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Weighted Moving Average. Weighting is linear from 1 .. n. Should return the same values as the standard supplied WMA, but intended to be a reusable component. Additionally, the standard WMA always iterates, this does not iterate on intrabar data, making …
R-Squared, Coefficient of Determination, the square of the Correlation Coefficient. This should return the same values as the standard supplied RSquared. Unfortunately both versions always iterate, so should probably be used with CalculateOnBarClose == …
My initials ;-). Initially for my own use I'd named everything 'MyWhatever', but I figured other ninjatrader users might use that convention and I needed something a little more unique.
Maximum value seen in period. Should return the same values as the standard MAX, which as of b18 has been fixed to reduce iteration. With that fixed the only advantage this has over the standard is memory reduction when used as a component and not displayed. …
Minimum value seen in period. Should return the same values as the standard MIN, which as of b18 has been fixed to reduce iteration. With that fixed the only advantage this has over the standard is memory reduction when used as a component and not displayed. …
Returns the Pearson product-moment correlation coefficient of the input series. This requires iteration, so should probably be used with CalculateOnBarClose == true.
Version 2 - Solves a /0 error, returns 0 if price is unchanged for all of the bars …
Shouldn't the Pearson code be checking the correlation/liner relationship between two variables? ES and YM, for example. Is this coded as some sort of autoregressive indicator? I'm still scratching my head when I look at the code .
A signal to noise ratio. Returns the total delta for the period divided by the sum of each individual period's delta. Does not iterate, so can reasonably be used with CalculateOnBarClose == false. Might be known by other names, documented as 'Efficiency' …
It can be used in that manner, in this case it's the correlation of price vs time (periods). My interpretation is that > vs < 0 indicates direction of trend, and magnitude indicates strength of trend.