NinjaTrader 8 Indicators and More

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NinjaTrader 8 Indicators and More

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Session Pivots Daily (amaPivotsDaily)

Version 2.6 July 4, 2018

The Session Pivots Daily is an enhanced pivots indicator which allows for displaying floor pivots, wide pivots, Jackson Zones and Fibonacci pivots.

All pivots are calculated from daily bars (default setting) or from the bar series that has been selected as input series. The indicator may be used to display ETH pivots on an full session chart or RTH pivots on a regular session chart. It is not designed to display RTH pivots on a full session chart. When pivots are calculated from daily bars, they are typically calculated from the full session high, the full session low and the settlement price. However, the daily data only depends on the data supplier and will reflect the high, low and close as shown on a daily chart.

Workaround for displaying RTH pivots on a full session chart:

- Add a secondary bar series to your primary price panel with a RTH trading hours template.
- Set the colors for candle outlines, candle wicks, up and down bars to transparent.
- Apply the amaPivotsDaily indicator to the secondary bar series.

The indicator will now display RTH pivots on a full session chart. However, the pivots will only be displayed after the start of the regular session.

Pivot range: The indicator is set to display the pivot range which is the range between CP and DP. The pivot range is a symmetrical range around the main pivot PP. A wide pivot range follows after a trending day with a close near the highs or the lows. A narrow pivot range indicates that the prior day was a balancing day and closed near the central pivot.

Prior day high, low and close: The indicator also displays the high, low and close for the prior trading day. These levels often act as support or resistance during the current trading day. Moreover, prior day high, low and close reflect the input data for calculating all pivot values and can be visually checked against the chart bars, while this is not possible for the pivots themselves.

Pivot formulas:

All options: H = prior day high, L = prior day low, C = prior day close, X = H - L
Main Pivot: P = (H+L+C)/3
Central Pivot: CP = (H+L)/2
Directional Pivot: DP = 2*P - CP
Floor Pivots: P = (H+L+C)/3, R1 = 2*P - L, S1 = 2*P - H, R2 = P + X, S2 = P - X, R3 = R1 + X, S3 = S1 - X, R4 = R3 + (P-L), S4 = S3 - (H-P)
Wide Pivots: P = (H+L+C)/3, R1 = 2*P - L, S1 = 2*P - H, R2 = P + X, S2 = P - X, R3 = R2 + X, S3 = S2 - X, R4 = R3 + X, S4 = S3 - X
Jackson Zones: R1 = P + 0.5*X, S1 = P - 0.5*X, RB1 = P + 0.618*X, SB1 = P - 0.618*X, R2 = P + X, S2 = P - X, RB2 = P + 1.382*X, SB2 = P - 1.382*X
Fibonacci Pivots: R1 = P + 0.382*X, S1 = P - 0.382*X, R2 = P + 0.618*X, S2 = P - 0.618*X, R3 = P + X, S3 = P - X, R4 = P + 1.382*X, S4 = P - 1.382*X

CME holidays: There are six holiday sessions every year which are integrated with the following trading day. These holidays are Martin Luther King Day, President's Day, Memorial Day, Independence Day, Labor Day and Thanksgiving. The holiday sessions do not qualify as trade dates and there is no settlement. For this reason quality data feeds will not show daily bars. When "Input Data" is set to "DailyBars", the amaPivotsDaily will correctly calculate the pivots for both the holiday sessions and the trading day that follows the holiday. The NinjaTrader in-built pivots indicator will produce false values on the days after the holiday session. When "Input Data" is set to "Full Session", both indicators will calculate false values for the day after the holiday session.

Comparison to pivot indicators coded for NinjaTrader 7: For NinjaTrader 7 I had used subdivided session templates for calculating RTH pivots on full session charts. This approach was too complicated and mainly confused users. Subdivided session templates also truncate all bars at the session begin and the session end, which in turn distorts other indicators such as moving averages or oscillators. Therefore all our NT8 indicators are now compatible with the default trading hours template <instrument settings>. However, the new approach makes the task of coding RTH pivots for full session charts more complex. Such an indicator needs to add a third bar series with minute data and also come with a small data base containing the regular trading hours and holidays for the most liquid futures contracts. This can no longer be provided free of charge.

On the other hand the pivot indicators for NinjaTrader 8 have become more reliable. Preloading of daily data is no longer necessary, as the pivots indicator will load daily data automatically, when applied to a chart. This makes the pivots easier to use and less error prone.

Update version 2.1.: Bug removed. Indicator did not display pivots calculated from daily data, when the first day of the lookback period of the chart was a trading day without daily settlement (see six holiday sessions listed above).
Update version 2.6.: Enhanced CPU efficiency. Minor changes.

Nota: The forum software has renamed the downloadable zip file to the false version number 2.0. Please disregard the version number of the zip file. The zip file contains the indicator version as specified above.

Details: Session Pivots Daily (amaPivotsDaily)

October 21st, 2017
Size: 12.29 KB
Downloaded: 2498 times

Keywords: daily eth fibonacci floor floorpivots jackson pivotrange pivots range rth session settlement

ADXVMA (amaADXVMA)

Version 1.1 August 1, 2017

The Average Directional Index Variable Moving Average (ADXVMA) is a volatiltiy based moving average with the volatility being determined by the value of the ADX. The ADX provides levels of support during uptrends and resistance during downtrends. The indicator may also be used as a trendfilter. The trend can be positive, negative or neutral.

The ADXVMA that can be downloaded here may also be used with other input series than price. The trend can be shown via paint bars and is exposed as a public property.

Note: The ADXVMA has the trend exposed as a public property. This property can be accessed programmatically. However, it cannot be currently accessed via the market analyzer. In order to access the Trend series via the market analyzer, a specific MarketAnalyzerColumn is required. The MarketAnalyzerColumn is not yet included with the install file, as it has led to freezes with NT 8.0.8.0. The bug has been confirmed by NinjaTrader developers and only fixed with the latest release NT 8.0.9.0. (issue #12054). The market analyzer column and sound files for the ADXVMA will be availabe with a future update.

Details: ADXVMA (amaADXVMA)

October 21st, 2017
Size: 11.37 KB
Downloaded: 1190 times

Keywords: adaptive adx movingaverage resistance support vidya vma volatility

SuperTrend U11 (amaSuperTrendU11)

Version 2.3*) November 16, 2017

The SuperTrend indicator is an application of the concept of MAE (maximum adverse excursion), which was introduced by John Sweeney in the mid-nineties. It is a Stop-And-Reverse (SAR) indicator based on breakouts from a modified Keltner channel.

The SuperTrendU11 is an enhanced version of the original SuperTrend indicator that comes with the following modifications:

- You may select between 36 different moving averages for the baseline.
- The baseline is calculated one bar ago to avoid recalculating with each incoming tick.
- You may select from 4 different volatility measures - average true range, average range, residual mean absolute deviation and residual root mean square deviation
- Average true range and average range can be calculated from 30 different moving averages.
- All volatility measures are also calculated one bar ago.

In fact there is no point in moving a trailing stop towards the current price intra-bar. Therefore a trailing stop should always be calculated from the prior bar and not the last price.

When you import the install file to NinjaTrader, it will also install the following moving averages:

- Moving Median
- Moving Median TPO
- Moving Median VWTPO
- Moving Mean TPO
- Moving Mean VWTPO
- Adaptive Laguerre Filter
- ADXVMA
- Butterworth Filter
- Distant Coefficient Filter
- Double Weighted Moving Average (DWMA)
- Exponential Hull Moving Average (EHMA)
- Gaussian Filter
- Holt EMA
- Laguerre Filter
- Range Weighted Moving Average
- SuperSmoother
- Sine Weighted Moving Average
- Tillson T3
- Triple Weighted Moving Average (TWMA)
- ZerolagHATEMA
- ZerolagTEMA

It will also install debugged versions of MAX and MIN, as the in-built versions supplied with NT8 do not work correctly with Renko bars (RemoveLastBarSupported).

The SuperTrend U11 can be set to revert intra-bar or at the bar close. With default settings the stop line is only broken, when there is a bar close beyond the stop. The indicator further comes with paint bars and sound alerts.

The SuperTrend is a trend indicator, which can be used in various ways. It is best used as a trailing stop or as a trend filter. It can also be used as a stop-and-reverse indicator, but will only work as such in trending markets. Typically it will allow for profitable results while the market is trending and then give the money back in sideways markets.

Note: The SuperTrend U11 has the trend exposed as a public property. This property can be accessed programmatically. However, it cannot be currently accessed via the market analyzer. In order to access the Trend series via the market analyzer, a specific MarketAnalyzerColumn is required. The MarketAnalyzerColumn is not yet included with the install file, as it has led to freezes with NT 8.0.8.0. The bug has been confirmed by NinjaTrader developers and only fixed with the latest release NT 8.0.9.0. (issue #12054). The market analyzer column and sound files for the SuperTrend U11 will be available with a future update.

*) Unfortunately, the forum software always renames zip files to match the original file name. Therefore the zip file refers to a prior version of the amaSuperTrendU11. Be assured that the zip file contains the indicator version referenced in the headline.

Details: SuperTrend U11 (amaSuperTrendU11)

October 21st, 2017
Size: 88.94 KB
Downloaded: 2743 times

Keywords: atr average averagetruerange mad median movingaverage movingmedian range rms sar supertrend trailing trailingstop

SuperSmoother Filter (amaSuperSmoother)

Version 1.0 March 12, 2017

These are the 2 pole and 3 pole Super Smoother Filters, which are derived from digital Butterworth Filters. They were first described by John F. Ehlers in his book "Cybernetic Analysis for Stocks and Futures". I have ported them from Easy Language to NinjaTrader.

The chart shows that the 2 pole super smoother filter (firebrick) gives a better approximation for price while the 3 pole filter (blue) offers superior smoothing.

To emulate the original SuperSmoother presented by John F. Ehlers, please select the PriceType "Median" as Input Series.

Details: SuperSmoother Filter (amaSuperSmoother)

October 21st, 2017
Size: 2.71 KB
Downloaded: 416 times

Keywords: butterworth filter iir poles supersmoother

Sine Weighted Moving Average (amaSWMA)

Version 1.0 September 1, 2017

The Sine Weighted Moving Average (SWMA) is a FIR filter that applies weights to each bar of the lookback period in the shape of the bulge in a sine curve from 0 to pi. As a consequence the middle prices of the lookback period have the greatest weight.

The sine weighted moving average is quite similar to a triangular moving average.

I have coded it because it comes as a default moving average with other software packages and has been requested by users.

Details: Sine Weighted Moving Average (amaSWMA)

October 21st, 2017
Size: 2.53 KB
Downloaded: 346 times

Keywords: average filter fir moving sine sineweighted

SuperTrend M11 (amaSuperTrendM11)

Version 2.0*) October 15, 2017

The SuperTrend indicator is an application of the concept of MAE (maximum adverse excursion), which was introduced by John Sweeney in the mid-nineties. It is a Stop-And-Reverse (SAR) indicator based on breakouts from a modified Keltner channel.

The SuperTrendM11 is an enhanced version of the original SuperTrend indicator that comes with the following modifications:

- The moving average has been replaced with a more robust median.
- The median is calculated one bar ago to avoid recalculating with each incoming tick.
- The average true range (ATR) is calculated one bar ago to avoid recalculating with each incoming tick.

In fact there is no point in moving a trailing stop towards the current price intra-bar. Therefore a trailing stop should always be calculated from the prior bar and not the last price.

This version of the SuperTrend can be set to revert intra-bar or at the bar close. With default settings the stop line is only broken, when there is a bar close beyond the stop. The indicator comes with paint bars and sound alerts.

The SuperTrend is a trend indicator, which can be used in various ways. It is best used as a trailing stop or as a trend filter. It can also be used as a stop-and-reverse indicator, but will only work as such in trending markets. Typically it will allow for profitable results while the market is trending and then give the money back in sideways markets.

Note: The SuperTrend M11 has the trend exposed as a public property. This property can be accessed programmatically. However, it cannot be currently accessed via the market analyzer. In order to access the Trend series via the market analyzer, a specific MarketAnalyzerColumn is required. The MarketAnalyzerColumn is not yet included with the install file, as it has led to freezes with NT 8.0.8.0. The bug has been confirmed by NinjaTrader developers and only fixed with the latest release NT 8.0.9.0. (issue #12054). The market analyzer column and sound files for the SuperTrend M11 will be available with a future update.

*) Unfortunately, the forum software always renames zip files to match the original file name. Therefore the zip file refers to a prior version of the amaSuperTrendM11. Be assured that the zip file contains the indicator version referenced in the headline.

Details: SuperTrend M11 (amaSuperTrendM11)

October 20th, 2017
Size: 15.15 KB
Downloaded: 835 times

Keywords: atr averagetruerange median sar supertrend trailing trailingstop

Moving Median (amaMovingMedian)

Version 2.0 October 15, 2017

The Moving Median is a central tendency which is calculated over a sliding window of price bars or indicator values. The median is the numeric value separating the higher from the lower half of the data set built from the input series over the selected window.

The moving median is a non-linear FIR (finite impulse response) filter that can be used like a moving average. Compared to all standard moving averages, it is a more robust central tendency, because it is less sensitive to outliers.

The moving median over a lookback period N is calculated by writing the last N values of the input series to an array, sorting the array and selecting the middle value of that array.

Details: Moving Median (amaMovingMedian)

October 20th, 2017
Size: 2.47 KB
Downloaded: 431 times

Keywords: median moving movingmedian statistics

Range Weighted Moving Average (amaRWMA)

Version 1.0 March 12, 2017

The Range Weighted Moving Average (RWMA) is weighted moving average which uses the square of the range of the bar as weighting factor. The exact formula for the weighting factor has the bar range replaced with the number of tick levels covered by the bar.

Volatility is driven by volume and is approximately proportional to the square root of volume. Therefore it is possible to use the squared range as a proxy for volume. This is interesting when genuine volume figures are not available. This would be the case

- for FOREX data that comes without historical backfill for volume
- for instruments that are driven by other markets outside of the regular session

In these cases the VWMA may be distorted, whereas the RWMA will still return proper results.

Details: Range Weighted Moving Average (amaRWMA)

October 20th, 2017
Size: 2.68 KB
Downloaded: 442 times

Keywords: average moving range rwma volatility vwma weighting

Opening Range (amaOpeningRange)

Version 2.2 January 31, 2018

The Opening Range is the range obtained from the highest and lowest price of a security during the first minutes of daily trading activity. For example the opening range can be calculated from the first 5, 15 or 30 minutes.

The opening period can be selected via the time zone, the start time and the end time of the opening period. For example if you wish to display a 30-minute opening range for ES, you would select Exchange_Time or US_Central_Standard_Time, a start time of 8:30 AM and an end time of 9:00 AM. The indicator will then display the regular open and the opening range high, low and midline.

You may also use this indicator to display the pre-session range. It is possible to display the entire pre-session range that covers the period from the start of the trading day until the regular open, or you may select a custom period for the pre-session.

The indicator will only return an accurate opening range, if it is calculated from minute bars that align to the start time and end time of the selected opening period. For example, if you wish to display an accurate 30-minute opening range for ES, you may only apply the indicator to 1-min, 2-min, 3-min, 5-min, 10-min, 15-min or 30-min bars. When selecting other bar periods or bar types, there will be overlapping bars in the beginning and the end of the opening period. This may result in a slightly inaccurate opening range.

If you wish to display a correct opening range on any bar type, please proceed as follows:

- Add a secondary bar series of 1-min*) bar to your primary price panel.
- Set the colors for candle outllines, candle wicks, up and down bars to transparent.
- Apply the indicator to the secondary 1-minute bars for an exact calculation.

*) When you add a minute bar series to a tick or volume chart, this will slightly distort the chart, as the bar spacing is adjusted to the duration of the bars. As a consequence of the law of large numbers, the distortion will be smaller, if you add a secondary bar series with a lower resolution. It is therefore recommended to use the highest bar period available that aligns to the start time and end time of the opening period. For a 30-min opening period for ES, you may therefore add 30-min bars instead of 1-min bars.

The chart attached shows the 30-min opening range on a 1000-tick chart to ES 12-17. The invisible secondary bars that were added are 30-min bars.

Update January 31, 2018: Version 2.1 did not properly calculate the opening range when the first bar of the opening range had a time stamp greater than the end time of the opening period (display of short period opening ranges on higher timeframe charts). Version 2.2 has the bug removed.

Details: Opening Range (amaOpeningRange)

October 20th, 2017
Size: 10.60 KB
Downloaded: 2734 times

Keywords: globexsession open opening openingrange regular resistance session support overnightrange regularsession

Adaptive Laguerre Filter (amaAdaptiveLaguerreFilter)

Version 1.1 August 1, 2017

This is a four element Adaptive Laguerre Filter as described by John Ehlers in his paper "Time Warp - Without Space Travel".

The Laguerre Filter is a smoothing filter based on Laguerre polynomials. Its first term is an EMA, which is then further smoothened with a damping factor. The damping factor may take any value between 0 and 1. When the damping factor is set to 0, the Laguerre Filter becomes a finite impulse response (FIR) filter. When the damping factor is set to a value close to 1, the filter becomes dramatically smoother, but will have a significant lag.

The Adaptive Laguerre Filter is based on the simple Laguerre Filter, but uses a variable damping factor. The damping factor is adjusted such that low frequency components are delayed more than high frequency components. The resulting filter is an adaptive moving average and can be compared to the Kaufman Adaptive Moving Average (KAMA) or the Variable Index Dynamic Average (VIDYA).

Details: Adaptive Laguerre Filter (amaAdaptiveLaguerreFilter)

October 20th, 2017
Size: 9.89 KB
Downloaded: 464 times

Keywords: adaptive damping filter iir laguerre polynomials

Laguerre Filter (amaLaguerreFilter)

Version 1.0 March 6, 2017

This is a four element Laguerre Filter as described by John Ehlers in his paper "Time Warp - Without Space Travel".

The Laguerre Filter is a smoothing filter based on Laguerre polynomials. Its first term is an EMA, which is then further smoothened with a damping factor. The damping factor may take any value between 0 and 1. When the damping factor is set to 0, the Laguerre Filter becomes a finite impulse response (FIR) filter. When the damping factor is set to a value close to 1, the filter becomes dramatically smoother, but will have a significant lag.

The indicator that can be downloaded here is a four element Laguerre Filter. I have replaced the damping factor with a synthetic lookback period which allows for adjusting smoothness and lag. A lookback period of 1 corresponds to a simple 4-period triangular moving average.

LaguerreFilter(1) = TMA(4)

When the synthetic lookback period is increased, the filter becomes smoother but has a slower response to price changes.

Details: Laguerre Filter (amaLaguerreFilter)

October 20th, 2017
Size: 2.67 KB
Downloaded: 299 times

Keywords: damping filter iir laguerre polynomials

Market Replay CL 10-17 (NT8)

NT 8 Market Replay data for CL

Contract: CL 10-17

Download instructions:

dowload and unzip file in NT 8 replay folder Documents\NinjaTrader 8\db\replay
The file will create a folder with the relevant front month and a series of .nrd files inside (one per day)

Make sure to use the "extract here" function as shown, and not the "Extract to" function, to avoid the creation of a folder within a folder.

Note: this is Market Replay data for NinjaTrader 8. The format is different from NT7.

Details: Market Replay CL 10-17 (NT8)

September 24th, 2017
Size: 217.99 MB
Downloaded: 114 times

MurreyMath Lines for NT8

MMv1.5.1 from NT7 Converted to NT8 as a paid job, a friend and I had this done by member Sagor here and he was great to work with.

A few small additions such as the ability to change the frame period/lookback added. Uploaded here with thanks for all others' hard work on indicators and conversions provided - Japhro and Scotty

Details: MurreyMath Lines for NT8

September 16th, 2017
Size: 8.59 KB
Downloaded: 1123 times

Traders Dynamic Index (amaTradersDynamicIndex)

Version 1.2 September 16, 2017

The Traders Dynamic Index (TDI) is a trend following momentum indicator based on the RSI. It was developed and presented by Dean Malone. The Traders Dynamic Index comes with the following plots

- the Priceline, which is a SMA(2) of RSI(13)
- the Signalline, which is a SMA(7) of RSI (13)
- the Midband, which is a SMA(34) of RSI (13)
- Bollinger Bands around the SMA(34) using a standard deviation multiplier of 1.62

The following combinations may be considered as trade rules:

- go long, if Priceline > 50
- go short if Priceline < 50
- consider an exit, if Priceline is above 68 or below 32

- go long if Priceline > Signalline
- go short if Priceline < Signalline
- exit if Priceline crosses Signalline

- trendfilter long, when Priceline > Midband
- trendfilter short, when Priceline < Midband

- add to long, when Priceline > upper Bollinger Band
- add to short, when Priceline < lower Bollinger Band

Detailed rules how to use the Traders Dynamic Index have been published by Dean Malone within the framework of the E.A.S.Y. trading method.

Details: Traders Dynamic Index (amaTradersDynamicIndex)

September 16th, 2017
Size: 8.24 KB
Downloaded: 1189 times

Keywords: bollinger bollingerbands oscillator rsi tdi tradersdynamicindex

Gaussian Filter (amaGaussianFilter)

Version 1.1 September 5, 2017

Gaussian Filter as described by John Ehlers in his paper "Gaussian and Other Low Lag Filters".

https://www.mesasoftware.com/papers/GaussianFilters.pdf

You may set the number of poles in the filter to 1,2,3 or 4. A 1-pole filter will have a better approximation to price, whereas the 4-pole filter has superior smoothing.

To emulate the original Gaussian filter presented by John F. Ehlers, please select the PriceType "Median" as Input Series.

Details: Gaussian Filter (amaGaussianFilter)

September 5th, 2017
Size: 2.84 KB
Downloaded: 376 times

Keywords: filter gaussian iir movingaverage

SessionVWAP Bimonthly/Quarterly/Annual (amaNMonthlyVWAP)

Version 2.0 August 11, 2017

The N-Monthly VWAP is the volume-weighted average price (VWAP) of a security for the selected N-month period. The VWAP gives a fair reflection of the market conditions throughout the selected period and is one of the most popular benchmarks used by large traders.

The N-Monthly VWAP can be set to calculate for the entireperiod or it can be set to calculate for custom hours such as the regular session only. The VWAP further comes with volume-weighted standard deviation bands or quarter range bands. Although the VWAP uses volume information, it is best set to �Calculate� = �On price change�. It is not necessary to recalculate it with each incoming tick.

Trading hours template: The trading hours template should be set to <instrument settings> or any other trading hours template that reflects the contractual trading hours of the instrument.

Full_Session: The VWAP will be calculated for the full session as selected per trading hours template.

Custom_Hours: You may select custom hours for calculating the VWAP in different time zones.

Standard_Deviation: The volatility bands are calculated as a selectable multiple of the standard deviation, where the standard deviation is calculated for the selected session and week.

Quarter_Range: The volatility bands are calculated as a selectable multiple of the quarter range for the current month.

Accuracy: The indicator calculates both VWAP and volatility bands from the primary bars shown on the chart. All data points of each bar are used for the calculation in order to obtain the best possible result. However, accuracy also depends on the chart resolution. Accuracy increases as trading volume accumulates.

Details: SessionVWAP Bimonthly/Quarterly/Annual (amaNMonthlyVWAP)

September 5th, 2017
Size: 10.14 KB
Downloaded: 1093 times

Keywords: annual bimonthly monthly quarterly quarterrange semiannual session standarddeviation volatility volume volumeweighted vwap

SessionVWAP Monthly (amaCurrentMonthVWAP)

Version 2.0 August 11, 2017

The Current Month VWAP is the volume-weighted average price (VWAP) of a security for the current month. The VWAP gives a fair reflection of the market conditions throughout the trading month and is one of the most popular benchmarks used by large traders.

The Current Month VWAP can be set to calculate for the entire trading month or it can be set to calculate for custom hours such as the regular session only. The VWAP further comes with volume-weighted standard deviation bands or quarter range bands. Although the VWAP uses volume information, it is best set to �Calculate� = �On price change�. It is not necessary to recalculate it with each incoming tick.

Trading hours template: The trading hours template should be set to <instrument settings> or any other trading hours template that reflects the contractual trading hours of the instrument.

Full_Session: The VWAP will be calculated for the full session as selected per trading hours template.

Custom_Hours: You may select custom hours for calculating the VWAP in different time zones.

Standard_Deviation: The volatility bands are calculated as a selectable multiple of the standard deviation, where the standard deviation is calculated for the selected session and week.

Quarter_Range: The volatility bands are calculated as a selectable multiple of the quarter range for the current month.

Accuracy: The indicator calculates both VWAP and volatility bands from the primary bars shown on the chart. All data points of each bar are used for the calculation in order to obtain the best possible result. However, accuracy also depends on the chart resolution. Accuracy increases as trading volume accumulates.

Details: SessionVWAP Monthly (amaCurrentMonthVWAP)

September 5th, 2017
Size: 9.93 KB
Downloaded: 1048 times

Keywords: monthly quarterrange session standarddeviation volatility volume volumeweighted vwap

SessionVWAP Weekly (amaCurrentWeekVWAP)

Version 2.0 August 11, 2017

The Current Week VWAP is the volume-weighted average price (VWAP) of a security for the current week. The VWAP gives a fair reflection of the market conditions throughout the trading week and is one of the most popular benchmarks used by large traders.

The Current Week VWAP can be set to calculate for the entire trading week or it can be set to calculate for custom hours such as the regular session only. The VWAP further comes with volume-weighted standard deviation bands or quarter range bands. Although the VWAP uses volume information, it is best set to �Calculate� = �On price change�. It is not necessary to recalculate it with each incoming tick.

Trading hours template: The trading hours template should be set to <instrument settings> or any other trading hours template that reflects the contractual trading hours of the instrument.

Full_Session: The VWAP will be calculated for the full session as selected per trading hours template.

Custom_Hours: You may select custom hours for calculating the VWAP in different time zones.

Standard_Deviation: The volatility bands are calculated as a selectable multiple of the standard deviation, where the standard deviation is calculated for the selected session and week.

Quarter_Range: The volatility bands are calculated as a selectable multiple of the quarter range for the current week.

Accuracy: The indicator calculates both VWAP and volatility bands from the primary bars shown on the chart. All data points of each bar are used for the calculation in order to obtain the best possible result. However, accuracy also depends on the chart resolution. Accuracy increases as trading volume accumulates.

Details: SessionVWAP Weekly (amaCurrentWeekVWAP)

September 4th, 2017
Size: 9.89 KB
Downloaded: 1317 times

Keywords: session standarddeviation volatility volume volumeweighted vwap weekly

SessionVWAP Daily (amaCurrentDayVWAP)

Version 2.5 October 27, 2019

The Current Day VWAP is the volume-weighted average price (VWAP) of a security for the current day�s trading session. The VWAP gives a fair reflection of the market conditions throughout the trading day and is probably the most popular benchmark used by large traders.

The Current Day VWAP can be set to calculate for the entire trading day or it can be set to calculate for custom hours such as the regular session only. The VWAP further comes with volume-weighted standard deviation bands or quarter range bands. Although the VWAP uses volume information, it is best set to �Calculate� = �On price change�. It is not necessary to recalculate it with each incoming tick.

Trading hours template: The trading hours template should be set to <instrument settings> or any other trading hours template that reflects the contractual trading hours of the instrument.

Full_Session: The VWAP will be calculated for the full session as selected per trading hours template.

Custom_Hours: You may select custom hours for calculating the VWAP in different time zones.

Standard_Deviation: The volatility bands are calculated as a selectable multiple of the standard deviation, where the standard deviation is calculated for the selected session.

Quarter_Range: The volatility bands are calculated as a selectable multiple of the quarter range for the current session.

Accuracy: The indicator calculates both VWAP and volatility bands from the primary bars shown on the chart. All data points of each bar are used for the calculation in order to obtain the best possible result. However, accuracy also depends on the chart resolution. Accuracy increases as trading volume accumulates. Therefore it is recommended to select an early anchor point and only use VWAP and volatility bands once they have stabilized.

Details: SessionVWAP Daily (amaCurrentDayVWAP)

September 4th, 2017
Size: 9.72 KB
Downloaded: 3213 times

Keywords: quarterrange session standarddeviation volatility volume volumeweighted vwap

Holt EMA (amaHoltEMA)

Version 1.0 March 6, 2017

The Holt EMA is a trend corrected exponential moving average based on a double exponential smoothing model.

Holt�s paper, �Forecasting Seasonals and Trends by Exponentially Weighted Moving Averages� was published in 1957 in O.N.R. Research Memorandum 52, Carnegie Institute of Technology.

The tools developed by Holt & Winters are mainly used for forecasting time series.

Details: Holt EMA (amaHoltEMA)

September 4th, 2017
Size: 2.56 KB
Downloaded: 347 times

Keywords: ema exponentialsmoothing forecast holtema movingaverage smoothing

Double Weighted Moving Average (amaDWMA)

Version 1.0 March 6, 2017

The Double Exponential Moving Average (DEMA) was first presented by Patrick Mulloy in "Stocks & Commodities" in 1994. It attempts to offer a smoothed average with less lag than a straight exponential moving average.

The Double Weighted Moving Average (DWMA) replicates the DEMA formula, applying it to the WMA (weighted moving average) instead of the EMA.

Details: Double Weighted Moving Average (amaDWMA)

September 4th, 2017
Size: 3.89 KB
Downloaded: 253 times

Keywords: dema dwma exponential movingaverage weighted

Exponential Hull Moving Average (amaEHMA)

Version 1.1 July 30, 2017

The Hull Moving Average (HMA) was developed by Alan Hull and is mainly used to identify the current market trend. The HMA is composed of three weighted moving averages (WMA).

The Exponential Hull Moving Average (EHMA) has those weighted moving averages replaced with exponential moving averages.

The Exponential Hull Moving Average exhibits an excellent balance between smoothing and lag (also see "Moving Averages for Financial Data Smoothing" by Aistys Raudys, Edmundas Malčius, and Vaidotas Lenčiauskas � Vilnius University, Faculty of Mathematics and Informatics)

Details: Exponential Hull Moving Average (amaEHMA)

September 4th, 2017
Size: 2.48 KB
Downloaded: 567 times

Keywords: ehma exponential hma hull movingaverage

Relative Ranges (amaRelativeRanges)

Version 1.1 July 21, 2017

Only to be used with minute or daily charts.

The Relative Ranges indicator measures the range of a minute bar or a daily bar against the average range for the same time of the day over the preceding n days. The indicator comes with two different options to calculate the relative range:

All_Days: Today's ranges are compared to the average ranges of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper trading hours templates which match the trading day of the instrument traded. Trading hours templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's ranges are compared to the average range calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Relative Ranges: The relative ranges are shown as a percentage of the average volume calculated over the reference period.

Cumulated ratio: Compares the cumulated ranges of the current day to the average ranges of the selected reference period.

Holidays: Holidays as selected via the indicator dialogue box may be excluded from all calculations.

Default settings: Relative range bars between 80% and 120% of the normal range are shown as white bars. Higher relative range bars are shown as blue bars, lower relative range bars are shown as red bars.

Details: Relative Ranges (amaRelativeRanges)

September 4th, 2017
Size: 12.43 KB
Downloaded: 590 times

Keywords: cumulated range relativeranges

Relative Volume (amaRelativeVolume)

Version 1.1 July 21, 2017

Only to be used with minute or daily charts.

The Relative Volume indicator measures the volume of a minute bar or a daily bar against the average volume for the same time of the day over the preceding n days. The indicator comes with two different options to calculate the relative volume:

All_Days: Today's volume is compared to the average volume of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper trading hours templates which match the trading day of the instrument traded. Trading hours templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's volume is compared to the average volume calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Relative Volume: The relative volume is shown as a percentage of the average volume calculated over the reference period.

Cumulated ratio: Compares the cumulated volume of the current day to the average cumulated volume of the selected reference period.

Holidays: Holidays as selected via the indicator dialogue box may be excluded from all calculations.

Default settings: Relative volume bars between 80% and 120% of the normal volume are shown as white bars. Higher relative volume bars are shown as blue bars, lower relative volume bars are shown as red bars.

Details: Relative Volume (amaRelativeVolume)

September 4th, 2017
Size: 11.32 KB
Downloaded: 1140 times

Keywords: cumulated relativevolume volume

Market Replay CL 09-17 (NT8)

NT 8 Market Replay data for CL

Contract: CL 09-17

Download instructions:

dowload and unzip file in NT 8 replay folder Documents\NinjaTrader 8\db\replay
The file will create a folder with the relevant front month and a series of .nrd files inside (one per day)

Make sure to use the "extract here" function as shown, and not the "Extract to" function, to avoid the creation of a folder within a folder.

Note: this is Market Replay data for NinjaTrader 8. The format is different from NT7.

Also note, these downloads are likely not to include Sundays data.

Details: Market Replay CL 09-17 (NT8)

August 21st, 2017
Size: 262.01 MB
Downloaded: 98 times

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