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ZigZag Volume 5 *
MRA - ZigZag Volume indicator

Version 1.00 (08/09/2013) Initial release.
Version 1.10 (10/25/2013) Bug negative time duration when a swing spans multiple days fixed.
Version 1.11 (11/02/2013) Correction on bug fix version 1.10.
Version 1.20 (09/08/2015) Added option to show average swing volume text in stead of cumulative swing volume text.

This indicator is inspired on the Weis Wave with its cumulative wave volume. It plots a cumulative ZigZag volume histogram, a ZigZag line and the cumulative volume, price change and/or duration of the up/down swing at the swing high/low.

The ZigZag line can be based on point, percentage, ATR or UTC retracements.
The UTC retracement method is based on John R. Hill, George Pruitt, and Lundy Hill's description in their book The Ultimate Trading Guide, page 39: "A top pivot point is the highest price in a movement prior to penetration of the low of the top bar. A bottom pivot point is the lowest price in a movement prior to penetration of the high of the low bar." The UTC version is an improved version in which the highs and lows are calculated over a period. Longer periods make the ZigZag UTC less sensitive. The default period for the UTC is 2 bars.

Inputs:
HiPrice( close ): price field for high swings
LoPrice( close ): price field for low swings
RetraceMethod( 1 ): 1=Pnt, 2=%, 3=ATR, 4=UTC
Period( 2 ): number of bars over which ATR or UTC is calculated
Retrace( 0 ): retracement in Pnt, % or ATR multiple
PlotVolume( true ): plots cumulative volume histogram
PlotSwings( true ): plots ZigZag lines
PlotVolumeText( true ): plots cumulative volume of up/down swing at swing high/low
AvgVolume( false ): shows average swing volume text in stead of cumulative swing volume text
ScaleVolumeBy( 1 ): divides cumulative volume text by the number of this input
PlotPriceText( false ): plots price change of up/down swing at swing high/low
PlotTimeText( false ): plots duration of up/down swing at swing high/low
LineWidth( 0 ): line width of ZigZag lines: 0,1,2,3,4,5,6
LineStyle( tool_solid): line style of ZigZag lines: tool_solid, tool_dotted, tool_dashed, tool_dashed2, tool_dashed3
UpColor( red ): line color of upswings: PowerLanguage colors
DnColor( red ): line color of downswings: PowerLanguage colors
TextColor( black ): text color: PowerLanguage colors

Coded in MultiCharts 8.7 PowerLanguage


Category MultiCharts  		 
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Details: ZigZag Volume
Category: MultiCharts 


August 9th, 2013
Size: 37.96 KB
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StopLight_Indicator_v2 4 *
The following indicator may help you determine the trend. The current settings are what is used on a one minute chart. This is not a recommendation of how to trade.

The overall coloring is a compilation of the individual indicators whose shadows appear a layer below it. The price coloring option is turned on. Candles are colored green (up), red (down), dark green (indicating up but original candle is down), and dark red (indication down but original candle is up).


Category ThinkOrSwim  		 
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Details: StopLight_Indicator_v2
Category: ThinkOrSwim 


August 8th, 2013
Size: 7.46 KB
Downloaded: 630 times
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: https://nexusfi.com/download/ninjatrader-7/indicators/829-download.html?view ), 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: 1323 times

Keywords: mean median mode statistics tpo vwtpo
ZigZagHighLow_Price_PriceChgBubble_v1 5 *
The new ZigZagHighLow indicator introduced by TOS did not include a price or price change bubble at each zigzag. I have added those features. You can use this study independent of the TOS ZigZagHighLow indicator.


Category ThinkOrSwim  		 
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Details: ZigZagHighLow_Price_PriceChgBubble_v1
Category: ThinkOrSwim 


August 3rd, 2013
Size: 755 bytes
Downloaded: 531 times
UniRenko - Universal Renko BarType v4 5 *
Change log:
UniRenko - Universal Renko BarType v4 (July 31st 2013) --> Price 'traveling' to '0' during Market Replay issue.

This is an update for the UniRenko Bars type that fixes an issue with Market Replay that causes price to 'travel' to '0' in certain situations.
This fix is in addition to the memory leak fix provided in the previous version (v3).

Please, use this version as it has been thoroughly tested and should be stable at all times.

After importing, exit NT and reenter to access the fixed UniRenko bars.


UniRenko - Universal Renko BarType v3 (July 10th 2013) --> Memory leak fix
This is an update for the UniRenko Bar type that fixes a memory leak that would prevent these bars from being used with Market Replay and other conditions.
This update just fixes the memory leak issues and does not make any additional changes to the original monpere code.


UniRenko - Universal Renko BarType --> Original monpere version
Please, refer to the original description of these bars by the original creator (monpere) here:
https://nexusfi.com/local_links.php?catid=19&sort=d&filter=u&pp=1000


Category NinjaTrader 7 Indicators  		 
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Details: UniRenko - Universal Renko BarType v4
Category: NinjaTrader 7 Indicators 


July 31st, 2013
Size: 2.84 KB
Downloaded: 6873 times

Keywords: unirenko
Risk Reward V2.1 5 *
Exported using NT Version 7.0.1000.14

Risk Reward and Position Sizing Indicator V2.1 (based on original work of Mompere)

Calculates Risk/Reward and Position Sizing for trade planning using horizontal lines drawn at potential trade Entry, Stop and Target. The indicator will automatically update the risk/reward and position sizing on the fly when you select and drag the Entry, Stop, and Target lines.

Position size and risk/reward can be calculated from user input parameters for Trading Account Size, Percent Account Risk per trade, Fixed Dollar Amount per trade, or Fixed Share Sizing.

Click on the "$$" button to display/hide the Risk/Reward analysis.

Now supports dynamic pip value calculation for FX trade position sizing. Works for most cross-pair except for those very exotic cross pair.

Revision:
Jul 29 2013 (ckkoh): 1) Improved position sizing calculation for FX. 2) Enhanced reward risk calculation that includes spread. 3) Customizable line colors. 4) Reduced CPU utilization. 5) Display actual Buy price for Short position.
Mar 29 2012 (ckkoh): 1) Added a button to display/hide Risk Reward analysis. 2) Enhanced the Position sizing to support FX Lots type.


Category NinjaTrader 7 Indicators  		 
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Details: Risk Reward V2.1
Category: NinjaTrader 7 Indicators 


July 29th, 2013
Size: 6.19 KB
Downloaded: 1956 times
ABC_unstacked TPO Chart
Changelog:
Version 1.01 - 2013-07-29
Version 1.00 - 2013-07-22

This indicator plots an unstacked TPO chart. TPO stands for Time-Price-Opportunity. The charts are constructed the following way. Each day is divided into equal time brackets. By default these brackets are 30 minutes long. You can change this via an input to shorten or lengthen the brackets. A character is now assigned for each time bracket.
By default the indicator will start with A and with the next 30 minute bracket switch to letter B. In case the session starts at 720, the next bracket will begin at 730. You can customize the letters used for the brackets via an input, too.

The code uses some new PowerLanguage reserved words, so you can take advantage of the new millisecond precision in Multicharts.
The indicator comes with a modified CurrentSession function. The characters for the TPO chart will start over at a session change.

Inputs:

BracketLengthInMinutes – The length in minutes for each bracket, starting at midnight. The default value is 30 for 30 minutes.
TextColor – The color input for the TPO chart
OpenColor – The open for each session will be market with a “>”, you can change its color with this input
CloseColor – The close is market in the same way with a “<”. You can change the color with this input.
TextSize – The input for the text size used for the TPO chart
TextFont – Multicharts offers the ability to use all text fonts installed in your Windows OS.
HorizTxtPl – This input lets you specify the horizontal text placement for the TPOs relative to the underlying bar:
0 – to the right of the specified bar,
1 – to the left of the specified bar
2 – centered on the specified bar
VertTxtPl – The corresponding input for the vertical text placement:
0 – below the specified price value
1 – above the specified price value
2 – centered on the specified price value
StringToUse – With this input you have full control over the characters used for the TPO chart. The first character in this input will be used for the first bracket in the session. With the default input (“ABCDEFGHIJKLMNOPQRSTUVWXYZ”) this means for a market opening at 830, the first bracket will be labeled with an A.
LockText – Multicharts offers the ability to lock text and trendlines drawn by studies, so you can’t move them by mistake. If LockText = false the locking will be disabled.
DrawBracketOnOneBar – This input gives you the ability to plot the bracket on one bar only. This is helpful if you use a smaller timeframe than the bracket setting or work with Treasuries for example. Assume you are using a 10 minute chart and the BracketLengthInMinutes is 30 minutes. The text for the current bracket will always shift to latest 10 minute bar, but will span over the full bracket. If you set the input to false the study will plot on every bar, but only from high to low for each bar.
TextIDs – This input is only used if BracketLengthInMinutes is true. It specifies how many text ids the study will store for each bracket. If the market spans more than the default 100 ticks (as one text id is used per tick) over your bracket period, the study will raise an error. You need to adapt the text id setting then i.e. raise the number.

If you encounter a bug, please write me a short PM. I don't get a notification when you post it in here.


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Details: ABC_unstacked TPO Chart
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July 25th, 2013
Size: 25.25 KB
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VWAP ExtendPrev 5 *
This spreadsheet study will extend the previous period’s ending VWAP values into the current period. This study works on intraday charts and historical charts using any of the VWAP Time Period Types (except Minutes).

Unzip the attached and put the contents in your Sierra Chart \Data folder, then click on Analysis >> VWAP ExtendPrev-

Set the Time Period Type in cell J1 to match the Time Period Type in the VWAP study settings.

Both the VWAP Time Period Type and cell J1 must be a greater interval than the chart bar.

The default subgraph settings show only the VWAP and the first band. If you want to see the other bands, set the Draw Styles of the other subgraphs to something other than Ignore.

The study collection will load the correct spreadsheet study with the correct settings, and it will add an instance of the Volume Weighted Average Price study. If you already have the VWAP study added to your chart, you can remove the instance this study collection adds.

The formulas on the spreadsheet assume the VWAP study appears in columns AA-AI. Either move the VWAP study to the top of the Studies to Graph list, or edit the formulas in cells K3-S3 to reference the correct VWAP columns.

This spreadsheet’s formulas are built on Sheet1, which corresponds to Chart #1. If you apply this study to a different chart number, you must copy the contents of cells I1-J2 on Sheet1 to cells I1-J2 of the corresponding Sheet#.

Compatibility: New Spreadsheets versions

Changelog

8/26/2016 Updated to New Spreadsheets version.


Category Sierra Chart  		 
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Details: VWAP ExtendPrev
Category: Sierra Chart 


July 19th, 2013
Size: 48.04 KB
Downloaded: 326 times
ABC_Midpoint Study
Changelog:
V 1.00 - 2013-07-04

The Midpoints study tracks the extremes of the day or a custom session between a start and end time. Bases on the high and low extremes, three Midpoints are calculated:
1. daily midpoint = (Session High + Session Low)/2
2. the midpoint between the session extreme high and the daily midpoint
3. the midpoint between the session extreme low and the daily midpoint
The study comes with three color inputs and the plots change their color depending on the value of the bar close compared to the plot value.
Description of Inputs:

UseTime:
False = StartTime and EndTime will have no effect and the High and Low will be tracked for the complete day. If true, High and Low will be tracked according to the StartTime/EndTime settings only.

UpColor:
is used to color the specific plot, if Close > Plot Value
DnColor:
Close < Plot Value
MatchColor:
Close = Plot Value

Round2Tick:
Study will round the MidPoints to the nearest tick if this input is true. If false the study will not round the MidPoints.

The study was not designed to use a session spanning over two calendar days, like an overnight Globex session. In case you use the UseTime input and a StartTime later than the EndTime, you might run into problems. The study would need to be adapted to properly work on overnight sessions.


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Details: ABC_Midpoint Study
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July 17th, 2013
Size: 8.48 KB
Downloaded: 290 times
UniRenko - Universal Renko BarType 5 *
This is my implementation of a Universal Renko bar type. It allows the user to choose when the bar closes in the direction of the previous bar (Trend), and when it closes in the direction against the previous bar (Reversal).

This allows you to tailor the bar to behave specifically how you want it in ways that hopefully may enhance your particular trading style. As an example, if I am a reversal trader, entering on reversal bars, and putting my stop behind the entry bar, I can choose trend and reversal settings that minimize the size of reversal bars, and therefore optimize my stop sizes, etc.

Parameters are:

'Tick Trend' - Number of ticks to close the bar in the Trend direction
'Tick Reversal' - Number of ticks to close the bar in the Reversal direction
'Open Offset' - Number of ticks offset to draw the artificial open

Like most Renko bars, the bar open is artificial, and is placed by default halfway up the previous bar. The open is aesthetic only, it is not used in the bar size calculation. The tails on the bar show real prices. The artificial Open may affect your backtesting depending on the coding of your strategy. Internally uses NT PeriodType.Custom5

V2:
To support Muti TimeFrame indicators/strategies using the Add() method, added an alternative way to specify all bar specs in the 'Tick Trend' parameter. You can now alternatively specify each parameter as 3 digits in the Data Series window 'Tick Trend' parameter or Add() method 'Period' parameter. For example to specify TickTrend=4 , TickReversal=8, OpenOffset=2 or (T4R8O2) then specify: 'Tick Trend'=004008002 in Data Series window, or Add(PeriodType.custom5, 004008002);' in your MTF code. The normal way of specifying the parameters will continue to work as well.

IMPORTANT UPDATE JULY 11 2013, "VERSION 3" -- FROM BIG MIKE:
July 11 2013: Please note, user "dstrader" has uploaded a crucial bug fix for this bartype. You can find the download link here: https://nexusfi.com/download/ninjatrader-7/indicators/1430-download.html?view

Note you must use that link to download V3.

You can find the discussion thread here: https://nexusfi.com/ninjatrader/24408-unirenko-universal-renko-bar-type-20.html


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Details: UniRenko - Universal Renko BarType
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July 11th, 2013
Size: 2.08 KB
Downloaded: 4850 times

Keywords: bar unirenko trend renko bartype universal type reversal monpere
 

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