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Adaptive_CCI

The Adaptive_CCI was developed by Mike Winfrey and Gumphrie what seems like a very long time ago for NT 6.0.
As of 9/16/2011, this version runs on NT 7 and was cleaned up a bit. Still unused code out there but left it for posterity reasons.

There are 2 components of this indicator...
1. Use of John Ehlers code to measure the market cycles and calculate an adaptive period OR set a static period.
2. Plot alternate CCIs in addition to the primary CCI.

The alternate CCIs is kind of neat I think. It was originally designed to show longer timeframe CCIs when looking at a faster timeframe chart. For example, at the time I created this, I was using a 5 minute chart but wanted to use a 1 minute chart to trade from. So, I put up a 1 minute chart and set the Alternate CCI parameters to plot 4 CCIs of 2, 3, 4, and 5 minutes. By using the 1 minute chart, can see the 2, 3, 4, and 5 minute intrabar values. That's really all it amounts to.

Works with all chart types but there are obviously some chart types where there is no direct correlation between the slower and faster periods.

Category The Elite Circle

Details: Adaptive_CCI
Category: The Elite Circle

September 16th, 2011
Size: 13.43 KB
Downloaded: 845 times

atgPairsCorrelation

atgPairsCorrelation - NinjaTrader correlation indicator

Exported using NT version 7.0.1000.29.

Change Log
2015-09-08 - Added support to automatically label the plots.
2015-09-14 - Speed enhancements. Reduced 5 loops through the correlation period to 1 loop.

The atgPairsCorrelation indicator plots the correlated logarithmic returns of two data series.

Thanks to @Oysteryx for helping me make this indicator.

The inputs to the indicator are standard price series data. The indicator internally generates the logarithmic returns and calculates and plots the correlation between them. The value ranges between -1 and +1. A positive value means that the two data series are correlated ( moving together ) while a negative value means they're moving in opposite directions. The magnitude of the value expresses the fidelity of the correlation. A value of 1 is achieved if you compare an instrument with itself.

In addition to comparing pairs of data series, special functionality is included that allows you to compare with an interest rate spread.

A template to load the indicator as displayed in the screen shot is available on the support thread. The template displays the correlations of the following instruments:

ES -> ZN/ZT spread
ES -> 6J
ES -> CL
ES -> GC
ES -> ZB
ES -> 6A
ES -> 6E

It�s assumed that the primary data series loaded on the chart is one of the two data series to be correlated. The chart series is always compared with one other series that the indicator loads internally. You may of course use any data series you want on the chart and in the settings for the indicator to run correlation studies on pairs of interest to you.

To use the template (see support thread ) load it on a chart of the ES with at least 365 days of daily data. This template loads 7 instances of the atgPairsCorrelation into a single chart panel so that their plots are overlaid.

Here are some basic property settings to configure the indicator to compare the ES to the 6J contract ( USDJPY futures contract ):

You must maintain the property settings for each instance so that the contract months are current.

Spreads
For running a correlation on an interest rate spread you must enter the two instruments involved in the spread into SpreadLeg1 and SpreadLeg2. In addition you must enter weights for each leg of the spread. the CME publishes these weights here:

https://www.cmegroup.com/trading/interest-rates/files/ics-ratios-2015-12.pdf

They are frequently changed so be sure to check it regularly. Here�s an example of how to configure an interest rate spread:

The SecondInstrument parameter ( set to ES 09-15 ) is ignored if SpreadLeg1 and SpreadLeg2 are populated.

The CME weights found on the aforementioned web page for each leg are specified in SpreadLeg1Weight and SpreadLeg2Weight.

Known issues:

Inefficient correlation algorithm
Chart stays on top of the z-order.

Category The Elite Circle

Details: atgPairsCorrelation
Category: The Elite Circle

September 8th, 2015
Size: 3.71 KB
Downloaded: 1023 times

Congress in Session

This Tradestation Show Me tells you days that Congress is in session. Contains data from Dec 1997 - Oct 26, 2012.

You may find this useful for the stock market, since there have been a few studies that show correlation between when Congress is in session and stock market performance (Congress in session tends to mean stocks go down).

Version 1.0

Category TradeStation (hidden)

Details: Congress in Session
Category: TradeStation (hidden)

October 28th, 2012
Size: 222.72 KB
Downloaded: 117 times

CORREL - Correlation Function

This is the initial release of a NinjaTrader CORREL factor function. This function is similar to Excel's CORREL function but it allows you to find the correlation factor between two indicators as a function of time over a defined period.

Join in the Discussion Forum for more information and to share your use:
https://nexusfi.com/elite-circle/30841-correlation-function.html

Version 1: Initial release

Category NinjaTrader 7 Indicators

Details: CORREL - Correlation Function
Category: NinjaTrader 7 Indicators

February 26th, 2014
Size: 4.18 KB
Downloaded: 206 times

jhlLinRegR2

R-Squared, Coefficient of Determination, the square of the Correlation Coefficient. This should return the same values as the standard supplied RSquared. Unfortunately both versions always iterate, so should probably be used with CalculateOnBarClose == true.
I believe my version to be slightly more CPU efficient, as it does not require a square root calculation used in the distribution version.
Version 1.0.

Category NinjaTrader 7 Indicators

Details: jhlLinRegR2
Category: NinjaTrader 7 Indicators

July 3rd, 2010
Size: 6.78 KB
Downloaded: 164 times

jhlPearsonCorr

Returns the Pearson product-moment correlation coefficient of the input series. This requires iteration, so should probably be used with CalculateOnBarClose == true.

Version 2 - Solves a /0 error, returns 0 if price is unchanged for all of the bars in the calculation.

Category NinjaTrader 7 Indicators

Details: jhlPearsonCorr
Category: NinjaTrader 7 Indicators

July 4th, 2010
Size: 2.52 KB
Downloaded: 211 times

jhlSpearman

Spearman Rank Correlation, without tie correction.

Version 1

Category NinjaTrader 7 Indicators

Details: jhlSpearman
Category: NinjaTrader 7 Indicators

February 15th, 2011
Size: 3.11 KB
Downloaded: 194 times

jhlSpearmanTC

Spearman Rank Correlation, with tie correction

Version 2:
Corrected tie correction algorithm

Note: It would be great if a math or statistics expert could verify this, I'm neither.

Category NinjaTrader 7 Indicators

Details: jhlSpearmanTC
Category: NinjaTrader 7 Indicators

February 16th, 2011
Size: 3.19 KB
Downloaded: 304 times

NWT DOW - Automatically display the DOW (Day of the week) on the chart

Hi All,

At the end of the day, I print out the days chart and file it away. I was manually writing the day of the week on the chart, to later see if there was correlation in the DOW price action.
So to make life easier I thought I might as well print this on the chart automatically as each day starts. So on the first tick of the day, it prints the DOW to the left of the first bar.
The drawing of the DOW is actually in two parts.
1. Is the calculation of the DOW and placement into a string.
2. The actual printing of the string using a function.called "printtext"
The PrintText function has input parameters for the Day,time,position,text,size,color AND printing of the text in either a horizontal or vertical format.

The printtext function could be used for a multiple of things ie vertical printing text directly above a bar ie "Inside Bar" or whatever.

Neil.

Category MultiCharts

Details: NWT DOW - Automatically display the DOW (Day of the week) on the chart
Category: MultiCharts

July 29th, 2011
Size: 12.04 KB
Downloaded: 199 times

Spread6

Spread3 Price of 3 Instruments - For NinjaTrader 7 & higher

[Spread3] Calculates price of synthetic combination of 3 instruments Parameters are symbol of second & third instruments, and quantities of all instruments (positive for long, negative for short). PointValues from the instrument manager are optionally used as multipliers.

The primary chart instrument (BarsInProgress == 0) is the "clock" to which the other instruments are synchronized. You should make sure the most active instrument is the one selected as the primary instrument. The output of this indicator changes only when the OnBarUpdate is called for the primary instrument.

This indicator can be extended to 4 or more instruments. See my "Correlation" indicator for examples of how to do synchronized calculations with lookbacks
Kevin Doren 9/26/2010

2010.09.23 Spread6 Trader.Jon added support for N4 =4 decimal places && add to a total 6 supported symbols && reformated properties structures for readability
2010.09.27 updated to include changes from the new release of Spread3 .. exported as Spread6 from NT7b20

Category NinjaTrader 7 Indicators

Details: Spread6
Category: NinjaTrader 7 Indicators

September 27th, 2010
Size: 10.19 KB
Downloaded: 663 times