Here is the VolumeDirBins and VolumeFrequency, from this TL thread.
These indicators are supposed to show you in which direction de big traders are going.
More details in the TL thread above.
just a scalping tool buy blue sell red in conjunction with your other indicators just a modified linear regression...thanks to zeller for all his help and work on this...sharky
The data for CL is only for half the month or so. Rest should be complete.
Tick-level Market Replay data for NinjaTrader.
Installation instructions:
1. Un-7zip to your Documents\NinjaTrader 6.5\db\data directory.
2. NinjaTrader should now show the extra dates on the Connect -> Market Replay screen.
NOTE: If you need a 7-zip decompressor, go to www.7-zip.org or use WinRAR.
This is another Optimizer Type for backtesting. This is the Max Expectancy formula by Van Tharp.
Elliott Wave is the author.
Here is a quote from Anagoge about the method:
Quoting
I think this expectancy formula is a useful measure for some things (risk/reward analysis, position sizing, etc.), but I'm not sure it is a good general way to rank/select trading strategies. The reason is that it does not take into account the profit per day (number of trades). Using only expectancy as a ranking, a single trade per year gaining $100 would be ranked better than a strategy that earns $75 per trade with hundreds of trades per year. One quick and dirty way to make the expectancy consider the number of trades is to multiply it by the square root of the number of trades. I implemented a basic expectancy optimizer type a few weeks ago, and went this route, though I had to add in some multipliers to get the weighting the way I wanted it, and still wasn't that happy with it.
The most common formula I see quoted for expectancy is this:
Expectancy = (Probability of Win * Average Win$) - (Probability of Loss * Average Loss$)
Van Tharp describes expectancy here only in reference to R-multiples of a hard stop loss, so the max risk can be calculated for every trade: https://www.iitm.com/sm-Expectancy.htm
For NT, we won't always have a hard stop, so some alternative/conditional formula will likely be necessary. He also suggests a minimum of 30 trades, but recommends 100 or more before calculating a value. A NT version might have to fudge on that requirement, or it could return 0 for less than 30 trades, but that might confuse some people.
The information here states he has a simplified expectancy formula on his DVDs, so maybe that is what people are quoting for the other formulas based on average losses, since it is easier to calculate: https://www.iitm.com/products/position-sizing-comparison.htm
I don't have Van Tharp's books, so I don't know for sure how he describes expectancy there.
I think Van Tharp's SQN formula is one useful way to rank general trading systems. There is a version of it here in the forums, but I have not analyzed it yet. A validated version of that would be a great addition to NT 7, but my first choice would be annual and monthly Sortino ratios.
To install this you need to copy the cs file to Documents\NinjaTrader 6.5\bin\custom\Type and then compile anything or reload Ninja. You'll then have a new option in backtesting for "max expectancy".
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This is Van Tharp's System Quality Number (SQN) optimizer type for NinjaTrader. Place the SQN.cs file in your Documents\NinjaTrader 6.5\bin\custom\Type directory and then exit and reload Ninja.
Here is information from Ragingbull on SQN:
Quoting
The only way to seriously qualify and optimize any system is through its System Quality Number (SQN). I advice you to refer to Van Tharp for reference on the subject.
Assuming a set of N trades (N>30 for being statistically significant), SQN is defined as follow:
SQN= Squareroot(N) * Average (of the N Profit&Loss) / Std dev (of the N Profit&Loss).
The large the N, the more trading opportunities you have.
The large the average P&L, the better you are obviously.
The smaller the Std dev (P&L), the more regular are your results and the smaller are the drawdowns.
Note here that if you optimize for the largest SQN, you maximize in fact the product N*average P&L and you minimize the Std dev (P&L) and the drawdowns at the same time.
This is exactly what all good traders should be looking for their system.
The code itself was written by Pete S all credit to him.
To use this you need to use Strategy Analyzer and change your "Optimize on..." selection to "my system quality number". This is where you normally choose max net profit, or max profit factor, etc.
close prices only - showing real time Support and Resistance through turning of the tape. Yellow dots for caution. Follow breaks of white consolidation zones preferably in direction of main wave. Also can use break of top or bottom of VMA band.
May 10th, 2021 11:58 AM SodyTexas My only issue is this is NOT the van tharps SQN number. In order to know what the SQN number is you need to know what th
e R (risk per trade) is for each trade. All this is doing is taking your number of trades multiplied by the avgProfit th
en divided the total by its standard deviation.
I would recommend that you read the book before claiming to have an indicator claiming to be something it is not.
March 15th, 2011 11:12 PM gwchua1976 It's good as a start, I've had problems using it in Tradestation 8.8. It doesn't refresh and disappears from the chart
after a few minutes. I'll try to figure it out, but if anyone else has experienced this maybe we can all help each othe