The Multiple Keltner Channels are a generalized version of the Keltner Channels.
Standard Keltner channels are built from a simple moving average (SMA) and two channels lines above and below. The two lines above and below are drawn at a distance from the center line, a distance which is a multiple of the simple moving average of the ranges of the past N bars.
The generalized concept has the SMA replaced with any of 30 moving averages. The volatility measure used to calculate the distance of upper and lower line from the center line can be derived from an average range (AR) or average true range (ATR). You may select different lookback periods for the moving average that serves as the center line and the moving average which is applied to the range or true range.
The Multiple Keltner Channels come with an additional smoothing option for center line and channel lines. The additional smoothing is obtained by further smoothing all plots with a 3-period simple moving average (SMA).
Moving averages available for calculating the center line:
- Adaptive Laguerre Filter
- ADXVMA
- Butterworth Filter
- DEMA
- Distant Coefficient Filter
- Double Weighted Moving Average (DWMA)
- Exponential Hull Moving Average (EHMA)
- EMA
- Gaussian Filter
- HMA
- Holt EMA
- Laguerre Filter
- LinReg
- Moving Mean TPO
- Moving Median
- Moving Median TPO
- Range Weighted Moving Average (RWMA)
- Sine Weighted Moving Average (SWMA)
- SMA
- SuperSmoother
- TEMA
- Tillson T3
- TMA
- Triple Weighted Moving Average (TWMA)
- Wilder's Average
- WMA
- ZerolagHATEMA
- ZerolagTEMA
- ZLEMA
Moving averages colored according to slope: You may also use this indicator to display any of the above listed moving averages and color them according to slope. The slope is not based on a geometrical concept, as this would not be compatible with the scalability of modern charting applications. The indicator adjusts slope to bar volatility such that the indicator may be used across all instruments and bar types with the same settings. The slope is shown as upsloping, downsloping or flat. The degree of flatness which is still considered as being flat may be adjusted via the neutral threshold parameter. When you set that parameter to zero, the slope will not show any flat sections, but the moving average will always be identified as upsloping or downsloping. Channel lines may be unselected, if you just wish to display the selected moving average.
Volatility measures: The standard Keltner channel uses the range. This indicator also for substituting the range with the average true range. The average true range is used as default option to facilitate the application of the Multiple Keltner Channels to other indicators.
Applying the Multiple Keltner Channels to indicators: When an indicator is used as input series, the range will always return the value 0. However, the average true range will return the absolute amount of the difference of two neighbouring data points of the selected input series. Therefore the indicator may only be applied to other indicators, as long as the offset formula is set to "True_Range".
Paint Bars: The Multiple Keltner Channel indicator comes with paint bars. The paint bars are colored according to the slope of the center line. The paint bars may be displayed without the indicator plots. The colors of the paint bar will then show the slope of the moving average selected as center line.
Sound Alerts: In case that the sound alerts are active, the indicator will alert you when the trend derived from the slope of the center line changes. Currently, there are no sound files included with the zip file, but it is easy to create them and copy them to the NinjaTrader sounds directory.
Colin Twiggs' Money Flow indicator is similar to the Chaikin Money Flow (CMF). Where Chaikin Money Flow uses CLV (Close Location Value) to evaluate volume (money flow) as bullish or as bearish, Twigs Money Flow, uses the TR (True Range). Twiggs Money Flow also relies on moving averages in its calculation while Chaikin uses cumulative volume.
November 25th, 2017
Size: 3.44 KB
Downloaded: 645 times
1937
affoltes
Version 1.2 November 25, 2017
The Slow Relative Strength Index (SRSI) is an oscillator which was presented by Vitali Apirine in the April 2015 issue of Stocks & Commodities.
The SRSI is a momentum oscillator derived from the RSI developed by Welles Wilder in 1978. Where the RSI takes into account price moves relative to the prior bar's close, the SRSI compares the current price to an exponential moving average. The SRSI uses the same scale as the RSI. A value above 80 is considered as overbought, whereas a value below 20 indicates an oversold condition.
Compared to the RSI, the SRSI is supposed to generate stronger long term signals, but weaker short term signals. I have added a signal line to the indicator.
Nota: I saw that another version of the SRSI has already been posted. That version is not adapted to work with bar types that support RemoveLastBar() such as Renko bars or Linebreak bars.
Nota: There is another version of the SRSI posted, which will not work correctly with bar types that support RemoveLastBar().
The Quotient Transform which was presented in the August 2014 issue of the TASC magazine.
Ehlers Quotient Transform, which nonlinearly manipulates indicators to not only produce an early trend detection but also provides the ability to know how long to stick with the trend. A typical characteristic of the early-onset trend detector is that it remains above zero, indicating an uptrend, far too long after the uptrend is over. This characteristic can be mitigated by adding an additional indicator and rule set to exit a long trend trade. The early-onset trend indicator can be tuned at the trader’s preference by inputting a value for the low-pass period (LPPeriod) and the quotient parameter K.
The early-onset trend detector works in current market conditions because there is a decided upside bias to the market data. In fact, it is this upside bias that helps the nonlinear transfer response of the quotient transform work. In conditions where the market has a downside bias, negative values of K should be used in the quotient transform to take advantage of the bias in this direction.
November 25th, 2017
Size: 2.53 KB
Downloaded: 1619 times
1936
affoltes
The Slow Relative Strength Index (SRSI) is a price-following oscillator which was presented by Vitali Apirine in the April 2015 issue of the TASC magazine. It measures change in price movements relative to an exponential moving average (EMA). Like the relative strength index, it oscillates between zero and 100. SRSI is considered overbought when above 80 and oversold when below 20. SRSI can also generate signals by looking for divergences and centerline crossovers.
The SRSI is calculated using the following formula:
SRSI = 100 – [100/(1+SRS)]
SRS = Average positive difference/Average negative differencen
The SRSI measures the strength of a security relative to a sixday EMA. The closing price is used for this EMA. The difference is positive when the close is above the six-day EMA. Positive difference = [Close – Moving average]. Difference is negative when the close is below the six-day EMA. Negative difference = [Moving average – Close]. Negative difference values are expressed as positive values, not negative values. If the closing price equals the six-day EMA, then difference = 0 (no change). Smooth positive and negative difference values are based on Wilder’s smoothing technique.
November 24th, 2017
Size: 3.62 KB
Downloaded: 404 times
1935
affoltes
Update for Bug Fix -- 12/11/2017
This version corrects a bug in the elapsed time calculation when a session break occurs. This may or may not be noticeable when a session break occurs during a weekday but is most definitely noticeable over a weekend session break.
Exported with NinjaTrader: 7.0.1000.34 Release Date: 11/17/2017
Indicator Name: fpgExportCsvData
Updated 12/6/2017
Fixes and Enhancements are as follows:
Fixes:
Correct error writing to Closed file on termination
Cleaned up Error messages, Initialization, and Statistical messages
Eliminate extra .csv header on appended file
Eliminate the Print Error option, always print the errors to the Output Window
Other minor fixes
Enhancements:
Remove requirement for the slash before file name
Further qualify the file name by adding "_Detail" to the end
Supports all bar types. Removed the bar type restriction and unneeded override facility
Implemented a directory service to track the created export files.
Shorten the .csv headers to save column space in the excel file.
Added in an ATR, EMA, and SMA with adjustable periods
Implemented the option to include up to 5 other MAs from a list of about 30.
Notes:
The Directory file is in the same folder as the data files
The .csv headers are different in that they are shorter and not very readable. A spreadsheet had been provided for
both the Detail and Directory files and can be found here.
Even though the headers are different with the exception of the additional columns the order is the same therefore
any Excel sheets you may have designed can still be used.
The provided and optional moving averages do not plot
Warning:
Installing this version will replace the existing one. Copy the original to a different folder if you need/want to
revert to the previous version.
Original Post Starts here
This indicator collects various chart data and exports the data to a .csv file which can be directly imported into Excel for further analysis. Both the path and filename must be specified by the user. The indicator was designed for traders that may not have Excel on their trading platform or have no need to do any real time analysis.
There are four ways that the data can be filtered as shown below. Data that is filtered by a higher level is passed to the next lower level.
Historical Only, RealTime Only, or Both
All dates (as controlled by the Days to load in the Data Series) or by selected date ranges. Up to 3 non-contiguous ranges date ranges can be specified (but must be in oldest to newest order).
All days of the week or by selected days of the week.
All 24 hours or by selected time ranges. Up to 3 non-contiguous time ranges that can be specified (again in order). The time ranges are specified in 24 hour format.
The input format of the date and time parameters are described in the indicator parameters and must be exactly as shown. However, there is a special use of zeroes and a minus one as follows:
A zero in the “Start” field for either the date or time section means to start collecting from the first bar according to what was specified for number 1 above. The zero is only valid for the first entry (pair 1) of both date and time.
A zero in the “End” field of either the date or time section means to continue collecting data unless otherwise controlled by a higher level parameter. If Used, a zero in the End field can only be in the last used pair.
Although zeroes can be specified in both the Start and End parameters (only in pair 1) of either the date or time section doing so is the same as the “All” option and is internally changed to an All setting.
A minus one is used only as a place holder and is not valid in an enabled pair
Notes:
If using either non-contiguous dates or times be careful when doing Excel computations between them. An easy way to check for this condition is to check for a break in the sequence of the bar numbers.
By default the indicator checks for Renko and Range bars and has been tested with them. However, this check can be turned off so that other bars types can be used, but only limited testing has been performed. If you have a problem with other bar types PM me with the details.
The complete path name must be used in the format Drv:\RootFolder\OneOrMoreSubfolders\Filename. If drive is not specified it defaults to the C: drive.
The path and filename are separate entries and must be entered as documented in the parameter description. The .csv file extension is automatically added and must not be specified. If the file does not exist it is created. If the file does exist the newly collected data is appended to any data that was previously collected. If for some reason the file cannot be opened an error message is displayed on the chart and a message is written to the NT log that contains additional information. The most likely causes are either the path or path permissions are set incorrectly.
WARNINGS:
if the file already exists the data is appended to the file therefore the data can be duplicated depending on the parameters used. This can easily happen if a refresh has occurred without an intervening file name or collection parameter change.
In most situations the last data buffer is not flushed out until the indicator is removed, or the chart or workspace has been closed, except as noted below.
Exceptions:
If Historical Only data is being collected the first RealTime record stops the recording and the file is closed, and,
When the last date range has been collected the recording stops and the file is closed.
In all other situations the indicator, chart, or workspace must be closed to flush the last buffer.
The easiest way to use this indicator is to create a new chart with the desired bar type and Data Series declarations, preferably in its own workspace, and add only this indicator setting the desired parameters. The workspace can be run in the background if RealTime Only or Both are being collected. For Historical Only, set up the data collection in the same way but depending on the amount of historical data being collected it may not necessary to run it in the background as it is relatively fast.
Some programs (Notepad++, …) will allow access to the file even without it being closed. Moving or deleting will require that the file be in a closed state.
Parameter checking is performed and if there are errors a warning message is displayed in the lower right section of the price panel. Also, detailed error messages can be displayed to the Output window if the appropriate parameter is set to true. A print out of the initialization parameters and data collection statistics can optionally be displayed to the output window.
The screen shot shows a partial file that was imported into Excel with the data fields names at the top.
Change Log Date............Description
12/11/2017......Fixes elapse time calculation over session break
12/6/2017........Fixes and Enhancement described above
11/17/2017......Initial release
It's common for people to look at how large the upper or lower 'wicks' or 'shadows' are in comparison to the range of a bar. In writing strategies that do so, I got tired of re-re-coding calculations to look for especially large ones.
So, I created an indicator that shows the upper and lower wick size as a percentage of the bar's range. So, now, if I want to specify a wick that's greater than 50% of the bar's range, I can just look for instances where the indicator values are UpperWick > 50 or LowerWick < -50.
If you find looking for negative numbers cumbersome, edit the indicator and reverse the LowerWick calculations, from either (Low[0] - Open[0]) or (Low[0] - Close[0]) to (Open[0] - Low[0]) or (Close[0] - Low[0]), respectively. Then, all the histogram bars will point upwards and you can make your code always look for positive values.
I hope some of you find this indicator handy.
Thanks go to jmont1, who graciously converted this indicator to NT8.
November 15th, 2017
Size: 3.54 KB
Downloaded: 304 times
1933
DavidBodhi
This is a first test of a TickBarChart style that will reassemble ticks at the same time and price into a single tick. This is really the same order but split up so it doesn't look like a big print.
I have only tested this chart on a ticksize of 1 (seems to make the most sense to me anyway) and putting it here for others to review.
You can see in the image the shaded area that combined all the ticks from the regular TickChart into a single tick. This is because all the ticks in the tape were at 18:37:43.093 with an open of 55.08. This was merged to a single tick of volume 20.
October 26th, 2018 12:05 AM calhawk01 THAnk you making this
I’m trying to leverage this bar type for a custom indicator. I’m basically trying to obtain the volume values that are p
roduced using this bar type to “reconstruct” the tape. Jigsaw and other “reconstructed tapes” almost have identical valu
es as the values that are being produced using this bar type. There is not “magical” reconstruction of the tape. All tha
t these guys are doing is summing the trades with the same time stamp.
How can I call this bar type in an indicator? It doesn’t seem to be the option as a bar type for some reason in ninja sc
June 1st, 2018 11:17 PM marianfed thankyou ..
November 15th, 2017 10:28 AM NJAMC Thanks, I am not sure and I don't think we are retail traders get enough information in the stream to know what orders a
re split and simply have different time stamps. Statistically, if you get a few orders at the same exact time stamp, it
is likely the same market player. This will at-least help find "BIG PRINTS" which are being hidden by splitting up the
orders.
If you know of other ways to tie orders together let me know and I will see what I can do.
November 14th, 2017 09:50 PM tradingon thankyou .... wonder how many other values need reassembling
May 17th, 2023 01:29 PM Paypachaysa This is so cool but unfortunately it looks like the newer versions of NT broke the code. No longer displays.
February 18th, 2023 07:32 AM Teebone21 Is there an updated version of this indicator ?
November 30th, 2022 04:19 AM JirkaF I was able to reposition the rectangle in the object manager menu but it is not possible to choose any instrument so unf
ortunatelly this think doesnt work in current ninja trader version