The Elite Circle

Categories

Show

Help

The Elite Circle

File sharing for Elite Members only, includes any and all platforms and file types

The Elite Circle

Filter

A B C D E F G H I J K L M N O P Q R S T U V W X Y Z 0 1 2 3 4 5 6 7 8 9

Filter

Page 23 of 61

« First

Last »

Entries

Volatility Breakout Strategy, Economized Corrected version

I found this in the non-Elite Ninjatrader Strategy downloads posted by @minsalaco who said, "Not my personal work but that I'd share".

Considering the heavy resource requirements to backtest and optimize strategies, and the fact that they are intended to be used as money making tools, not playthings, it is hard for me to understand why many strategies, like the original version of this one, do not use any of the good coding practices that we have been discussing here on BMT for the last two years or so. The person who posted it on BMT did so with good intentions and is not to blame for the deficiencies in the coding.

As an experiment I applied some of those coding ideas to this strategy. It should run about a thousand times better than the original version unless I made some mistakes somewhere.

This strategy was coded with stocks in mind and trades a quantity of 100 by default. Many of the other parameters may also be inappropriate for futures contracts. I ran the latest version A.1 for several hours on CalculateOnBarClose false and it IS workng. It bought 100 cars of NQ at 5:50 AM PT on January 7 at 2708.995 (average overall basis). I sold them manually at 2709.7925 and shut down the strategy because I was afraid that my computer might start talking to Skynet�. However, I am sure we would all would appreciate if anyone backtesting this strategy would let me know, and post their results on the forum.

Thanks to user feedback I did some testing and corrected some mistakes that were in the original release. I could not upload the corrected file to the original post but as of 4:26AM Eastern Time on January 7, you can get it here. Replace the original version with this one.

The following text had been copied mostly verbatim from the entry in the Strategies download area but was in dire need of some editing.

Volatility Breakout Pattern
Description
The squeeze signals the end of low volatility periods where the market has built up energy for major moves. Periods of low volatility are the times when the Bollinger bands "move closer together". The width of the Bollinger channel is more sensitive to price volatility than the width of the Keltner Channel, so a Keltner Channel and a momentum index oscillator are added, as mentioned in John Carter's book Mastering the Trade. The momentum index oscillator is used to suggest the trade direction.
How does this Setup work?
The quiet period is when the Bollinger Channel width decreases to less than that of the Keltner Channel. The trade signal occurs when the Bollinger Channel moves back outside of the Keltner Channel. The value of the 12 period momentum index oscillator suggests whether to go long (oscillator>0) or short (oscillator<0).
Moves tend to be stronger when the BB Width is the lowest over at least the past 150 bars. Also choose BBWidth < 0.05 for better results on daily data.
This strategy includes trailing stop and stop loss as variables, so you can easily backtest and use the optimizer.

Details: Volatility Breakout Strategy, Economized Corrected version

January 7th, 2013
Size: 10.23 KB

Volatility Breakout Indicator

This indicator is the basis for the Volatility Breakdown Strategy in the preceding post. There were a lot of changes to make it run MUCH faster, but there are still quite a few more things that could be done.

This time there is a screenshot so you can get an idea of the kinds of conditions this indicator looks for. While it's simplistic, some of the signals do look pretty good.

Details: Volatility Breakout Indicator

January 5th, 2013
Size: 10.55 KB

Improved Donchian Channel Indicator

The download link was broken. I re-uploaded the installer file on March 14, 2016.

"The Donchian Channel indicator is an indicator that was created by Richard Donchian. The Donchian Channel indicator that was created by Richard Donchian is an indicator that uses the highest high and the lowest low of the price of a stock over a period of days to indicate the plot of a channel of the highest high and the lowest low of the price of a stock over a period of days."

To clarify that, "이 리차드 Donchian 만든 표시했다 Donchian 채널 표시. 이 지표가 가장 높은의 채널의 음부과 최저의 낮은 말을 일 기간 동안 가장 높고 주식의 저렴한 가격의 최저를 사용하는지 리처드 Donchian에 의해 생성 된 Donchian 채널 표시 일 기간 동안 주식의 가격".

This plots identically to the Ninjatrader version while using a fraction of the CPU resources. With COBC false, that would be more like a TINY fraction. (Even less than the fraction of truthful content in my newspapers. Or the signal to noise ratio of the indicator description, which has been rephrased as Gibberish and translated into two different languages.)

The MIN and MAX algorithms have been moved into the indicator and are called only when needed. Optimizing external classes is good, but eliminating the need for them is even better.

OnBarUpdate is not called for redundant intrabar ticks that would not affect the output.

If you want to use this to replace the Ninjatrader Donchian System Indicator you would have to rename this one and put it in a folder with the @prefix after deleting the original one. If you are not comfortable doing that, please don't.

This has a different name than the system indicator, so can be installed in the usual way using the Import Ninjascript utility.

Your satisfaction is important to me, so please report any problems.

Details: Improved Donchian Channel Indicator

January 3rd, 2013
Size: 2.54 KB

The Ninjatrader CHAIKIN VOLATILITY System Indicator

An approach that reliably shows increasing volatility around market turning points. Once again, the code was changed to increase efficiency. This indicator uses an EMA calculation implemented internally.

This file is intended to replace the file, @ChaikinVolatility.cs.

Details: The Ninjatrader CHAIKIN VOLATILITY System Indicator

January 3rd, 2013
Size: 6.59 KB

The Ninjatrader MIN System Indicator

Like its evil twin MAX, this was a notorious resource hog until rewritten by Ninjatrader a couple of years ago in response to postings on BMT. I just realized that there are some obvious further improvements that can be made.

Performance on COBC false will be better, but on COBC true there won't be any improvement. COBC false is now the default, and PriceTypes other than Close are now supported.

This indicator is important because it is called by so many other indicators. Most of the indicators that I use were modified to call MIN only once per bar, but that's probably not the case for the indicators you are using, in which case there will be a performance improvement.

Once again this file is intended to REPLACE the file @MIN in your indicator folder.

Details: The Ninjatrader MIN System Indicator

January 2nd, 2013
Size: 7.01 KB

The Ninjatrader MAX System Indicator

This was a notorious resource hog until rewritten by Ninjatrader a couple of years ago in response to postings on BMT. I just realized that there are some obvious further improvements that can be made.

Performance on COBC false will be better, but on COBC true there won't be any improvement. COBC false is now the default, and PriceTypes other than Close are now supported.

This indicator is important because it is called by so many other indicators. Most of the indicators that I use were modified to call MAX only once per bar, but that's probably not the case for the indicators you are using, in which case there will be a performance improvement.

Once again this file is intended to REPLACE the file @MAX in your indicator folder.

Details: The Ninjatrader MAX System Indicator

January 2nd, 2013
Size: 7.34 KB

The Ninjatrader EMA System Indicator

"The Exponential Moving Average (EMA) is an indicator that indicates the exponential moving average value of a security's price over a period of days. When calculating an Exponential Moving Average (EMA), The Exponential Moving Average (EMA) applies more weight to recent prices than the SMA. What IS the SMA, anyway?..."

Here's one that is often used by itself, as well as being called on by many other indicators. There are two variables that depend only on the period, therefore only need to be calculated once, when the indicator first starts up. For some reason they were being calculated on every incoming tick, which is trivial to fix. Also, the term that is dependent on the previous value of the EMA only needs to be calculated on FirstTickOfBar.

The reduction in CPU demand is small for each instance, but you might have a lot of instances. This will run very well on COBC false. The addition of code to screen out redundant intrabar ticks (no price change, as in NT8) would reduce CPU demand on COBC false by around 70%.

Once again I am providing a cs file which is intended to replace the system indicator file, @EMA.cs.

Everyone knows what this looks like so I skipped the screen shot.

Revision B is the latest version. If you downloaded this before about 11:20PM Pacific Time on January 1 you do not have the correct file and should download it again.

The changes that I made must be very difficult to understand since nobody ever thought of making them before. The only reason they occurred to me is that I have two Advanced Degrees. A PhD in Neckwear Design and a Masters in Gibberish.

Details: The Ninjatrader EMA System Indicator

January 1st, 2013
Size: 7.14 KB

The Ninjatrader SUM system indicator

There is seldom any need to use it by itself, but the SUM indicator is important because it is often called upon by other indicators, which might be set to CalculateOnBarClose = false.

It is also inefficiently coded. Two logic tests that are performed on every tick only need to be performed once per bar.

Correcting this reduces the CPU load when CalculateOnBarClose is false. For COBC true, it does not make any difference.

Therefore consider REPLACING the existing file, @SUM, with this one, using Windows Explorer.. NOT the Ninjascript installation utility.

I don't think a screen shot is necessary for this one.

WRONG FILE had been uploaded. Corrected file uploaded at 2:45 PM ET January 3 2012. Thanks for bringing this to my attention, and please accept my apologies.

Details: The Ninjatrader SUM system indicator

January 1st, 2013
Size: 5.19 KB

XavMTF - Multi-Timeframe Indicator

Pretty much, this indicator will create a MTF version of any indicator with 6 plots or LESS. In the indicator parameter just type in the name of the indicator you want with all the parameter exactly as it appears on a chart(excluding the input series). Choose your time frame and you are done

Debugging Thread: https://nexusfi.com/elite-circle/24875-xavmtf-debugging-optimization-thread-multi-time-frame-indicator.html

Enjoy

Current Version: V1.2

Details: XavMTF - Multi-Timeframe Indicator

December 30th, 2012
Size: 5.34 KB

PeriodTypeInfo

PeriodTypeInfo plots all defined PeriodType's to output window. You can test if custuom period type is already used.

Details: PeriodTypeInfo

December 23rd, 2012
Size: 1.77 KB

Keywords: periodtypeinfo

Page 23 of 61

« First

Last »