February 18th, 2016
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Downloaded: 485 times
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Sim22
This is a co-integration test that uses the ADF method. It takes daily time frame exports from multicharts, it requires 2 instruments that have been exported over the same time frame. The threshold here for significance is <5% or 95% confidence in co integration/ mean reversion.
It provides you with the following output
Date range
Assumed hedge ratio Beta
ADF p-value
is your pairs mean reverting in text.
March 15th, 2013
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treydog999
Optimization Type:
RSquared is the coefficient of determination.
The optimization performs simple linear regression of the equity curve by the least squares method to determine slope of a linear line. This linear regression line is then correlated with the equity curve by trade # to calculate r-squared. The closer to 1 the better the fit. I have wrote the code to only return result with positive net income.
I have pulled the following definition from Investopedia which provides a very good explanation.
What Does Coefficient of Determination Mean?
A measure used in statistical model analysis to assess how well a model explains and predicts future outcomes. It is indicative of the level of explained variability in the model. The coefficient, also commonly known as R-square, is used as a guideline to measure the accuracy of the model.
Investopedia explains Coefficient of Determination
One use of the coefficient of determination is to test the goodness of fit of the model. It is expressed as a value between zero and one. A value of one indicates a perfect fit, and therefore, a very reliable model for future forecasts. A value of zero, on the other hand, would indicate that the model fails to accurately model the dataset.
Copy file to directory ".../Ninja Trader 7/bin/custom/type/" and open up any indicator for editing and recompile. This optimization type will then show up in strategy analyzer.
Revision 0.12 - Uploaded 11/10/2011: Fixed error in calculation
November 9th, 2011
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Downloaded: 202 times
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eleven
This Indicator is the Raff Regression Channel or RRC. Some credit needs to be given to FatTails as I used his regression channel that painted bars as a starting point. You can find his code here:
Plots the MACD, RSI, or Stochastics and automatically draws a line representing the current trend and generates an alert if the trend line is broken. Based on the Automatic Trend Line Detection indicator by NinjaTrader_Ray.
I have the latest version before this awesome tool was deleted and the site was taken down.
Sad to see, i really like the CTRL and Alt function to be able to see SL and Targets preview before i took the trade.
I wish there was a way to convert this to NT8, i really miss this tool.
It has some bugs, like the built in drawing calc tool, it calcs wrong of 1 Tick, not a big deal but still.
Tried it again now and it doesn't seem to work as well as it did in earlier versions of NT7
IF someone could get a hold of the source code to this that would be a killer to convert for NT8, would really love to see that happen. IF SO PM RIGHT AWAY
This indicator allows to detect narrow range bars, inside bars, wide range bars, outside bars and triangles. The bar types follow the terminology presented by Toby Crabel in his book "Day Trading With Short Term Price Patterns and Opening Range Breakout". The triangle is a pattern made popular by Linda Bradford Raschke, also see here: https://nexusfi.com/ninjatrader/27847-linda-bradford-raschke-three-bar-triangle.html
These are the patterns that can be identified with the indicator with default settings:
Narrow range bar (NR7): a bar with a smaller range than the prior 6 bars
Narrow range inside bar (IB4): an inside bar with a smaller range than the prior 3 bars
Narrow range inside bar (IB7): an inside bar with a smaller range than the prior 6 bars
Double inside bar (DI4): an inside bar that is preceded by an inside bar and which has a smaller range than the prededing 4 bars
Wide range bar (WR7): a bar with a larger range than the prior 6 bars
Wide range outside bar (OB4): an outside bar with a larger range than the prior 3 bars
Wide range outside bar (OB7): an outside bar with a larger range than the prior 6 bars
Three bar triangle (LBR): a bar which lies inside the combined range of the prior two bars
Each of the patterns above can be selected an unseleceted. It is not recommended to display all the patterns at the same time on an intraday chart. The different patterns can be shown as text, diamonds or paintbars.
Simple inside bars: When the parameter "lookback inside bars" is set to 2, the indicator will detect all inside and double inside bars without taking into account their range size relative to preceding bars.
Simple outside bars: When the parameter "Lookback outside bars" is set to 2, the indicator will detect all outside bars.
The indicator comes with sound files which are part of the zipped file. The sound files can be extracted and copied to the directory C:\program files (x86)\NinjaTrader 7\sounds. The sounds will work with COBC=true and COBC= false. With COBC= false, wide range and outside bars are detected intra-bar, while narrow range, inside bars and triangles are detected after the bar has closed.
February 26th, 2016 06:46 AM Minneapolis This is a great visualization. I can see the true movements without daily noise. Bolliger Bands just got better for this
guy
February 23rd, 2016 11:40 AM Lady I love you! Thanks! Was just complainign that the "manditory" update to 8 made me leave my favorite Multi Period bars be