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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

atgPairsDiversion

TradeStation ShowMe and PaintBar studies for identifying and quantifying divergences between pairs of data series.

I wrote these studies with the intention of applying them to the S&P500 and the VIX, however they may be applied to any pair of data series.

To use, load a minute chart window with the SPY as data1 and the VIXY as data2. Make sure both series have the same bar settings ( ie, 5 minute and 5 minute ).

The paint bar study has a slightly weakened algorithm in order to give the viewer a �heads up� that the show me indicator may signal.

The example chart is 5 minute from 9/8/2015

Interpretation

A green dot under a bar is a long signal. It means the VIX is falling at a relatively greater quantity than the S&P is rising.
A red dot above bar is a short signal. It means the VIX is rising at a relatively greater quantity than the S&P is falling.

The studies work as follows:

The data series for data2 ( the VIX in our example ) is inverted by calculating the reciprocal of the close ( 1/close). This effectively flips the chart upside down.
The natural logarithmic returns for data1 and data2 are calculated and stored in a pair of data series for each.
The difference between the returns series are run through a pair of RSI oscillators in order to discover progressive divergences between them.

Category The Elite Circle

Details: atgPairsDiversion
Category: The Elite Circle

September 13th, 2015
Size: 19.27 KB
Downloaded: 827 times

ATR Extension Rev.1

This is an Average True Range Extension study with two inputs, one for a short length and another for a longer length based on the daily ATR values. It plots the extensions from the midpoint of they day price and can be overlapped on the day or only plotted on the right extension area of the chart.

*Rev 1: Fixed the ATR[#] label so it changes with the parameter change for the length.

Category ThinkOrSwim

Details: ATR Extension Rev.1
Category: ThinkOrSwim

October 3rd, 2015
Size: 2.75 KB
Downloaded: 325 times

ATR in Tick and USD

This is a fork from Lizard's amaATR's 1.1 version and when installed will also be put into the Lizard folder as "atrTick". Essentially, I created this because ATR is such an important concept and the way the current indicators are built is to give a value based on points. This makes "at a glance" analysis hard because you need to do some arithmetic.

This indicator will display the ATR in either ticks or dollars and will make your chart or Market Analyzer cleaner as comparisons between different instruments makes more sense. In the 15M screenshot provided, it looks like /YM moves the most on the default ATR, but because of it's point value it actually moves less than the /ES and /NQ in terms of dollar value. Another great example is /ZB. It doesn't move many ticks, but it's dollar amount is comparable to the /ES

V 1.1
Fixed the archive and a rounding error for the dollar value, so you should get the exact dollar amount relative to ticks.

Category NinjaTrader 8 Indicators and More

Details: ATR in Tick and USD
Category: NinjaTrader 8 Indicators and More

February 23rd, 2020
Size: 5.64 KB
Downloaded: 735 times

ATR Stop Strategy (EA)

This strategy automatically creates a stop based on the ATR (Average True Range) indicator. The input in the strategy allows you to select the ATR period and the (numatrs) number of ATRs the stop is placed from the open price.

Category FXCM Strategy Trader (hidden)

Details: ATR Stop Strategy (EA)
Category: FXCM Strategy Trader (hidden)

December 17th, 2010
Size: 2.25 KB
Downloaded: 116 times

Keywords: atr stop

ATRback

Hello Traders, there are certain time slots during the day where the volatility increases. This could be due to news releases at certain times or institutional adjustments after the 'morning meetings'. This indicator is a modification of the ATR indicator that makes the average of the ATR 1 (range of one candle) and allows you to set how many candles back to evaluate. For simplicity the candles in the pic are set to 60minutes and the 4 instances of ATRback are set to look back 23, 46, 69, and 92 candles ( 1,2,3,4 trade days back) so you can spot the time slots where the range of the 1 hour candles tend to increase. Another application might be to set the lookback in intervals of a week, so you would be looking at that day of the week 1,2,3,4,weeks back.

This indicator has worked on several instances of NT 8 and several bar types. It was exported using NT8 v14.2

Let me know how it works for you...

Trade Well...
Bob

Category NinjaTrader 8 Indicators and More

Details: ATRback
Category: NinjaTrader 8 Indicators and More

July 4th, 2018
Size: 1.81 KB
Downloaded: 276 times

ATRTarget V1.31

Changes from previous version:
Optimize code
Add additional MAs

The indicator creates target bands as an offset around selectable MA, for estimation of different price targets.

These bands are based on ATR which reflects instrument volatility.

I add the following features to enable maximum flexibility:

Three different target bands.

For each target different MA can be selected, different target percent and visual style.

Updated September 16, 2013 version 1.31

Release February 27, 2012 version 1.1

Exported using NT version 7.0.1000.15

Category The Elite Circle

Details: ATRTarget V1.31
Category: The Elite Circle

September 16th, 2013
Size: 37.87 KB
Downloaded: 2863 times

ATRTicks

Modified version of the standard ATR indicator to display in ticks.
Installs in "SeeT" folder.

Category NinjaTrader 8 Indicators and More

Details: ATRTicks
Category: NinjaTrader 8 Indicators and More

July 23rd, 2020
Size: 1.64 KB
Downloaded: 270 times

Auto Intraday Fib Tool

I had this originally built for NT7. I recently had it updated for NT8.

It starts plotting ETH Fibs at the start of the Overnight Trading Session. It can be used on any chart type.

It starts plotting a second set of Fibs at the start of the US Session (RTH).

It also plots the HOD and LOD.

Enjoy!

Category NinjaTrader 8 Indicators and More

Details: Auto Intraday Fib Tool
Category: NinjaTrader 8 Indicators and More

March 29th, 2021
Size: 2.36 KB
Downloaded: 485 times

Auto Trend Line Detection

I tripped over this indicator and it's from Ninja Trader Support Forum. For me, it's a great learning tool before I can draw trend lines myself .. smile ..

Category NinjaTrader 6.5 Indicators

Details: Auto Trend Line Detection
Category: NinjaTrader 6.5 Indicators

December 5th, 2010
Size: 5.99 KB
Downloaded: 248 times

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