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Moving Median (amaMovingMedian) 5 *
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.


Category NinjaTrader 8 Indicators and More 
 
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Details: Moving Median (amaMovingMedian)
Category: NinjaTrader 8 Indicators and More 


October 20th, 2017
Size: 2.47 KB
Downloaded: 434 times

Keywords: median moving movingmedian statistics
Market Stats indicator V2. JPerl Tools for NT7. VWAP Shows historical PVP with histogram, and VWAP. Price MODE for FX. 4 *
This is a tool for use with the JPerl thread from a while ago on Traders Laboratory.

This is an update from these old versions THIS, and then THIS. All of this was done from scratch recently so there may be errors?

To find out more about the method or to see the videos, look HERE.

This indicator includes a Peak-Volume-Price(PVP) and its volume histogram. Also shown is the historical movement of the PVP. The PvP has several calculations for the 'Typical Price.' Which includes Close, HLC/3, OHLC/4, HL/2... AND the ability to use the volume counted, and evenly distributed amongst each price on that bar, this option does use more CPU cycles.

The Volume-Weighted-Average-Price(VWAP) is also there. It has the same 'typical price' calcs as the above, but w/o the ability of attaching evenly distributed volume amongst each price.

PRICE MODE(FOR FX): With both of these tools, the traditional volume calculations are there. But also has the ability to substitute in the price bars metrics, INSTEAD of the traditional volume. This might be useful for trading FX, as the typical volume tools look VERY similar to my way of using the bar's metrics instead of volume. To access the Price-Mode, set "Use Volume=false" in setup screen.

You can modify the profile to be drawn with rectangles which looks smoother, or with lines. The color is customizeable as is the amount of each session occupied by it, a percentage width option. The drawing of the profile does eat some CPU cycles, so if not necessary it can be disabled via "Show Volume Profile."

Updates to come as I am interested in studying this data in tabular form, so I'll post updates when I think about it.


Category NinjaTrader 7 Indicators 
 
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Moving Mean, Median and Mode - TPO & VWTPO 5 *
Exported using NT Version 7.0.1000.14

Moving averages are widely used as tools in technical analysis. They come in all variations and colors. The simple moving average can be considered as a moving mean of the close values of a series of price data. Many other indicators are weighted moving averages, which are also applied to the close values.

However, there are other measures for statistical distributions, which are usually neglected. This includes the median and the mode.

Also most moving averages are only calculated from the close values, where as open, high and low are neglected. Why ignore information which is already contained in the price data?

This package includes a TPO mean, a TPO median, a TPO mode (calculated from high and low points of price) and a VWTPO mean, a VWTPO median and a VWTPO mode (calculated from both price and volume data). TPO and VWTPO indicators do not use the open value and the close value, but both assume that the volume is evenly distributed over the range of a price bar. Although this information is mostly incorrect, it is still a better approach when compared to the traditional solution of calculating indicators exclusively from the close values.

Here is a description of the six indicators:

Moving Mean (TPO):

This indicator can be considered as a range weighted moving average that uses the bar center (high + low)/2 as input series. Usually wide range bars have a higher volume than narrow range bars. This makes sense giving them a higher weight. When a breakout occurs, the MovingMean (TPO) will adapt faster than a traditional SMA. Compared to a SMA the lag is reduced when volatility increases, but it is lagging more when volatility decreases.

Moving Mean (VWTPO):

This indicator is identical to the VWMA, when the bar center (high + low)/2 is used as input series. It is pretty similar to the TPO mean, but uses real volume instead of approximating it via the range. The properties of this indicator are similar to the TPO mean, but it should be slightly more accurate.

Moving Median (TPO):

A statistical median calculated from all data points of all bars contained within the lookback period. Compared to a standard median calculated from the closes (also see here: ), it should give a better approximation of the statistical median of the entire price volume distribution. The median is the most stable of the three statistical measures and probably the most representative as well.

Moving Median (VWTPO):

This indicator is similar to the TPO median, but should give an even better approximation of the the statistical median of the price volume distribution.

Moving Mode (TPO):

The indicator shows the price with the highest occurence over the lookback period of the indicator. As the price volume distribution of the single price bars over the lookback period is unknown, there can be a significant error in any estimation. Unlike the median, the mode is not self-correcting in a way that errors cancel out. It should therefore be used with prudence. However, this indicator will still yield far better results than the Pearson formula, which should only be applied to unimodal distributions.

Moving Mode (VWTPO):

The indicator shows a better accuracy than the TPO mode, but still suffers from its inherent instability.


Category NinjaTrader 7 Indicators 
 
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Details: Moving Mean, Median and Mode - TPO & VWTPO
Category: NinjaTrader 7 Indicators 


August 6th, 2013
Size: 17.15 KB
Downloaded: 1308 times

Keywords: mean median mode statistics tpo vwtpo
Print Instrument Information 5 *
This in a NinjaTrader strategy that I use to output information and charts about an instrument, including:
-Range statistics (Including ON, RTH, and IB)
-Harmonic Rotation data
-Day Type data
-SQN Market Type data

When you run this strategy, it will output an Excel Spreadsheet to the directory you specify in the parameters.

There are multiple requirements to run this strategy. This makes use of Microsoft's Interop functionality to generate an Excel spreadsheet. Therefore you MUST have Microsoft Interop installed and add a reference to the Microsoft.Office.Interop.Excell.dll in NinjaTrader. You can learn more about how to do this here. And a big thank you to DionysusToast for his contribution.


Category The Elite Circle 
 
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Details: Print Instrument Information
Category: The Elite Circle 


July 10th, 2013
Size: 30.03 KB
Downloaded: 483 times

Keywords: day excel market ninjatrader range sqn type statistics interop harmonic rotation
 


 
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