Best way to signal divergence in NT strategy (wizard or code)

February 5th, 2022, 10:23 AM

I'm looking to create and backtest a divergence strategy, for example on RSI or CumDelta vs price.

I've found I can easily compare rising or falling RSI even with the UI wizard but it needs to compare latest bar to n bars ago - where n is hardcoded. Is there a method or indicator I could use and input to a custom strategy which would make this fuzzier? By this I mean a method that accounts for recent divergence without forcing me to time it to the bar...

I'm also looking to develop and backtest a strategy around support and resistance breakouts.

What is the best way to programatically find these levels or geometries? Ideally with a parameter signifying the strength based on how many times they've been bounced off.. I take it this is something that has been done many times in NT/c# but I couldn't find much in history..

As I'm looking to backtest and tune strategies, visual indicators for the above are less useful.

Any help much appreciated!

February 6th, 2022, 09:22 PM

I use sharkindicators bloodhound so I don't know how to specifically do it with a NT strategy but the way I've looked for divergence there was to run a donchian channel on both the indicator and on price and comparing them, e.g. if price is pushing against the top of it's donchian channel but the RSI is not moving up it's donchian upper line then you have divergence.

Best way to signal divergence in NT strategy (wizard or code)

Discussion in NinjaTrader

Best way to signal divergence in NT strategy (wizard or code)