This thread is about session indicators and how to trade them.
I have coded quite a few indicators for NinjaTrader, which I would like to explain, and for which I do regular updates. So far I have posted in various threads to discuss their features and updates. As this is pretty time consuming, I will now put it all in here.
All session indicators can be used with electronic trading hours (ETH) or regular trading hours (RTH). When used with regular trading hours most of the indicators require a session template that specifies the regular trading hours within the trading day.
These are the indicators that I will update during the next weeks and which I also use for my own trading:
SessionPivots
Daily pivots: Prior day HLC, daily floor pivots, JacksonZones, Fibonacci pivots, Camarilla pivots, current day OHLC, dynamic fibs, noise bands based on average daily noise, target bands based on ADR (average daily range) and ADE (average daily expansion)
Weekly pivots: Prior week HLC, daily floor pivots, JacksonZones, Fibonacci pivots, Camarilla pivots, current week OHLC, dynamic fibs, noise bands based on AWM (average weekly noise), target bands based on AWR (average weekly range) and AWE (average weekly expansion
Monthly pivots: Prior day HLC, monthly floor pivots, JacksonZones, Fibonacci pivots, Camarilla pivots, current month OHLC, dynamic fibs, noise bands based on AMN (average monthly noise), target bands based on AMR(average monthly range) and AME (average monthly expansion)
PivotZones
This is a variation of parts of the SessionPivot indicator, which displays the pivot lines as zones. It also comes with daily, weekly and monthly pivots.
Rolling Pivots
This is an indicator that allows to display pivots calculated from the N-day high, the N-day low and the current close. It is an offshoot of the SessionPivots, but uses an N-day period instead of a single day.
Opening Range and Initial Balance Range Bands
Opening range: Allows to display the range of an opening period. By default the indicator uses the regular session of the instrument. The indicator displays the opening range and the overnight session range. Instead of the overnight session range the Asian session or European session range can be displayed. The indicator can also be used with any session template, as an offset can be used to define the start time for the opening range.
Opening range MTF: Determines the opening range correctly, if the opening range can not be built from the primary bars. Also allows to display the 1-minute opening range on any chart.
Initial balance range bands: Opening range indicators with volatility bands added which are based on a multiple of the opening range.
Intial balance range bands MTF: Opening range MTF with volatility bands added.
Fibs From Prior Session
This indicator allows to generated Fibonacci retracements and expanions from the prior period's high and low.
Session VWAP and Session TWAP
All VWAPs and TWAPs come as daily, weekly and monthly indicators that can be used with the electronic (ETH) session or the regular (RTH) session. The VWAPs and TWAPs have standard deviation bands, which are based on different formulae.
SessionMedian and SessionMode
I have not made these indicators public before, but they are part of the family. They will be available as TPO and VWTPO versions with an option to display the value area. There will be a daily, weekly and monthly version. I would like to discuss the algorithms in this thread.
Session Noise Bands and Session Volatility Bands
These indicators are no longer maintained, as I have integrated them with the SessionPivots. This is also intended to reduce the workload, as these indicators do not need to be maintained any more.
It will probably take me a few weeks or months to do all the necessary updates and development work, so I would be happy if you only ask questions about indicators, which I have published here. Feedback is welcome, both with respect to bugs and further improvement of the indicators.