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Futures RTH Multi Market vol profile - market profile

Hello,

Here's another template I created and thought I would share.
It consists of 2 volume profiles, a 7 and 28 day profile with a daily market profile.

Must have orderflow plus for the template to work.

Unzip and place Documents > Templates > Chart

Category NinjaTrader 8 Indicators and More

Details: Futures RTH Multi Market vol profile - market profile
Category: NinjaTrader 8 Indicators and More

May 2nd, 2021
Size: 5.39 KB
Downloaded: 862 times

Keywords: and market profile volume

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.

Futures True Range Report

jflachman is the author of above. I am just creating this thread to be able to discuss his spreadsheet, and so that if someone makes the time zones dynamic the new version can be shared here.

Mike

Category The Elite Circle

Details: Futures True Range Report
Category: The Elite Circle

January 9th, 2024
Size: 3.47 MB
Downloaded: 226 times

G24TT with history and more customisable colours

For NinjaTrader 7.
This is a customised version of the G24TT High / Low Indicator (similar to BrooksBars) indicator. I added extra display options and ZOrder -1 to place this Indicator behind other objects on the chart. Shadows are now behind candles so can be almost any colour and opacity you want. Helps make it easier to set the shadow colour without obscuring other objects.
This version includes historical readings.
Several more user editable settings for colours.

Category The Elite Circle

Details: G24TT with history and more customisable colours
Category: The Elite Circle

January 20th, 2012
Size: 8.27 KB
Downloaded: 275 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]

Category NinjaTrader 7 Indicators

Details: g3AAD Average Absolute Deviation
Category: NinjaTrader 7 Indicators

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

Category NinjaTrader 7 Indicators

Details: g3ASR - Average Session (Daily) Range
Category: NinjaTrader 7 Indicators

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

Category NinjaTrader 7 Indicators

Details: g3ChartSpan - Bars Count, Time Span, Time Range
Category: NinjaTrader 7 Indicators

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.

Category NinjaTrader 7 Indicators

Details: g3HideDataSeries - Make bars transparent
Category: NinjaTrader 7 Indicators

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

Category NinjaTrader 7 Indicators

Details: g3InterquartileRange - Variability Measure
Category: NinjaTrader 7 Indicators

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

Category NinjaTrader 7 Indicators

Details: g3MAD - Median Absolute Deviation
Category: NinjaTrader 7 Indicators

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

Category NinjaTrader 7 Indicators

Details: g3VWStdDev - Volume Weighted Standard Deviation
Category: NinjaTrader 7 Indicators

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

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