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IntradaySeasonality V12

Exported using NT Version 7.0.0.25

The download file contains two indicators which can be used to explore the average range and volume of any intraday time period over a selected lookback period. The average takes into account the day of the week. For example the average volume displayed for any bar period on Wednesdays is only calculated from data taken from prior Wednesdays.

With default settings the indicators calculate average range and average volume from the prior 20 weeks (reference period). The result is then displayed for the last 2 weeks (display period) of the chart. The lookback period of the chart should be larger than the sum of reference and display period. With default setting the minimum lookback period would be 22 weeks + 1 day = 155 days.

The indicators can only be used with fixed period charts (for example 30 min or 60 min charts).

Please take into account that NinjaTrader cuts off the bars at the end of a session. Therefore the last bar of each session may show a comparatively low volume. The indicator does not convert this volume into a pro-forma volume by extrapolating the volume to a full bar.

Update September 16, 2014: Holiday calendar added, day of week is displayed below the histogram.

Detailed explanations how to use the indicator can be found here:

https://nexusfi.com/elite-circle/5242-intraday-seasonality-when-trade-when-not-trade.html

Category NinjaTrader 7 Indicators

Details: IntradaySeasonality V12
Category: NinjaTrader 7 Indicators

September 16th, 2014
Size: 9.97 KB
Downloaded: 2095 times

Keywords: range seasonality tradingtimes volume

Comments/ratings

gossip in the grain August 29th, 2010 11:40 AM

I was doing this by hand. In addition, I have been trying to correlate range size
with pre-report, report, and post report days as well as holidays. Think your
work might be helpful?? DUH!! I have no idea of what to say for something that
could be of so much help to me. In the words of Jed Clampett " Woooo doggies."
Now, if I would just move over to version 7 this would really help.

paolfili October 31st, 2010 01:25 PM

Thanks again FAT TAILS.
Your suggestions,thoughts and writing are always really interesting.

Arpad January 26th, 2011 02:31 PM

No Comment

bluemele July 13th, 2011 06:57 PM

No Comment

PowerM September 14th, 2011 01:40 PM

Amazing

djdinkler October 6th, 2012 11:10 AM

Fantastic. Thank you.

mmtrader4 August 23rd, 2013 09:40 PM

Wish I saw this sooner, thanks!

sharmas September 16th, 2014 05:46 PM

Awesome work Fat Tails
sharmas

madLyfe September 16th, 2014 06:32 PM

amazing as always!

jupikseliga September 17th, 2014 04:28 PM

u best

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