Created by Larry Connors, this indicator is a composite of three separate components. Two of the three components utilize the Relative Strength Index (RSI) calculations developed by Welles Wilder in the 1970’s, and the third component ranks the most recent price change on a scale of 0 to 100.
In effect, the three components combine to form a momentum oscillator. The output value between 0 and 100 then identifies short-term overbought and oversold conditions.
The Directional Trend Index (DTI) was developed by William Blau and published in his book "Momentum, Direction and Divergence".
To determine the value of the DTI William Blau first calculates a composite momentum from both highs and lows of the last days. In a next step both the composite momentum and the absolute values of the composite momentum are smoothed. The smoothed momentum is then divided by the smoothed absolute momentum and the result is multiplied with 100.
Momentum smoothing: William Blau smoothed both momentum and absolute momentum by applying an EMA several times (double or triple smoothing). This indicator allows to use 16 different moving averages for the smoothing. The same moving average type is used for all three average calculations.
Parameters: The lookback period for the momentum the number of bars from which the momentum is calculated. Blau uses a lookback period, which is different from the standard momentum. To obtain a 1-period momentum (price change from the last to the current bar) the Directional Trend Index requires a setting of 2 for the lookback period (default setting).
Signal line: William Blau did not use a signal line for the double smoothed indicators. I have added the signal line, because the cross of the signal line can be used as a trend indication. Moving average type and period for the signal line can be selected.
Histogram: The indicator has an option to plot a histogram, which shows the difference between DTI and signal line.
Trend definition: The indicator exposes the current trend via an IntSeries. The trend can be determined based on the DTI (rising & not oversold, falling & not overbought, neutral), the signal line (rising & not oversold, falling & not overbought, neutral)) or the DTI / 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 DTI / 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 17, 2014: Option added to select sound files
This is a collection of various filters by John Ehlers outlined in his books "Rocket Science for Traders" and "Cybernet Analysis for Stocks and Futures".
This is a collection of various filters by John Ehlers outlined in his excellent books "Rocket Science for Traders" and "Cybernet Analysis for Stocks and Futures"
Indicator updated to Version 2 2019-09-07
Managed to get this sorted out today (finally) for NT-8, with the help of a friend.
As the name implies this is a Delta Momentum indicator (similar to one of the Gomi tools we all used on NT-7).
One thing to note however is that this indicator uses the Order Flow Cumulative Delta that was built into the lifetime license version of NinjaTrader 8 so this will not work with some of the basic versions of the platform.
***Note***
I added some functionality that was missing in the original version (due to my lack of coding skills), this version gives the user the ability to choose the Delta Calculation Type, BidAsk or UpDownTick.
***Note-2***
I'm not sure why, but the file that will download has the original file name even though the indicator included is the corrected version-2.
Chande Momentum Oscillator. This should return the same values as the standard supplied version; its advantage being ~4-6K less memory consumption. It does not iterate (neither does the supplied) so is reasonable to use with CalculateOnBarClose == false. Version 1.0.
The Kaufman Eifficiency Ratio is also know as Fractal Efficiency. It can be used as a filter to differentiate between trending conditions and sideways markets.
The efficiency ratio compares the absolute amount of the n-period momentum to the sum of the absolute amounts of the last n close-to-close changes. If all close-to-close changes pointed in the same direction - meaning either n consecutive upcloses or n consecutive downcloses - the fractal efficiency will take the value 100. This is an indication for a strong trend. If the n-period momentum takes the value 0, the fractal efficiency becomes 0 as well, indicating chop.
The fractal efficiency is used by the Kaufman Adaptive Moving Average to identify chop periods.
This version of the Kaufman Efficiency Ratio has a few additional options:
Chopline: I have added a chopline, which depends on the period of the Kaufman Efficiency Ratio. The formula for the chopline is 100/Sqrt(period).
Signalline: I have added a signalline by using a Hull Moving Average(HMA). The market starts trending, when the Kaufman Efficiency Ratio has crossed both the signalline and the chopline from below.
Classic/Balanded: The indicator allows for two different ways of calculating the Kaufman Efficiency Ratio. The 'Classic' option uses the original formula of Perry Kaufman. The 'Balanced' option replaces the absolute amount of the n-period momentum with the absolute amount of the n-period balanced momentum, which is based on a triangular moving average.
Update June 22, 2013: Minor modification to make indicator compatible with indicators/strategies running in COBC = false.
if you use a Momentum study to identify swings, or start/end of a price move, you may like this one.
in KR_SMI, i try to improve the visulaization and signal of ToS's Stochastic Momentum Index
1. i didn't like that it uses double EMA, so i changed that into a single-time EMA.
2. K Period, d Period .. confusing.. in reality SMI tries to identify the recent movement compared to a longer-term price shift. so i changed that into Look_Back_Period and Length
3. Signal is generated thru a crossing with a slower/smoothed EMA of SMI line. in reality, we can see the change of SMI line trend using colors and get an earlier signal for swings or price move shifting direction (Green = momentum up, red = momentum down, Yellow = possible swing detected)
4. crossing the zero line means a lot (momentum reversing). this is ignored in original indicator. so we added a zero line. Overbought/oversold are at +/-50% by default - but you can change that
screenshot shows how this compares vs the classic SMI in ToS
Best used together with a trend following indicator for a confirmed entry/exit signals.
just realized all the indicators i posted are optimized for dark chart background color. they will look ugly on light-color charts. sorry for that.
beware of a bug in ToS, when you use Inertia or Hull smoothing with AddChartLabel, and you try to enter a lower smoothing value in study settings, the indicator calc behaves erratically. if that happens, remove/re-add the study to your chart. i just found out about that and will report it.
as usual, please do not share outside BMT.
All feedback welcome,
RedK
October 25th, 2016 04:16 PM hobbys11 thx very much.
September 9th, 2015 04:48 PM anup Thx fat Tail. That is a great Indicator. Very thoughtful of you. Thx again.
July 21st, 2015 03:50 PM pepbosch great idea from a great brain! Thanks
December 27th, 2013 04:42 AM Maxie in welchem TF benutzt Du den Indi am Meisten? I can see the "alpha Auction bars"in the screen, sind die auch von Dir? Wü
rde ich gern ausproboieren, kannst Du mir sagen, wo ich die finde?