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SessionPivots V43

Exported using NT Version 7.0.1000.26

Indicators will only run on NT 7.0.1000.5 or later.

Family of 6 indicators to display daily, weekly and monthly pivots and OHL of current day, current week and current month. The package includes

- anaPivotsDailyV43
- anaPivotsWeeklyV43
- anaPivotsMonthlyV43

Options for the Pivot indicators: Floor pivots, pivot range, midpivots, floor pivots wide, Jackson Zones, Fibonacci pivots, Camarilla pivots, VWAP of the prior session

- anaCurrentDayOHLV43
- anaCurrentWeekOHLV43
- anaCurrentMonthOHLV43

Options for the OHL indicators: Open, high and low of the current period, Fibonacci retracement levels calculated from current high and low, noise bands, target bands based on the average daily/weekly/monthly range.

Chart settings: Please set the right side margin under chart properties to 200 to allow for correct display of the labels. The colors are adapted to dark chart backgrounds.

Session templates: The indicators require the use of a correct session template for the instrument shown on the chart. With an ETH template only ETH pivots, ETH OHL and ETH noise and target bands can be displayed. For displaying RTH pivots, it is recommend to use a multi-session template that divides the day into the night session, regular session and after-session.

Use of daily data on intraday charts: The 3 pivot indicators are designed to load daily data, if the option for "Calculate from session" is set to �Daily Bars�. This the data used by the indicator:

"Calculate from session" = "DailyBars": Pivots are entirely calculated from daily data.
"Calculate from session" = "ETH" & "Settlement/Close" = "DailyBars": High and low are taken from the full intraday sessions. The close or settlement price is taken from daily data.
"Calculate from session" = "RTH" & "Settlement/Close" = "DailyBars": High and low are taken from the regular intraday sessions. The close or settlement price is taken from daily data.
"Calculate from session" = "ETH" & "Settlement/Close" = "Intraday Close": High and low are taken from the full intraday sessions. The close is the last price traded for the full session.
"Calculate from session" = "RTH" & "Settlement/Close" = "Intraday Close": High and low are taken from the regular intraday sessions. The close is the last price traded for the regular session.

Auto setting for the 3 pivot indicators: The Auto setting will preselect ETH for FOREX and all CME currency futures, but preselect RTH for all other instruments.

VWAP: The VWAP of the prior day is always calculated from intraday data. Depending on the chart resolution it can be a few ticks off the correct value.

Auto setting for the 3 OHL indicators: The Auto setting will preselect the third intraday-session as the regular session for FOREX & currency futures, but preselect the second intraday-session for all other instruments.

Noise Bands: The OHL indicators can be used to display noise bands. The noise is determined by averaging the smaller move Min (High � Open, Open � Low) over N1 & N2 days. The average values are displayed in a data table. The noise is added to and subtracted from the current open.

Target Bands: The OHL indicators can be used to display target bands. The targets can be determined in two different ways: Either the average daily range over N1 & N2 days is added to the current low (high projection) or subtracted from the current high (low projection), or the daily expansion from the open Max(High � Open, Open � Low) is averaged over N1 & N2 days and added to and subtracted from the open. The average daily range or average daily expansion is shown in the data table.

GLOBEX holiday sessions with settlement next day: The indicators are preconfigured for Globex holiday sessions without settlement for trade date next day or later. These trade dates are President�s Day, Martin-Luther-King Day, Memorial Day, Independence Day, Labour Day and Thanksgiving. The indicators will display double day sessions for these days for all GLOBEX and NYMEX traded instruments.

Update Jan 23 2011: Globex Holiday Calendar for 2011. Holiday sessions will only be applied to Globex instruments. Price markers are now correctly formatted for US interest rate futures and FOREX.
Update May 17, 2011: New signature for GetNextBeginEnd() implemented.
Update May 24, 2011: Due to a bug, the new signature for GetNextBeginEnd() is only implemented for OnBarUpdate() but not for Plot() Override.
Update June 21, 2011: The indicator now works with half-pip FOREX feeds. Indicator dialogue box improved.
Update July 11, 2011: Indicator reshaped, small bug removed that affected weekly ETH pivots after a holiday that fell on a Monday.
Update July 20, 2011: Serialization of the plots changed.
Update December 12, 2011: Levels R5, S5 added. Some labels changed. Label size is now adjustable. Globex Holiday Calendar for 2012 added.
Update January 6, 2012: Holiday fields added for anaCurrentDayOHLV38
Update June 20, 2012: Shading added for Pivot Range and Jackson Zones
Update February 16, 2013: Indicators entirely redesigned. Holiday calendar added for 2013. The former SessionNoiseBands & Session Volatility Bands have now been integrated into the CurrentOHL indicators.
Update March 11, 2013: No added features, but 2 bugs removed that had affected the plots with specific settings.
Update March 13, 2013: Bug removed, RTH pivots did not work, when data table was unselected.
Update April 10, 2013: Plot modified for compatibility with charts built from multiple bar series
Update May 10, 2013: Regular close can now be displayed for the remaining hours of the trading day. Bug removed, which led to occasional false identification of the RTH session on charts built from ticks.
Update December 9, 2013: Holiday calendar added for 2014.
Update January 22, 2013: CurrentDayOHLV42 did not display pivots for prior days when set to RTH. Bug removed.
Update September 17, 2014: With indicator setting "RTH" current day's range is now displayed as 0 during the night session.
Update September 20, 2014: Minor update, data table for ADR/ADN now plots on top of the indicator plots. Indicator plots can now be accessed via SHIFT + mouse wheel to change the Z-Order of the indicator.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.
Update February 11, 2015: Minor update. Formatting of ATR/Noise improved for currency pairs with quote currency JPY.

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

https://nexusfi.com/elite-circle/25791-toolbox-2013-trading-session.html
https://nexusfi.com/elite-circle/3790-ninjatrader-7-toolbox-floor-pivots.html

Category NinjaTrader 7 Indicators

Details: SessionPivots V43
Category: NinjaTrader 7 Indicators

December 28th, 2014
Size: 79.16 KB
Downloaded: 18017 times

Keywords: camarilla dailyrange eth fibonacci floorpivots jackson midpivots monthly noise ohl open pivotrange pivots range rth session settlement stretch target vwap weekly

SessionVolatilityBands V38

Exported using NT Version 7.0.1000.7

This indicator is an old version and there will be no more maintenance. All the features have now been integrated with the SessionPivots indicator that can be downloaded here:

https://nexusfi.com/download/ninjatrader-7/indicators/371-download.html?view

The indicators that come with the SessionPivots package also allow to display weekly and monthly average ranges.

Indicator will only run on NT 7.0.1000.5 or later.

The indicator detects the Average Daily Ranges (ADR) for two selectable periods and uses them to calculate intraday targets, which are displayed as volatility bands. The upper target band is calculated by adding the average daily ranges for the two periods to the current session's low. The lower band is calculated by subtracting the average daily ranges from the current day's high.

All daily ranges and bands can be calculated and displayed for the full session or any intraday (RTH) session defined via the template. It is recommended to display both ETH and RTH volatility bands by applying the indicator to the chart twice with different settings.

The indicator also can display OHL and Dynamic Fib Lines for the current session.

Indicator Settings

Band Type: The bands will auto-adjust to the current day's high and low, until the expected daily range is exceeded for both of the lookback periods. In this case the bands will freeze and change color (Band Type "Freeze"), stop (Band Type "Stop") or further expand (Band Type "Expand", requires a second expansion target).

Default BandRange: The default setting uses 100% of the ADR of the selected period. Instead of using 100% you can select any other percentage to calculate the intraday target bands.

Expanded BandRange: This is required for the Band Type "Expand". The default setting uses 127% of the ADR of the selected period. Instead of using 127% you can select any other percentage to calculate the second level of the intraday target bands.

Include After-Session : If set to true, the volatility bands of an intraday session will be extended to the next session, the after-session, but not recalculated. Default value is "false".

Period(1) for the average daily range: This is the period used to calculate the shorter average daily range. Default value is 3 days, maximum selectable is 100 days.

Period(2) for the average daily range: This is period used to calcualte the longer average daily range. Default value is 10 days, maximum selectable is 100 days.

Session: Select between the full ETH and the RTH session. Default value is "ETH."

Session for RTH: Select the RTH session, for which you want to display the bands. For FOREX, you would select "First" for the Asian session, "Second" for the European session and "Third" for the US session, if you use a session template with 3 intraday sessions. For ES you would select "Second", if your session is divided into night and day session. Default value is "Second". This option only applies, if "RTH" has been selected under "Session". A hybrid setting selects the third intraday session for FOREX and currency futures, and the second intraday session for all other futures contracts. Only select it, if you use triple session templates (Asian, European, US) for FOREX and Currency Futures.

Show Current Open: Selects or unselects Current Open.

Show Dynamic Fib Lines: Selects or unselects intraday Fibonacci retracements. Fib retracements will only be shown if Show High/Low is set to true.

Show High/Low: Selects or unselects to show the current day's high and low.

Show Projection Bands: Selects or unselects projection bands.

Show Projection Labels: Selects or unselects projection band labels.

Show Range Data: Displays average daily ranges and current day's range for the selected session in the upper left or upper right corner of the chart.

The indicator now calculates average daily ranges without using range data from Globex holiday sessions.

Update Jan 23 2011: Globex Holiday Calendar for 2011. Holiday sessions will only be applied to Globex instruments. Price markers are now correctly formatted for US interest rate futures and FOREX. FOREX ranges are displayed in PIPS.
Update June 2, 2011: New signature for GetNextBeginEnd() implemented.
Update June 20, 2011: The indicator now works with half-pip FOREX feeds. Indicator dialogue box improved.
Update June 25, 2011: Band colors were not serialized and therefore did not keep the selected color, when saved as part of a template or workspace.
Update July 11, 2011: Different band types are available. Once the daily target range has been exceeded, bands will change color and can be frozen, further expanded or cut off.
Update July 18, 2011: Serialization of the plots changed.
Update September 11, 2011: Expanded bands did not display correctly on days when both upper and lower range targets were hit. Bug removed.
Update September 24, 2011: ChartControl checked for null, indicator can now be called by strategies.

Category NinjaTrader 7 Indicators

Details: SessionVolatilityBands V38
Category: NinjaTrader 7 Indicators

July 11th, 2011
Size: 13.43 KB
Downloaded: 3386 times

Keywords: dailyrange range session volatility