The Double Smoothed Stochastics (DSS) is an exponentially smoothed stochastics indicator applied to an exponentially smoothed stochastics. It has been popularized by Walter Bressert. The DSS can be used as a cycle indicator. Usually first a cycle analysis is performed. The DSS should then be applied with half the cycle period of the dominant cycle. Walter Bressert uses the indicator with default periods of 10 and 5, and calls them DBS10 and DBS5.
This indicator is a modified version of the Double Stochastics NinjaTrader default indicator. I have coded it for various reasons.
EMA period: The NinjaTrader default DSS uses an EMA period of 3. This setting cannot be changed. However, nearly all other versions of the DSS use an EMA period between 8 and 10. This version uses a default period of 9, which can be changed.
Coding Inefficiencies: The NinjaTrader default DSS is highly inefficient, when running with COBC = false, because both MAX and MIN methods are performed twice with every incoming ticks. I have changed the algorithm to increase the speed.
Signal Line: I have added a signal line to the DSS. The signal line is generated as an EMA of the DSS, in the same way as it is generated for the MACD.
Rising and Falling Colors: The indicator will plot in different colors, depending on whether the Double Stochastics is rising or falling.
You can put a slow and a fast Double Stochastics indicator on your chart, then use the slow one as trend filter and the fast one for timing the entry signals.
Update March 6, 2013: Code efficiency improved, signal line added.
Update March 7, 2013: Bug removed, indicator displayed false values with COBC = false.
Please download the new Supertrend U11 (Universal), which allows to calculate the stop line from median, mode and 27 other moving averages.
This is a new implementation of the TradeStation SuperTrend indicator for NinjaTrader 7. The SuperTrend indicator is an application of the concept of MAE (maximum adverse excursion), which was introduced by John Sweeney in the mid-nineties.
The SuperTrend M11 is particularly stable and has a few advantages over other SuperTrend indicators:
It uses a moving (statistical) median of the arithmetic mean (High + Low)/2 of the bars instead of a moving average. The (statistical) median is known to be more robust than any average.
It calculates both the Median and the ATR (average true range) 1 bar ago, whereas the original SuperTrend indicator takes the ATR and moving average of the current bar. If you use the current bar's ATR, the current bar's breakout is partly measured against its own range. This is particularly true, if the ATR period is short.
Accessing the trend: The indicator comes with a BoolSeries that holds the trend. This BoolSeries can be accessed by other indicators or automated strategies.
Reverse Intra-bar = false: This is the default setting of the indicator. A logical signal will be generated when the close of the signal bar has taken out the stop line. The position may be reversed at the open of the next bar. The paint bars will only change colors for the bar after the signal bar. The arrow will be also plotted for the entry bar.
Reverse Intra-bar = true: This is an unusual setting for the SuperTrend. The signal will be generated with the first tick that has plotted on the other side of the stop line. In this case the position may be reversed intra-bar for the signal bar. Paintbars and arrows will already plot for the signal bar.
Paintbars: The indicator has an option to display the current trend via paintbars. Downclose bars are filled, upclose bars are hollow. For the upclose bars an opacity can be selected for better visibility.
Arrows: The indicator has an option to display trend changes via an arrow.
Sound alerts: The indicator will alert to trend reversals and potential trend reversals. A potential trend reversal occurs when price touches the stop line intra-bar prior to the confirmation by a close on the other side of the stop line. The sound files are included with the indicator install file. Please unzip and copy them into the program files (x86)\ NinjaTrader 7\ sounds directory or whatever directory is used by NinjaTrader to store the sound files.
Comparison between SuperTrend M1 and SuperTrend M11:
The SuperTrend M11 calculates both the average true range and the median 1 bar ago. This results in a considerable saving in CPU load, if you use the indicators in CalculateOnBarClose = false mode. The SuperTrend M11 does the median calculation only once per bar, while the SuperTrend M1 recalculates it with every incoming tick. If you use the indicator with CalculateOnBarClose = true setting, you can also continue to use the SuperTrend M1. There will be no significant difference in performance.
Changed formula: The Supertrend M11 will give slightly different results, when compared with the Supertrend M1. If you want to reproduce the settings of your Supertrend M1, you should use the same value for the ATR period and the ATR multiplier, but reduce the value for the median period by 1. The result will still not be identical. Also for both indicators a minimum size for the ATR values has been imposed, the ATR may not be smaller than the ticksize. This is only important for lower timeframes during low volatility and prevents the SuperTrend from changing the trend too often.
SuperTrend M1: The indicator package contains an updated version of the SuperTrend M1. However, I recommend to switch to SuperTrend M11.
Update August 10, 2011 : Visual design improved. The new indicator version can also be called by other indicators and strategies.
Update May 23, 2012: Entirely recoded version, which uses Median and ATR 1 bar ago to avoid recalculation with every tick. Sound alerts added that trigger intra-bar and which can be used on replay. Smaller improvements added.
Update May 24, 2012: Bug removed, upclose candles were not plotting properly.
Update June 30, 2012: New SuperTrend U11 "Universal" released, this is a new indicator - see link for more information
Update October 2, 2012: Indicator simplified. Trend state can no longer change intra-bar.
Update October 3, 2012: Indicator now allows for displacement. BoolSeries modified for accessing the trend. Trend change intra-bar is possible with option reverse intra-bar and COBC = false.
Update March 5, 2013: Arrows now plotting one bar earlier for the option Reverse intra-bar = true.
This is a new implementation of the TradeStation SuperTrend indicator for NinjaTrader 7. The SuperTrend indicator is an application of the concept of MAE (maximum adverse excursion), which was introduced by John Sweeney in the mid-nineties. The SuperTrend can be viewed as a trailing stop and changes direction, when the trailing stop is taken out.
The SuperTrend U11 calculates both the baseline and the offset 1 bar ago, as did the SuperTrend M11. This is to reduce CPU load and avoid feedback loops.
Accessing the trend: The indicator comes with a BoolSeries that holds the trend. This BoolSeries can be accessed by other indicators or automated strategies.
Reverse Intra-bar = false: This is the default setting of the indicator. A logical signal will be generated when the close of the signal bar has taken out the stop line. The position may be reversed at the open of the next bar. The paint bars will only change colors for the bar after the signal bar. The arrow will be also plotted for the entry bar.
Reverse Intra-bar = true: This is an unusual setting for the SuperTrend. The signal will be generated with the first tick that has plotted on the other side of the stop line. In this case the position may be reversed intra-bar for the signal bar. Paintbars and arrows will already plot for the signal bar.
Paintbars: The indicator has an option to display the current trend via paintbars. Downclose bars are filled, upclose bars are hollow. For the upclose bars an opacity can be selected for better visibility.
Arrows: The indicator has an option to display trend changes via an arrow.
Sound alerts: The indicator will alert to trend reversals and potential trend reversals. A potential trend reversal occurs when price touches the stop line intra-bar prior to the confirmation by a close on the other side of the stop line. The sound files are included with the indicator install file. Please unzip and copy them into the program files (x86)\ NinjaTrader 7\ sounds directory or whatever directory is used by NinjaTrader to store the sound files.
Comparing Supertrend U11 to Supertrend M11:
The SuperTrend U11 is a generalization of the SuperTrend M11.
-> The SuperTrend M11 uses the moving median of the arithmetic mean (High + Low)/2 one bar ago and adds/subtracts a multiple of the average true range one bar ago.
-> The SuperTrend U11 allows you to use the median as above , but instead you can also calculate the baseline from a selection of other indicators. These are the options available for the baseline
- a moving median
- a moving mode
- an ADXVMA
- a 2-pole Butterworth filter
- a 3-pole Butterworth filter
- a DEMA (double exponential MA)
- a DSMA (double simple MA)
- a DTMA (double triangular MA)
- a DWMA (double weighted MA)
- an Ehlers filter
- an EMA
- a 2-pole Gauss filter
- a 3-pole Gauss filter
- a 4-pole Gauss filter
- a HMA (Hull MA)
- a Holt EMA
- a Linear Regression indicator
- a LLMA (phase set to 0)
- a SMA
- a 2-pole Supersmoother
- a 3-pole Supersmoother
- a TEMA (triple exponential MA)
- a TMA (triangular MA)
- a TSMA (triple simple MA)
- a TWMA (triple weighted MA)
- a VWMA(volume weighted MA)
- a WMA (weighted MA)
- a ZeroLagHATEMA
- a ZeroLagTEMA
- a ZLEMA
While the SuperTrend M11 uses the average true range as an offset, the offset for the SuperTrend U11, can be selected as
- a moving average (or median, mode) of the simple range
- a moving average (or median, mode) of the true range
- the standard deviation
The added options will not slow down the indicator, as the selection becomes effective, when the indicator is added.
You can reproduce the SuperTrend M11 with the SuperTrend U11, if you apply it to the arithmetic mean (Median in NinjaSpeak) and select "Median" for the baseline, "EMA" for offset smoothing and "True Range" for offset type. However you need to take into account that the ATR uses Wilder's exponential smoothing (smoothing constant k = 1/n) which is different from the EMA (smoothing constant k = 2/(n+1)). For example an offset period of 8 for the SuperTrend M11 will produce a smoothing factor of 1/8 and translate to an offset period of 15 for the SuperTrend U11.
Update July 3, 2012: ADXVMA option for baseline added.
Update July 5, 2012: Bug removed - Butterworth, Gauss and Supersmoother Fillter did not use the specified baseline period.
Update August 17, 2012: Old version of ADXVMA replaced with new version.
Update August 31, 2012: Ehlers filter updated.
Update October 2, 2012: Indicator simplified. Trend state can no longer change intra-bar. Gaussian and Ehlers filters updated. Mode removed from options.
Update October 3, 2012: Indicator now allows for displacement. BoolSeries modified for accessing the trend. Trend change intra-bar is possible with option reverse intra-bar and COBC = false.
Update March 5, 2013: Arrows now plotting one bar earlier for the option Reverse intra-bar = true.
For the last three updates you also need to update Bollinger Universal & Keltner Universal, if you have them installed. Please remove old versions of those indicators first.
The features of this indicator have been incorporated into a new version of MousePan - which I recommend over this version.
The combined version lets you use the tool bar and the keyboard, which has advantages if you use chart trading.
***** Depreciated code - see above ******
This is a variation of the MousePan indicator for NT7, which is enabled or disabled using a modification to the charts toolbar. Unlike MousePan, there is no keyboard shortcut needed to pan the chart.
This is useful if you like to use a fixed scale on charts to avoid NT zooming in too much when the range is low, since that would make small movements look large.
If you need to modify a drawing on the chart, turn off panning by clicking "Pan" on the toolbar and then enable panning when done.
When enabled, the chart can be moved up or down by dragging with the mouse held over the chart (hold the left mouse button down to drag).
*** Be aware that enabling chart pan with this indicator may cause problems if you use chart trading unless you turn off panning before modifying orders on the chart. If so, you may prefer to use MousePan which is enabled momentarilty with a control key on the keyboard.
February 28th, 2013
Size: 3.54 KB
Downloaded: 333 times
1371
pawnbroker
Exported using NT Version 7.0.1000.11
This is a simple Bollinger Band Squeeze. The Bollinger Band Squeeze compares directional volatility as measured by the standard deviation to non-directional volatility as measured by the average range.
The squeeze is a situation, where Bollinger Bands are inside a Keltner Channel. This indicator does not plot the Bollinger Bands and the Keltner Channels, but plots the distance of the Bollinger Band from the Keltner Channel and displays it as a histogram.
When the histogram has a positive value: This means that the Bollinger Bands are outside the Keltner Channel. Directional volatility is high or normal.
When the histogram has a negative value: This shows low directional volatility, which is called "the squeeze". For better visibility, the squeeze is reinforced with dots. When activated, sound alerts will inform you that the squeeze is on.
A squeeze is a good opportunity to enter a position, as it reflects a temporary period of balancing or indecision. To determine the direction of the expected breakout from the squeeze, other indicators should be used. In his book "Mastering the Trade", John F. Carter suggests a momentum indicator do determine the direction of the trade, but I do not think that this is sufficient to create a profitable system. You will need further indicators.
If you enter a trade during a squeeze, this usually leads to a good reward-to-risk ratio, as you will typically be able to use narrower stops during low volatility periods.
This is a modified version of Fat Tail IB bands V38
It has added deviation for a full 4 standard of deviations
""Use at own risk as i am not a professional programmer""
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.
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 opening range can be selected via indicator dialogue box The default setting is 60 minutes.
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.
Developing range: Prior to the completion of the initial balance, the indicator plots the developing ranges in gray to show that the ranges are still unstable.
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 June 2, 2011: New signature for GetNextBeginEnd() implemented.
Update June 11, 2011: Small bug removed, indicator did not display opening range and pre-session range correctly during the training period (first bars of the chart, after scrolling to the left horizontally).
Update June 21, 2011: The indicator now works with half-pip FOREX feeds. Indicator dialogue box improved.
Update July 25, 2011: Serialization of the plots and indicator dialogue box changed.
Update January 24, 2012: Offset added, opening period no longer needs to be aligned to session start.
Update February 19, 2012: Option added to cut off the opening range at the next session break.
February 8th, 2013
Size: 9.75 KB
Downloaded: 790 times
1362
greenr
Exported using NT Version 7.0.1000.11
Indicator will only run on NT 7.0.1000.5 or later
This is a modified version of Fat Tail SessionVWAP Week V40
It has Half Deviation bands and more colour control over the individual bands
""Use at own risk as i am not a professional programmer""
Exported using NT Version 7.0.1000.8
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.
RTH multi: The VWAP will be displayed starting from the open of the RTH session as specified and then continue through the after session.
Volatility Bands: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.
Variance_Last: 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 has two advantages. It corrects for a trend and it is much faster to calculate. It is therefore the default method of the indicator, and should always be used on high resolution charts built from ticks.
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 VWAP for the two-day-session including a public holiday. The indicator is preconfigured for the Globex holiday calendar. If tFriday is a holiday with trade date Monday, it will then be integrated into the following week.
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.
For further details on update, also see the SessionVWAP Week V40.
Update January 25, 2012: Minor enhancements. Small bug removed, which had affected the plot colors.
February 5th, 2013
Size: 8.19 KB
Downloaded: 464 times
1361
greenr
A simple indicator to show the first two sub-sessions highs and lows, as defined by user inputs for:
sub-session 1: from start of session until end of sub-session 1
sub-session 2: from end of sub-session 1 to end of sub-session 2
So there are two input parameters for setting the time when the first sub-session should end and when the 2nd sub-session should end.
24 hour clock values only and I still have to code a time-zone parameter to take care of special situations like the daylight saving time shift difference between London and New York - America changes over 2 weeks prior to the EU in spring, so at the moment if that affects you, you would have to adjust the parameters temporarily - i.e. it's necessary to adjust these input parameter values in March and in October when there is a period after the USA clocks change and before the European clocks change, if you're based in the EU and your sub-sessions define non-EU time-zones.
Basically if you are using the US East Coast time zone, you won't need to worry about that.
Change Log
Changed name to PermaCodeSubSessions
fixed bug where data gaps would snarl up session start times
February 5th, 2013
Size: 2.20 KB
Downloaded: 285 times
1360
Adamus
Exported using NT Version 7.0.1000.11
Indicator will only run on NT 7.0.1000.5 or later
This is a modified version of Fat Tail SessionVWAP Daily V40
It has Half Deviation bands and more colour control over the individual bands
""Use at own risk as i am not a professional programmer""
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.
RTH multi: The VWAP will be displayed starting from the open of the RTH session as specified and then continue through the after session.
Volatility Bands: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.
Variance_Last: 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 has two advantages. It corrects for a trend and it is much faster to calculate. It is therefore the default method of the indicator, and should always be used on high resolution charts built from ticks.
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 VWAP 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 VWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.
Update Jan 23, 2011: Globex Holiday Calendar for 2011. Holiday sessions will only be applied to Globex instruments. Indicators now also work on tick and volume charts.
Update May 17, 2011: New signature for GetNextBeginEnd() implemented.
Update June 15, 2011: VWAP can now be displayed for RTH and after-session, see option RTH-multi. Three different types of VWAP bands added.
Update July 26, 2011: SessionVWAP uses (High + Low + Open + Close) / 4 for higher accuracy. Adapted to different plot styles.
Update January 25, 2012: Globex Holiday Calendar for 2012 added. Small bug removed, which had affected the plot colors.
February 16th, 2016 10:46 AM no3putts Great, thank you!
August 10th, 2015 11:43 AM Tony09 Thanks, again Fat Tails,
Awesome indicator - Exactly what im looking for entry timing.
Regards
Tony
March 23rd, 2014 11:51 AM stefp799 I am a newcomer, and i want to thank you for offering this great rendition of this old timer indicator. I was an old Stu
dent of Walter Bressert and am very familiar with the whole theory. This indicator is just what i was looking for. Had l
ost it years ago...Not useful by itself..but very useful when you look at a higher fractal chart in conjunction. say 5 m
inute chart is your master chart, and you trade on a 510 tick chart for example...or better yet...Bressert will look at
a daily chart..and when the doublestoch is descending..will short all the opportunity offered by the smaller fractals, b
ut more precise charts.. When the doublestoch is in sync between many fractals..you get the most bang for your buck. Tha
July 21st, 2015 08:48 PM essiar This indicator on a volume chart is golden. I did find one "bug" if you will, when I change the color of the vwap inner
0.5 half band (I haven't tried to change any other colors), it won't stay changed. When I restart Ninja, it reverts back
to white.
July 1st, 2013 02:45 PM bobc635 I will check it out....Thanks!
February 29th, 2016 03:45 PM no3putts Many thanks, again and again and....
December 20th, 2015 09:40 PM romus
August 13th, 2014 10:00 AM tang
February 9th, 2014 06:15 PM bundwidower Fat Tails. You do not know what it means for beginners like me to have something to follow. Sorry I am unable to recipro
August 25th, 2019 02:57 PM dyst Thank you! I downloaded the other version but something seemed a bit 'off' with that one. So glad I found this. Experime