation is that if Close prices are above the upper line the market is in an uptrend, with a downtrend indicated by Close prices below the lower line. No trend is when the prices fall within the lines.

Enhancements:

Warning!!!

The enhancements provided must be considered experimental as they are not part of the original concept described in Mr. Ehler�s article. More testing and experimenting needs to be performed in order to determine their usefulness.

The enhancements provide the ability to:
1. request a Single plot (Slow) or Dual plots (Slow and Fast) . The method to set the fast period lookback is similar to the DecyclerOscillator and can be either a �Percentage� from the slow period or the �AsSpecified� values for each parameter will be used.
2. vary the multiplier percentage used to form the hysteresis band.
3. use a standard deviation to determine the hysteresis band in lieu of a multiplier.
4. Specify three signaling options, Off, Basic, and Extended. The Extended signal is experimental and is intended to be used with Bloodhound. The signals produced are described in the thread here
5. paint the region between the two midRange decycler bands.

Credits with my thanks to:
1. @Fat Tails for the region painting code copied from his TriggerLines Indicator
2. @Fat Tails for his Volume Weighted Standard Deviation method used in the hysteresis band offset calculation

Change Log

9/29/2015 :- Initial release
10/1/2015 :- Correct error in algorithm code for calculating Fast plot in DecyclerOscillator
11/1/2015 : - Revisions described at top of page.

Details: Decycler Indicators - SimpleDecycler_V1

October 1st, 2015
Size: 17.61 KB
Downloaded: 420 times

Elder's Ray, BullPower and BearPower

In this pack there are three indicators:
- Elder's Ray: composed by BullPower line and BearPower line;
- BullPower only, histogram version
- BearPower only, histogram version

This is an oscillator created by Alexander Elder and explained in his famous book "Trading For a Living". The oscillator formula is simple but useful at the same time:
- BullPower = CurrentHigh - EMA(13, Close)
- BearPower = CurrentLow - EMA(13, Close)

Details: Elder's Ray, BullPower and BearPower

July 14th, 2015
Size: 7.55 KB
Downloaded: 597 times

Keywords: elder indicator ninjatrader oscillator ray elderray

XTL - eXpert Trend Locator

XTL is an indicator that originally was introduced in eSignal Advanced Get. This a version that approximate in a good way the original version (which formula seems to be secret and not shared by eSignal company). It helps you to easily define in what kind of trend you are.
Its calculation is based on CCI and a fixed value of that indicator:
- if CCI value<-fixed value you're in a short trend (red bars);
- if -fixedvalue<=CCI<=+fixedvalue you are in a non trend/flat period (black bars);
- if CCI>fixed value you're in a long trend period (blue bars);

In this version created by me you can customize:
- the fixed value (standard setting is 37)
- CCI period (stardard settings are 21 or 35)
- uptrend/flat trend/downtrend bar color

Very useful if used on tick chart or range bar chart

v 1.00 2015 Jul 8 - First Release, no bugs
v 1.01 2015 Jul 14 - Added Public Indicator Value String

Details: XTL - eXpert Trend Locator

July 8th, 2015
Size: 6.01 KB
Downloaded: 1547 times

Keywords: extreme locator ninjatrader trend xtl

Donchian Channel with Trendfilter

Exported using NT version 7.0.1000.27

This is a generalized version of the Donchian Channel with a few options added:

- The Donchian Channel lines can be calculated from High/Low, Close, Typical or Weighted price. With the default option High/Low they will be calculated from the highest high and lowest low over the lookback period. With the other options the highest and lowest of the selected input series are used, which produces narrow channels.

- The indicator has an option to display outer channels, inner channes or midband individually.

- The indicator comes with a fast and a slow trend filter. The fast trendfilter changes direction, when the midband breaches the prior low of the upper band (trend change up) or when it breaches the prior high of the lower band (trend change down, as shown in the chart attached). The slow trendfilter changes direction, when the lower band breaches the prior low of the upper band (trend change up) or when the upper brand breaches the prior high of the lower band (trend change down, as shown in the chart attached.

- The indicator allows to display the fast trend, the slow trend or a combination of fast and slow trend, when appropriate colors are selected. If you want to show the fast trend only, you need to use identical colors for fast/slow uptrend and fast/slow downtrend. If you want to show the slow trend only, you would need to use the same colors for slow uptrend/fast downtrend and fast uptrend/slow downtrend. Both trendseries are exposed as public BoolSeries and can be called in an automated strategy.

- The trend can be displayed via the channel and midband colors or via paint bars. The indicator also has an option to display the channels or the midband individually. If you just need the paint bars, you can disable all plots.

Update October 4, 2012: Channel and paintbar colors will now align, when indicator is displaced.
Update July 5, 2015: Second channel added to indicator.

Details: Donchian Channel with Trendfilter

July 6th, 2015
Size: 8.28 KB
Downloaded: 3013 times

Keywords: donchian paintbars trendfilter

SampleStreamWriter improved

save to a file your favourite indicator along with the price series.

Details: SampleStreamWriter improved

July 1st, 2015
Size: 3.21 KB
Downloaded: 225 times

Ribbon trader v1

this indicator is based of the ribbon trader moving averages.

Trading it is simple.. when all four blocks are green its a BUY... when all four blocks are red its a SHORT
exit when they are not at all fours blocks
This indicator also keep you out of chop

I like to keep it open source here.. if you can make better please post it up
https://nexusfi.com/ninjatrader-programming/36063-ribbon-trader.html

Details: Ribbon trader v1

June 9th, 2015
Size: 3.87 KB
Downloaded: 2138 times

g3InterquartileRange - Variability Measure

Interquartile Range is another robust statistical measure of variability most similar to MAD. It is calculated as a difference between Lower and Upper Quartile. Study first to decide which measure is more suitable for your needs/data.

On the screenshot:
yellow: StdDev,
green: g3InterquartileRange

[v1.0]

Details: g3InterquartileRange - Variability Measure

May 3rd, 2015
Size: 2.43 KB
Downloaded: 115 times

g3AAD Average Absolute Deviation

Average (Mean) Absolute Deviation (AAD) is another statistical measure of variability similar to Standard Deviation or MAD. The main difference from StdDev is weight of the outliers (since there is no squaring in AAD). Study first to decide which measure is more suitable for your needs/data

On the screenshot:
yellow: StdDev,
green: g3AAD

[v1.0]

Details: g3AAD Average Absolute Deviation

April 30th, 2015
Size: 2.14 KB
Downloaded: 119 times

g3MAD - Median Absolute Deviation

Median Absolute Deviation (MAD) is a statistical measure of volatility similar to Standard Deviation. It is considered more resilient to outliers in a data set then StdDev. In the MAD, the deviations of a small number of outliers are irrelevant.

On the screenshot:
yellow: StdDev,
green: g3MAD

[v1.0]

Details: g3MAD - Median Absolute Deviation

April 27th, 2015
Size: 2.49 KB
Downloaded: 101 times

SixPointsInput - Smoothed Data Input

Simple alternative to Median or Typical Input to your indicator. Hat tip to Fat Tails for the idea.
It takes 6 data points (high, low, open, close, mean and mean body) to arrive at the average. Useful for smoothing out the data.

On the screenshot: green is using Close for an input, yellow is using SixPointsInput.

[v1.0]

Details: SixPointsInput - Smoothed Data Input

April 22nd, 2015
Size: 1.76 KB
Downloaded: 169 times

g3ASR - Average Session (Daily) Range

This is your standard Average Daily Range (ADR) calculated intrasession.

It starts calculating average from day/session 1 and increases the window until reaching specified Period parameter.

[v1.0]

Details: g3ASR - Average Session (Daily) Range

April 22nd, 2015
Size: 2.41 KB
Downloaded: 288 times

g3VWStdDev - Volume Weighted Standard Deviation

This is a standard deviation indicator weigthed by volume.

It is also a good example of simplicity of arithmetic operations using LINQ.

[v1.0]

Details: g3VWStdDev - Volume Weighted Standard Deviation

April 22nd, 2015
Size: 3.82 KB
Downloaded: 198 times

g3ChartSpan - Bars Count, Time Span, Time Range

You can set up this simple indicator to give you information like:

How many bars are currently visible on the chart
What is the time span of the visible chart
What is the time range of the visible chart

This is especially usefull if you zoom in and out on the chart and would like to quickly know on what time frame are you basing your observations/decisions.

It updates the information every time you scroll or zoom in and out

Details: g3ChartSpan - Bars Count, Time Span, Time Range

April 20th, 2015
Size: 3.66 KB
Downloaded: 166 times

g3HideDataSeries - Make bars transparent

It is a simple indicator that hides price data series (makes the bars invisible).

If enabled bars become transparent (with the exception of the new/currentbar ) so you can better see other activity on your chart.

Setting to false brings the original bar colors back.

Details: g3HideDataSeries - Make bars transparent

April 18th, 2015
Size: 1.81 KB
Downloaded: 137 times

Chart Identifier

It is an enhanced version of ChartName indicator (v1.0).

You can choose what information you would like to display to quickly identify your chart. The available options (and their combination) includes:

Custom Text
Instrument Name
Instrument Description
Bar Type & Period

You can choose how you would like to separate these parts, choose position, font, color and opacity. You can also quickly disable/enable the display without the need to remove the indicator from your chart.

Details: Chart Identifier

April 13th, 2015
Size: 3.41 KB
Downloaded: 623 times

Keywords: chart instrument period name description

Slow Relative Strength Index (SRSI)

Exported using NT 7.0.1000.27

The Slow Relative Strength Index (RSI) was presented by Vitali Apirine. Details can be found in Stocks & Commodities V. 33:4 "Slow Relative Strength Index" (April 2015).

The Slow Relative Strength index is similar to the RSI presented by Welles Wilder in 1978, but it has the ups and downs replaced with the differences between the current close and a 6-period EMA. The default lookback period for the indicator is 14 bars, which is identical to the lookback period for the RSI.

I have added a signal line, which is a 10-period EMA of the SRSI.

The indicator has been coded in a way that it can be used with setting COBC = false without generating a significant CPU load.

Details: Slow Relative Strength Index (SRSI)

March 19th, 2015
Size: 4.20 KB
Downloaded: 753 times

Keywords: oscillator rsi srsi wilder relativestrengthindex

Keltner Universal V4

Exported using NT version 7.0.1000.27

This is a generalized version of the Keltner Channels with a few options added:

- The midband can be selected from a moving median, a moving mode or 27 different moving averages, all of which are calculated from the typical price.

- Midband and channels can be smoothed.

- The smoothing period for the range or the true range can be different from the period for the moving average.

- The indicator has an option to display the channels or the midband individually.

- All plots can be colored according to their slope, or alternatively all plots can be colored according to the slope of the midband.

- The slope color includes a neutral slope, which can be adjusted via a threshold.

- The area between the Keltner Channels can be shaded according to the slope of the midband.

- The trend derived from the midband slope can be displayed via paint bars.

Update July 3 2012: Midband can now be selected from a moving median, a moving mode or 27 different moving averages. Adjustable neutral zone added. Bands can be colored according to their own slope or slope of midband, midband and channels can be displayed individually.
Update July 5, 2012: Bug removed - Butterworth, Gauss and Supersmoother Fillter did not use the specified period.
Update August 20, 2012: Old version pf ADXVMA replaced with new version.
Update August 25, 2012: Paint bars added.
Update August 31, 2012: Ehlers Filter updated.
Update October 4, 2012: Ehlers and Gauss filters updated, moving mode removed. Channel and paintbar colors will now align, when indicator is displaced.
Update January 14, 2012: Second indicator added, which calculates upper band from high average and lower band from low average. Bug removed, which caused erroneous results when Butterworth, Gauss or Supersmoother options were used for calculating the average range or true range.
Update August 7, 2013: Tillson T3 added.
Update October 10, 2014: When paintbars were selected without showing the midband, occasionally some bars were set to transparent. Bug removed.
Update March 19, 2015: Slope trend exposed via public IntSeries.

Details: Keltner Universal V4

March 19th, 2015
Size: 59.45 KB
Downloaded: 5248 times

Keywords: keltner keltnerchannel slope smoothing

Bollinger Universal V4

Exported using NT version 7.0.1000.27

This is a generalized version of the Bollinger Bands with a few options added:

- The midband can be selected from a moving median, a moving mode or 27 different moving averages.

- Midband and channels can be smoothed.

- The period for the standard deviation can be different from the period for the moving average.

- The indicator has an option to display the channels or the midband individually.

- All plots can be colored according to their slope, or alternatively all plots can be colored according to the slope of the midband.

- The slope color includes a neutral slope, which can be adjusted via a threshold.

- The area between the Bollinger Bands can be shaded according to the shape of the midband.

- The trend derived from the midband slope can be displayed via paint bars.

Update July 3 2012: Midband can now be selected from a moving median, a moving mode or 27 different moving averages. Adjustable neutral zone added. Bands can be colored according to their own slope or slope of midband, midband and channels can be displayed individually.
Update July 5, 2012: Bug removed - Butterworth, Gauss and Supersmoother Fillter did not use the specified period.
Update August 20, 2012: Old version of ADXVMA replaced with new version.
Update August 31, 2012: Ehlers Filter updated.
Update October 4, 2012: Paintbars added. Ehlers and Gauss filters updated, moving mode removed. Channel and paintbar colors will now align, when indicator is displaced.
Update October 5, 2013: Tillson T3 added.
Update October 10, 2014: When paintbars were selected without showing the midband, occasionally some bars were set to transparent. Bug removed.
Update March 19, 2015: Slope trend exposed via public IntSeries.

Details: Bollinger Universal V4

March 19th, 2015
Size: 59.52 KB
Downloaded: 4166 times

Keywords: bollinger bollingerbands slope smoothing

Correction to Point and Figure Chart

For true Point and figure charting and analysis NT 7 does not work because of a issue with drawing new bars on sessions. What I did is tweak the existing PointAndFigure chart code and replaced some logic so that it will no longer plot a new bar on session breaks (Sessions still exist).

I have more on point and figure in the Elite section, but for who that are no elite I still want to help. I encourage you to join the elite section and support this site.

What this means; longer term PnF charts are not only possible, but with my PnF suite might just be the best PnF setup out there. I will let you make your own decision on that opinion.

After downloading the code it must be copied to folder:

\My Documents\Ninja Trader 7\bin\Custom\Type

and because it is provided as a .cs file it must be compiled (by compiling any other indicator). Once compiled Ninja Trader must be closed and reopened before the new chart type, named �SodyPointAndFigure� will replace the old PnF.

Follow Along if your Elite @: https://nexusfi.com/elite-circle/34569-working-point-figure-indicator-suite.html

Version 1.00

Cheers,

SodyTexas

Details: Correction to Point and Figure Chart

March 18th, 2015
Size: 35.50 KB
Downloaded: 170 times

Opening Range V42 MTF

Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later

The indicator displays the opening range and the current open of the RTH session. This version is a multi-timeframe (MTF) version of the standard OpeningRange V42 indicator. The indicator adds a secondary minute bar series to the chart, which is used to calculate the opening range. It has the following advantages over the standard version:

For tick, range and volume charts: The standard indicator may not display the opening range correctly, if the last bar expands the opening range and closes after the opening period. The MTF version of the indicator will display the opening range correctly, even if the primary bar series does not contain the necessary information for its calculation. An example is shown on the chart attached.

Use with minute charts: You want to use this indicator with minute charts, if the opening period is not an integer multiple of the bar period. Example: You trade 7 min charts and your opening period is 30 minutes.

You can only use this indicator with an appropriate session template. The opening time will align itself to the start time of the RTH session, as specified via indicator settings. The hybrid setting assumes that you want to use the 3rd intraday session as RTH session for FOREX and currency futures and the second session for all other instruments.

Example ES: Select a session template with the following sessions: Session 1 (night session) 15:30 - 8:30 Central Time, Session 2 (RTH) 8:30 - 15:15 Central Time. Select second session for opening range.

Select length of opening period: The opening period can be selected via indicator dialogue box.

Select Offset: With an offset of 00:00, the indicator aligns to the start of the selected session. If you enter a positive value for the offset, the opening range will be shifted forward from the session start. For example if you open a chart for ES with the session template US CME Index Futures, then the session (and the trading day) starts at 5:00 PM Central Time. To display an opening range for the regular session, you need to enter an offset of 15:30, because the regular session starts 15 hours and 30 minutes after the start of the trading day.

Display regular open or one-minute-range: The indicator allows to either display the regular open or the range of the first minute of trading after the start time selected for the opening range.

Developing range: Prior to the completion of the opening range, the indicator plots the developing range in gray to show that the range is still incomplete.

Night Session or Pre-Session Range: This is different for each instrument and refers to the electronic session prior to the session selected for the opening range.

European Session Range: You can select start and end time of the European Session in CET (Central European Time). The European Session is pre-configured for the time between 8:00 AM and 1:00 PM CET.

Asian Session Range: You can select start and end time of the Asian Session in TST (Tokyo Standard Time). The Asian Session is pre-configured for the time between 9:00 AM and 3:00 PM TST.

Update July 25, 2011: Serialization of the plots and indicator dialogue box changed.
Update December 8, 2013: Indicator entirely recoded. Offset added, opening period no longer needs to be aligned to the session start. Drop down property added for time zones. Custom plot added.
Update March 15, 2015: Regular open and minute range were drawn back to start of trading day on tick charts. Bug removed.

Details: Opening Range V42 MTF

March 15th, 2015
Size: 12.12 KB
Downloaded: 3860 times

Keywords: asiansession globexsession mtf openingrange europeansession initialbalance opening

Initial Balance Range Bands V42 MTF

Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later.

The indicator displays the current open, the initial balance (IB) and upper and lower range bands that are calculated by adding and subtracting fractions of the initial balance to the IB high and IB low. This version is a multi-timeframe (MTF) version of the standard Initial Balance Range Bands V42 indicator. The indicator adds a second minute bar series to the chart, which is used to calculate the initial balance. It has the following advantages over the standard version:

For tick, range and volume charts: The standard indicator may not display the initial balance correctly, if the last bar expands the initial balance and closes after the opening period. The MTF version of the indicator will display the initial balance correctly, even if the primary bar series does not contain the necessary information for its calculation. An example is shown on the chart attached.

Use with minute charts: You want to use this indicator with minute charts, if the opening period is not an integer multiple of the bar period. Example: You trade 7 min charts and your opening period is 30 minutes.

You can only use this indicator with an appropriate session template. The opening time will align itself to the start time of the RTH session, as specified via session template. The hybrid setting assumes that you want to use the 3rd intraday session as RTH session for FOREX and currency futures and the second session for all other instruments.

Example ES: Select a session template with the following sessions: Session 1 (night session) 15:30 - 8:30 Central Time, Session 2 (RTH) 8:30 - 15:15 Central Time. Select second session for opening range.

Select length of opening period: The length of the period for establishing the initial balance can be selected via indicator dialogue box. The default setting is 60 minutes.

Select Offset: With an offset of 00:00, the indicator aligns to the start of the selected session. If you enter a positive value for the offset, the opening range will be shifted forward from the session start. For example if you open a chart for ES with the session template US CME Index Futures, then the session (and the trading day) starts at 5:00 PM Central Time. To display an opening range for the regular session, you need to enter an offset of 15:30, because the regular session starts 15 hours and 30 minutes after the start of the trading day.

Multipliers for range bands: The multipliers for the upper and lower range bands can also be changed. The default settings for the bands are 0.5, 1 and 2, meaning that the first upper band is built from the IB high by adding half of the IB range, and similar for the other bands.

Display regular open or one-minute-range: The indicator allows to either display the regular open or the range of the first minute of trading after the start time selected for the opening range.

Developing range: Prior to the completion of the opening range, the indicator plots the developing range in gray to show that the range is still incomplete.

Night session or pre-session range: The indicator also has an option to display the full night session, European or Asian session range. This feature is not used with the default settings. I did not add it on purpose, it was already part of the opening range indicator, and it was easier to leave it than to remove it.

European Session Range: You can select start and end time of the European Session in CET (Central European Time). The European Session is pre-configured for the time between 8:00 AM and 1:00 PM CET.

Asian Session Range: You can select start and end time of the Asian Session in TST (Tokyo Standard Time). The Asian Session is pre-configured for the time between 9:00 AM and 3:00 PM TST.

Update July 25, 2011: Serialization of the plots and indicator dialogue box changed.
Update December 8, 2013: Indicator entirely recoded. Offset added, opening period no longer needs to be aligned to the session start. Drop down property added for time zones. Custom plot added.
Update March 15, 2015: Regular open and minute range were drawn back to start of trading day on tick charts. Bug removed.

Details: Initial Balance Range Bands V42 MTF

March 15th, 2015
Size: 13.19 KB
Downloaded: 3362 times

Keywords: initialbalance open rangebands mtf openingrange volatility

Better Volume with Sound Alerts

Exported using NT Version 7.0.1000.26

This is a simple version of the Better Volume Indicator from https://www.emini-watch.com/. It is not based on the later versions but the original version and identifies the following events

Breakout or Climax Bars: A breakout or climax bar is a bar with the highest value for the product of volume and range within the lookback period.

Churn Bars: A churn bar is a bar with the highest value for the volume per range within the lookback period.

Climax Churn Bars: A climax churn bar is a high volume bar that qualifies as both climax and churn bar.

Low Volume Bars: A low volume bar is a bar that has the lowest volume within the lookback period.

The indicator uses two lookback periods. The larger lookback period identifies stronger climax and churn bars, the smaller lookback period points to weaker climax and churn bars and is used to identify low volume bars.

Sound Files: The sound files are user selectable. You first need to copy your sound files to the directory C:\Program Files\Ninjatrader 7 \sounds. You can then select these files via the indicator dialogue box. Make sure that your sound files are compatible with NinjaTrader. NinjaTrader 7 does not support wav\MPEG, you need to convert it to wav\PCM first with an audio recorder.

Some further ideas and the sound files that I use can be found here:
https://nexusfi.com/traders-hideout/9042-better-volume-indicator-sound-alerts.html

Version 1.1, April 22, 2011: Bug fixed, low volume bars were not shown correctly.
Version 1.2, January 22, 2012: Paint bar option added. Overlay version showing paint bars only is included. Values for different bar types are exposed as IntSeries
Version 1.3, September 27, 2012: Code efficiency improved, following suggestions by @Zondor.
Version 1.4. December 28, 2012: Bug removed, sound alert for low volume alert was triggered for all bars with setting COBC = false.
Version 1.5. February 10, 2015: Bug removed, paintbar opacity was not applied for low volume upclose bars with setting COBC = false.

Details: Better Volume with Sound Alerts

February 10th, 2015
Size: 355.19 KB
Downloaded: 6631 times

Keywords: bettervolume churnbars climax climaxchurn expansion

SessionVWAP Bimonthly/Quarterly/Annual V43

Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later

The indicator displays the Volume Weighted Average Price of the selected session. It can be used on all types of charts.

You can apply the indicators to charts with several intraday sessions. You can then select via indicator panel, for which session the VWAP shall be shown.

ETH session: The VWAP will be calculated for the full session, if ETH is selected via indicator dialogue.

RTH session: It is possible to display the VWAP for the RTH session or the night session. Set indicator to RTH and select the number of the session, for example "First" for the night session and "Second" for the RTH session.

Volatility Bands: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.

Variance_Price: The variance is calculated from the selected input values of the price bars and the last known value for the VWAP within the current session. This way of calculating the bands is similar to calculating Bollinger Bands with a variable period starting with the first bar of the session.

Variance_Distance: The variance is calculated from the selected input values of the price bars and the value for the VWAP corresponding to price. It is a variance of the vertical distance of price from VWAP. This method corrects for a trend and produces slightly narrower bands on a trending day.

Session_Range: The quarter range of the current session is used as a measure of volatility instead of the standard deviation.

Colors: Different colors can be selected for rising and falling VWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.

Update January 03, 2015: Bug removed. Indicator did not work with setting "Monthly".

Details: SessionVWAP Bimonthly/Quarterly/Annual V43

January 3rd, 2015
Size: 8.16 KB
Downloaded: 1312 times

Keywords: bands range session twap vwap eth rth standarddeviation variance

Fibs From Prior Sessions V43

Exported using NT Version 7.0.1000.26

Indicators will only run on NT 7.0.1000.5 or later.

This is a family of 3 indicators to display fibonacci retracements and expansions calculated from the high and the low of the prior day, the prior week and the prior month. High and low can be taken from daily data or from intraday data. When taken from daily data, the order of the retracements may be inverted, when high and low were made on the same day.

Chart settings: Please set the right side margin under chart properties to 200 to allow for correct display of the labels. The colors are better adapted to dark chart backgrounds.

Session templates: The indicators require the use of a correct session template for the instrument shown on the chart. With an ETH template retracements and expansions can be only calculated from the full session high and low. If you want to calculate retracements and expansions from the regular session, it is recommended to use a multi-session template that divides the day into the night session, regular session and after-session.

ETH: If you set the indicator to ETH, the retracements will be calculated from the high and the low of the full trading day. To avoid inverted levels best calculate all fibonacci lines from intraday data.

RTH: Please use a multi-session template. The retracements will be calculated from the selected RTH session. If the daily data supplied by your data supplier is regular session data, no multi-session template is required and you can display retracements and expansions calculated from the regular high and low by setting the indicator to "DailyBars".

Auto setting for the 3 indicators: The Auto setting will preselect ETH for FOREX and all CME currency futures, but preselect RTH for all other instruments.

Fibonacci Levels: The numerical values for the Fibonacci levels can be individually selected. If you need more than five retracement and expansion levels, you can add the indicator to your chart several times. If you do not wish to display some lines, please set the value for the Fibonacci ratio for these lines to zero, and the lines will not be plotted.

Display Options: Prior day's close, fibonacci retracements and fibonacci expansions can be switched on and off separately. The indicator further allows to display all plots for the prior days with or without labels. The label font size can be selected.

GLOBEX holiday sessions with settlement next day: The indicators are preconfigured for Globex holiday sessions without settlement for trade date next day or later. These trade dates are President�s Day, Martin-Luther-King Day, Memorial Day, Independence Day, Labour Day and Thanksgiving. The indicators will use double day sessions for these days for all GLOBEX and NYMEX traded instruments.

Update December 15, 2013: Weekly and monthly indicators added. Daily indicator entirely recoded. Plots can now be displayed for several days. Holiday calendar added for 2014.
Update January 19, 2014: The ratios for the fib levels are now user selectable.
Update December 29, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.

Details: Fibs From Prior Sessions V43

December 29th, 2014
Size: 35.00 KB
Downloaded: 3376 times

Keywords: close fibonacci low session expansions high retracements

Relative Volume V23

Exported using NT version 7.0.1000.26

Only to be used with minute or daily charts.

The relative volume indicator measures the volume of a fixed period bar against the average volume over the same period during the preceding n days. The version which can be downloaded here allows for two different comparisons:

All_Days: Today's volume is compared to the average volume of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper session templates which match the trading day of the instrument traded. Session templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's volume is compared to the average volume calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Holidays: Holidays as selected via the indicator dialogue box are excluded from all calculations.
Daylight savings schedules: The indicator automatically adjusts to different daylight savings zones.

The histogram shows the relative volume for the period of the day. For example on the chart today's highest relative volume occured after a news release, just prior to the start of the regular session. Compared to the last 40 business days, the relative volume was 593% (about 6 times higher than for a normal business), whereas it was 509% (about 5 times higher than for a normal Friday). The cumulated volume for today is 26% higher compared to an average business day and 20% higher compared to an average Friday.

Average volume bars - between 80% and 120% of normal volume - are shown as white bars. If the relative volume exceeds 120% the histogram color is green, below 80% it is red. The colors can be selected by the user.

Update February 26, 2013: Following the rescheduling of the daily trading sessions by CME in November 2012, the indicator did not work correctly. I had published a new version in the thread on the Relative Volume Indicator, which is now available for download here.
Update October 28, 2013: Null check added when calling ChartControl. The indicator can now be used as input series for other indicators or strategies.
Update December 5, 2014: Indicator entirely recoded. Indicator is now considerably faster and should cope with different data feeds. Option added to compare today's volume to all prior business days. The prior version could only do comparisons for the same day of the week.
Update December 10; 2014: Error message added to inform user when the chart lookback period is insufficient.
Update December 29, 2014: Holiday calendar and error messages updated.

Details: Relative Volume V23

December 29th, 2014
Size: 7.63 KB
Downloaded: 3322 times

Keywords: relativevolume seasonality volume

Relative Ranges V23

Exported using NT version 7.0.1000.26

Only to be used with minute or daily charts.

The relative ranges indicator measures the range of a fixed period bar against the average range over the same period during the preceding n days. The version which can be downloaded here allows for two different comparisons:

All_Days: Today's ranges are compared to the average ranges of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper session templates which match the trading day of the instrument traded. Session templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's ranges are compared to the average ranges calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Holidays: Holidays as selected via the indicator dialogue box are excluded from all calculations.
Daylight savings schedules: The indicator automatically adjusts to different daylight savings zones.

The histogram shows the relative ranges for the selected period of the day. For example on the chart today's highest relative range occured at 5:30 AM EST in the morning, just when the low of from Dec. 24 was taken out. Compared to the last 40 business days, the cumulated average of the relative ranges runs at 88%, whereas it runs at 87% when compared to a normal Monday. The low volatility is expected between Christmas and New Year's Eve.

Average range bars - between 80% and 120% of normal ranges - are shown as white bars. If the relative range exceeds 120% the histogram color is green, below 80% it is red. The colors can be selected by the user.

Details: Relative Ranges V23

December 29th, 2014
Size: 9.04 KB
Downloaded: 722 times

Keywords: range relativerange seasonality volatility

SessionTWAP Monthly V43

Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later

The indicator displays the Time Weighted Average Price of the selected session. It can be used on all types of charts.

You can apply the indicators to charts with several intraday sessions. You can then select via indicator panel, for which session theTWAP shall be shown.

Use with time-based charts: On minute and second chart, it will use an equal weight for all bars to calculate the average price of the selected session.

Use with tick based charts: On tick based charts it will apply a weight to each bar, which is the smaller of (timestamp of current bar - timestamp of previous bar) and (timestamp of current bar - session start time). There is one specific case, where this may cause a problem. The technical break of CME index futures from 3:15 PM to 3:30 PM CT is not taken into account by the session template, if an ETH session is used. In this case the first bar after the break will be overweighted. To avoid that problem use the default setting for the technical break for Globex index futures, which will eliminate the impact of the technical break.

ETH session: The TWAP will be calculated for the full session, if ETH is selected via indicator dialogue.

RTH session: It is possible to display the TWAP for the RTH session or the night session. Set indicator to RTH and select the number of the session, for example "First" for the night session and "Second" for the RTH session.

Volatility Bands: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.

Variance_Price: The variance is calculated from the selected input values of the price bars and the last known value for the VWAP within the current session. This way of calculating the bands is similar to calculating Bollinger Bands with a variable period starting with the first bar of the session.

Variance_Distance: The variance is calculated from the selected input values of the price bars and the value for the VWAP corresponding to price. It is a variance of the vertical distance of price from VWAP. This method corrects for a trend and produces slightly narrower bands on a trending day.

Session_Range: The quarter range of the current session is used as a measure of volatility instead of the standard deviation.

Public Holidays: For Globex instruments the indicator will display the ETH TWAP for the two-day-session including a public holiday. The indicator is preconfigured for the Globex holiday calendar.

Colors: Different colors can be selected for rising and falling TWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.

Update March 30, 2013: Algorithm improved for both speed and accuracy. VWAP start time can be selected.
Update April 11, 2013: Plot modified for compatibility with charts built from multiple bar series.
Update May 10, 2013: Bug removed, which led to occasional false identification of the RTH session on charts built from ticks.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.

Details: SessionTWAP Monthly V43

December 28th, 2014
Size: 9.10 KB
Downloaded: 1188 times

Keywords: bands range session twap vwap eth rth standarddeviation variance

SessionTWAP Weekly V43

Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later

The indicator displays the Time Weighted Average Price of the selected session. It can be used on all types of charts.

You can apply the indicators to charts with several intraday sessions. You can then select via indicator panel, for which session theTWAP shall be shown.

Use with time-based charts: On minute and second chart, it will use an equal weight for all bars to calculate the average price of the selected session.

Use with tick based charts: On tick based charts it will apply a weight to each bar, which is the smaller of (timestamp of current bar - timestamp of previous bar) and (timestamp of current bar - session start time). There is one specific case, where this may cause a problem. The technical break of CME index futures from 3:15 PM to 3:30 PM CT is not taken into account by the session template, if an ETH session is used. In this case the first bar after the break will be overweighted. To avoid that problem use the default setting for the technical break for Globex index futures, which will eliminate the impact of the technical break.

ETH session: The TWAP will be calculated for the full session, if ETH is selected via indicator dialogue.

RTH session: It is possible to display the TWAP for the RTH session or the night session. Set indicator to RTH and select the number of the session, for example "First" for the night session and "Second" for the RTH session.

Volatility Bands: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.

Variance_Price: The variance is calculated from the selected input values of the price bars and the last known value for the VWAP within the current session. This way of calculating the bands is similar to calculating Bollinger Bands with a variable period starting with the first bar of the session.

Variance_Distance: The variance is calculated from the selected input values of the price bars and the value for the VWAP corresponding to price. It is a variance of the vertical distance of price from VWAP. This method corrects for a trend and produces slightly narrower bands on a trending day.

Session_Range: The quarter range of the current session is used as a measure of volatility instead of the standard deviation.

Public Holidays: For Globex instruments the indicator will display the ETH TWAP for the two-day-session including a public holiday. The indicator is preconfigured for the Globex holiday calendar.

Colors: Different colors can be selected for rising and falling TWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.

Update March 30, 2013: Algorithm improved for both speed and accuracy. VWAP start time can be selected.
Update April 11, 2013: Plot modified for compatibility with charts built from multiple bar series.
Update May 10, 2013: Bug removed, which led to occasional false identification of the RTH session on charts built from ticks.
Update December 9, 2013: Holiday calendar added for 2014.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.

Details: SessionTWAP Weekly V43

December 28th, 2014
Size: 9.14 KB
Downloaded: 1321 times

Keywords: bands range session twap vwap eth rth standarddeviation variance

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