NexusFi: Find Your Edge


Home Menu

 


Quotes by TradingView
Go Back   >  Downloads >  Search  > 

Categories Help    






Search Results
Searching for entries matching Vwap bands, looking in title and description, keywords for any words
Found 122 matching entries

Sort by
Page 9 of 13 « First 78 91011 Last »

Entries
Regression Analysis 5 *
This indicator compares four types of regression (linear, quadratic, logarithmic and exponential) and chooses the one that best fits the data analyzed. Works on any period type. I paid to have coded.

DP_limiter = bar period
Endpos = x-axis adjustment
Multistddev = std dev bands


Category NinjaTrader 7 Indicators  		 
Suggest other entries I might like
Details: Regression Analysis
Category: NinjaTrader 7 Indicators 


January 17th, 2017
Size: 3.57 KB
Downloaded: 566 times
Regression Channel (amaRegressionChannel) 5 *
Version 1.1 September 9, 2018

The Regression Channel already comes as a NinjaTrader default indicator. However, the NinjaTrader default indicator comes with a few limitations, which are adressed by this indicator:

- The default indicator calculates the regression channel from the last bar loaded by OnBarUpdate(). When the chart scrolled back horizontally, the regression channel remains in its future position until it drops out of the chart.
- The default indicator does not allow for calculating the linear regression channel a few bars ago and then project the channel lines forward until the current bar.

This version of the indicator has the two issues addressed:

- The regression channel is calculated from the last bar shown on the chart and will adapt its position accordingly when you scoll back the chart horizontally.
- You may enter an offset and calculate the regression channel a few bars ago. The regression channel will then be extended until the last bar shown on the chart.

Repainting behavior: All regression channels - whether linear or polynomial - belong to the class of repainting indicators. All regression channels are retrofitted to the selected lookback period. The repainting can be easily observed with this indicator when scrolling horizontally. The indicator comes with an option to display the regression bands. The regression bands show the trace that the regression channel has painted on the chart without repainting any prior bars.

Public DataSeries: The indicator comes with four additional public DataSeries that can be accessed via the strategy builder.

- Normalized slope - This is an output which returns the slope in synthetic degrees. The slope has been normalized by dividing it by the square root of the average true range and then applying the arctangent.
- NormalizedChannelWidth - This series returns the normalized channel width around the regression line and may be used as a measure of non-directional volatility.
- RegressionTrend - The regression trend holds the value + 1 for an upsloping regression line and -1 for a downsloping regression line.

Market Analyzer Columns: The indicator comes with three separately coded market analyer columns which allow for displaying normalized slope, normalized channel width and the regression trend on the market analyzer.


Category NinjaTrader 8 Indicators and More  		 
Suggest other entries I might like
Details: Regression Channel (amaRegressionChannel)
Category: NinjaTrader 8 Indicators and More 


September 9th, 2018
Size: 15.83 KB
Downloaded: 1213 times

Keywords: channel downtrend linearregression regression regressionchannel slope standarddeviation trend uptrend
Regression Channel with fixed start V2 NT8.0.2 updated 5 *
Regression Channel with fixed start V2 NT8.0.2 updated

Updates::

Update V2.1.0 22 Jan=>

* Bug fix: On some occasions when using fixed start the LRC would not adjust accordingly.
* Made text messages more readable and less intrusive. (From feedback....thank you).
* Added option for a start marker. (From feedback....thank you).
* ZOrder adjustment - place behind or in front of bars.
* For coders: 'Friendly' names enums - no more camel case enums!

Update V2.0.2 Jan=>

* Added Mean Absolute Deviation thanks to 'spooz2'



Note: Make sure you have >= NT8.0.3.1 for the button to work without issues.

Included with this LRC:

* Ability to start the LRC from any bar of your choosing via a button.
* Directional coloring.
* Bands
* Four different price marker displays: Price, Standard deviations, ticks from the middle line, regression slope per ticksize (which enables you to compare the slopes of other instruments)
* Decimal places formatter....adjust to your liking.
* Ability to use Raff channels as shown here in TASC Oct 1991
* You can use on any indicator
* Unlike the NT8 version, you can scroll backwards and the LRC will plot the past.

Note:

If using the LRC fixed start feature you will have to manually refresh the chart by pressing F5. This is the compromise of using an indicator instead of a drawing tool.

You can download the two videos here and here for setting up options.




Category NinjaTrader 8 Indicators and More  		 
Suggest other entries I might like
Details: Regression Channel with fixed start V2 NT8.0.2 updated
Category: NinjaTrader 8 Indicators and More 


January 14th, 2017
Size: 13.12 KB
Downloaded: 1536 times
Rolling Pivots V43 5 *
Exported using NT Version 7.0.1000.26

Indicators will only run on NT 7.0.1000.5 or later.

This is an indicator that plots pivots for a n-day rolling period. It has similar features as the Daily Pivots indicator from the Session Pivots family. The default setting for the lookback period is 3 days. The midline is identical with the 50% Balance Point Indicator.

Options: Floor pivots, pivot range, midpivots, floor pivots wide, Jackson Zones, Fibonacci pivots, Camarilla pivots, VWAP of the rolling period .

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 retracements and expansions can be only calculated from the full session high and low. If you want to calculate retracements and expansions from the regular session, it is recommended 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 rolling pivot indicator is 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: 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 rolling period is always calculated from intraday data. Depending on the chart resolution it can be a few ticks off the correct value.

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 June 5, 2011: New signature for GetNextBeginEnd() implemented.
Update June 21, 2011: The indicator now works with half-pip FOREX feeds. Indicator dialogue box improved.
Update July 20, 2011: Serialization of the plots changed.
Update December 17, 2011: Levels R5, S5 and pivot range added. Label size is now adjustable. Globex Holiday Calendar for 2012 added.
Update July 7, 2012: Shading for Jackson Zones added.
Update December 15, 2013: Indicator entirely redesigned. Holiday calendar added for 2014.
Update December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.

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

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


Category NinjaTrader 7 Indicators  		 
Suggest other entries I might like
Details: Rolling Pivots V43
Category: NinjaTrader 7 Indicators 


December 28th, 2014
Size: 13.34 KB
Downloaded: 4005 times

Keywords: balancepoint fibonacci jackson pivots vwap camarilla floorpivots midpivots rollingpivots
RSI+Vol Bands 3 *
RSI with Volatility Bands formula by Manning Stoller

---
Note that one have to adjust the indicator for each market, since each market has a different momentum "mean". The indicator in the picture is adjusted for the CL where it has a pretty good fit. Only on very high momentum should the RSI have a clean breakout of the volatility bands. Otherwise it should as best as possible be fitted so that RSI is accurately "kissing" the bands on high momentum.

Since markets have a tendency to fall quicker than rising, the factor for the lower volatility band should be greater than the upper.
---

MultiCharts


Category The Elite Circle  		 
Suggest other entries I might like
Details: RSI+Vol Bands
Category: The Elite Circle 


July 3rd, 2011
Size: 3.27 KB
Downloaded: 338 times
rSqueeze Collection 5 *
Squeeze collection includes a few indicators:


BB Squeeze is commonly known as Bollinger Bands Squeeze which monitors when Bollinger Bands are inside Keltner Channel.


PBF Squeeze tries to determine a trend direction using Gaussian Filter formula.


Countertrend Squeeze additionally uses CCI for possible countertrend price movement.

By roonius @ https://www.tradingstudies.com


COMPATIBILITY:
NinjaTrader 6.5: YES
NinjaTrader 7.0: [COLOR=#0000ff]NOT TESTED [feedback][/COLOR]


Category NinjaTrader 6.5 Indicators  		 
Suggest other entries I might like
Details: rSqueeze Collection
Category: NinjaTrader 6.5 Indicators 


June 30th, 2009
Size: 21.76 KB
Downloaded: 2057 times

Keywords: bmt bollinger chop keltner ninjatrader squeeze
SessionNoiseBands V39 5 *
Exported using NT Version 7.0.1000.10

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 noise bands.

Indicator will only run on NT 7.0.1000.5 or later.

The indicator identifies the intraday volatility generated by noise traders. The daily noise is defined as the smaller of (High - Open) and (Open - Low). The indicator detects the average daily noise (ADN) for two selectable periods and uses them to calculate intraday targets, which are displayed as noise bands. The upper band is calculated by adding the expected noise to the current open, the lower band is calculated by subtracting the expected noise from the current open.

The daily noise can be calculated and displayed for the full session or any intraday (RTH) session defined via the template. The indicator also can display OHL and Dynamic Fib Lines for the current session.

Indicator Settings

BandRange: The default setting uses 100% of the ADN of the selected period. Instead of using 100% you can select any other percentage to calculate 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 shorter period used to calculate average daily range. Default value is 3 days, maximum selectable is 100 days.

Period(2) for the average daily range: This is longer period used to calculate the 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 Noise Bands: Selects or unselects projection bands.

Show Noise 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 calculates the average daily noise without using range data from holiday sessions.

FOREX / Currency Futures: Daily Ranges are displayed in PIPS.

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 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: Band colors change when the noise bands are penetrated. The signature for DrawRectangle() was changed to avoid some rare problems.
Update July 19, 2011: Serialization of the plots changed.
Update September 24, 2011: ChartControl checked for null, indicator can now be called by strategies.
Update August 28, 2012: Globex Holiday Calendar for 2012 added. Custom plot recoded to remove a minor bug and improve CPU efficiency.


Category NinjaTrader 7 Indicators  		 
Suggest other entries I might like
Details: SessionNoiseBands V39
Category: NinjaTrader 7 Indicators 


August 28th, 2012
Size: 13.00 KB
Downloaded: 3531 times

Keywords: noise rds sessions stretch volatility
SessionPivots for Intraday Charts Version 8.4 (March 2010) 5 *
Guys, I'm posting this here because I find it to be an absolutely fantastic pivot indicator. this is the version for Ninja 6.5.

Exported using NT Version 6.5.1000.14, will not run on NT 7

Give all credit and thanks (and questions) to Harry on the Ninja Trader Forum, I've been using these for quite some time and they are brilliant.

The download file reads SessionPivotsV5b, because is it automatically renamed by the forum software, inside you will find version 8.4

Family of Indicators for display of current day, week, and month OHLC, daily, weekly and monthly pivots.

Version 8.4 includes Fibonacci Pivots

Includes a number of options such as floor pivots, Fibonacci pivots, Camarilla pivots, Woodies pivots, VWAP of prior session and midpivots. The indicators work on fixed period, tick, volume and range charts.

Right side chart margin: Please set the right side margin under chart properties to at least 100 to allow for correct display of labels.

DailyBars mode: Quick and easy solution. If supported by your data supplier you may get the settlement price instead of the close. Sessions are only needed for locating lines horizontally. In Dailybars mode you will usually get full session pivots.

CalcFromIntradayData mode: More options, but pivots will be false, if you select the wrong session for the chart. In CalcFromIntradayData mode,
session end time under chart properties should be ideally identical with session end time chosen for the indicator (to compare convert session end time of indicator to PC clock time).

Session times: Pivots can be calculated from daily bars or from intraday data. In both modes enter session times via indicator panel to allow for correct display. For predefined markets enter session times in the timezone of the exchange, for all other markets set indicator to local mode and enter session times in the timezone of your PC clock. For predefined markets adjustment for daylight saving time will be automatic, in local mode you have to do this manually.

Supported markets: CME (ES, EMD, NQ, YM, ZB, ZN, ZF, ZT, 6A, 6B, 6C, 6E, 6J, 6S, ZC, ZL, ZM, ZS, ZW), NYMEX(CL, QM, HO, RB, NG. GC, SI, HG), NYBOT (TF, CC. CT, KC, SB) EUREX (FDAX, FESX, FGBL, FGBM), IPE (COIL, GOIL) and FOREX. For all other markets and instrument the indicator will only work in local mode.

Intraday sessions: For some special applications (Pivots based on night session, opening hour or any intraday session) you may haveto set IntradaySession mode to true to avoid 24 hour delay of display in some cases.

Example how to use: ES futures

(1) In CalcFromIntradayData mode it is recommended to set the session times under chart properties first. The session times needs to be entered in time of your PC clock. So if your PC clock is Eastern Time (New York) you would enter session begin = 4:30 PM, session end = 4:15 PM. Pivots will be accurate, if you enter session times here. For "DailyBars" and "UserDefinedValues" mode this is not required.

(2) For full session pivots (ETH) you will now enter the session times via indicator panel. This is (for CME you have to use Central Time) session begin: 3:30 PM, session end 3:15 PM, session break: 15 minutes. Full session pivots can be calculated from both daily data or intraday data. Some data suppliers use the settlement price for daily data, so you would get based pivots based on the settlement price in "DailyBars" mode.

(3) For day session pivots (RTH) you need to select "CalcFromIntradayData" mode and enter session begin: 8:30 AM, session end 3:15 PM and session break: 15 minutes.


Category NinjaTrader 6.5 Indicators  		 
Suggest other entries I might like
Details: SessionPivots for Intraday Charts Version 8.4 (March 2010)
Category: NinjaTrader 6.5 Indicators 


March 16th, 2010
Size: 65.89 KB
Downloaded: 966 times

Keywords: pivot pivots waverider
SessionPivots V43 5 *
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  		 
Suggest other entries I might like
Details: SessionPivots V43
Category: NinjaTrader 7 Indicators 


December 28th, 2014
Size: 79.16 KB
Downloaded: 18018 times

Keywords: camarilla dailyrange eth fibonacci floorpivots jackson midpivots monthly noise ohl open pivotrange pivots range rth session settlement stretch target vwap weekly
SessionTWAP Daily V43 5 *
Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later

The indicator displays the Time Weighted Average Price of the selected session. It can be used on all types of charts.

You can apply the indicators to charts with several intraday sessions. You can then select via indicator panel, for which session theTWAP shall be shown.

Use with time-based charts: On minute and second chart, it will use an equal weight for all bars to calculate the average price of the selected session.

Use with tick based charts: On tick based charts it will apply a weight to each bar, which is the smaller of (timestamp of current bar - timestamp of previous bar) and (timestamp of current bar - session start time). There is one specific case, where this may cause a problem. The technical break of CME index futures from 3:15 PM to 3:30 PM CT is not taken into account by the session template, if an ETH session is used. In this case the first bar after the break will be overweighted. To avoid that problem use the default setting for the technical break for Globex index futures, which will eliminate the impact of the technical break.

ETH session: The TWAP will be calculated for the full session, if ETH is selected via indicator dialogue.

RTH session: It is possible to display the TWAP for the RTH session or the night session. Set indicator to RTH and select the number of the session, for example "First" for the night session and "Second" for the RTH session.

RTH multi: The TWAP will be displayed starting from the open of the RTH session as specified and then continue through the after session.

Volatility Bands: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.

Variance_Price: The variance is calculated from the selected input values of the price bars and the last known value for the VWAP within the current session. This way of calculating the bands is similar to calculating Bollinger Bands with a variable period starting with the first bar of the session.

Variance_Distance: The variance is calculated from the selected input values of the price bars and the value for the VWAP corresponding to price. It is a variance of the vertical distance of price from VWAP. This method corrects for a trend and produces slightly narrower bands on a trending day.

Session_Range: The quarter range of the current session is used as a measure of volatility instead of the standard deviation.

Public Holidays: For Globex instruments the indicator will display the ETH TWAP for the two-day-session including a public holiday. The indicator is preconfigured for the Globex holiday calendar.

Colors: Different colors can be selected for rising and falling TWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.

Update Jan 23, 2011: Globex holiday calendar for 2011 added. Holiday sessions will only be applied to Globex instruments. Indicators now also work on tick and volume charts.
Update May 17, 2011: New signature for GetNextBeginEnd() implemented.
Update June 15,2011: TWAP can now be displayed for RTH and after-session, see option RTH-multi. Three different types of TWAP bands added.
Update July 26, 2011: SessionTWAP uses (high + low + open + close) / 4 for higher accuracy. Adapted to different plot styles.
Update January 25, 2012: Globex holiday calendar for 2012 added. Small bug removed, which had affected the plot colors.
Update July 4, 2012: Serialization of plot parameters changed.
Update February 23, 2013: Plot recoded & CPU efficiency improved, Globex holiday calendar for 2013 added.
Update March 30, 2013: Algorithm improved for both speed and accuracy. VWAP start time can be selected.
Update April 11, 2013: Plot modified for compatibility with charts built from multiple bar series.
Update May 10, 2013: 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 December 28, 2014: Holiday calendar added for 2015. Price markers improved for US interest rate futures.


Category NinjaTrader 7 Indicators  		 
Suggest other entries I might like
Details: SessionTWAP Daily V43
Category: NinjaTrader 7 Indicators 


December 28th, 2014
Size: 10.22 KB
Downloaded: 3320 times

Keywords: bands range session twap vwap eth rth standarddeviation variance
 

Page 9 of 13 « First 78 91011 Last »


 
Category
  




© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top