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DetrendedPriceOscillator_V2 - DPO_V2 5 *
This version (V2) of the DetrendedPriceOscillator (DPO) provides performance improvements and new features. My thanks to @Zondor for his code enhancements and suggestions.

This indicator has been exported with Ninja Trader 7.0.1000.22.

The version has been modified for use with BBand2_V4 but can be used with V3 except for the ability to be able to keep all of the MAs in sync between the 2 indicators.

A more complete description of the use and purpose of this indicator can be found in the original post contained below.

The V2 changes are as follows:


DPO_V2 provides:

1. Additional MA selections to allow the MAs to be kept in sync with those provided in BBands2_V4.
2. Restructured the code to provide reusable instances of external indicators. (Thank you @Zondor)
3. Provide the mode “Both” which will create both the Fast and Slow plots in the same panel. In this mode there are 3 region colors, Fast, Slow, and the union of the Fast and Slow. The 3rd color is the blending of the selected Fast and Slow colors. (as shown in screen shot with BBand2_V4)
4. The periods for Fast and Slow are now independent parameters to allow for mode switching.
5. The selected period is rounded to an odd number to allow a true midrange number to be used in the DPO algorithm.
6. Added lines (.5, -.5) for possible breakout signal
7. Changed default plot line and region colors for better contrast when the “Both” mode is selected.


Information from original Post follows

This indicator was written to support the strategy described by Barbara Starr, PhD in the July, 2014 edition of Stock & Commodities Magazine in an article entitled Profit With Dual Oscillators & Bands. In the article she describes her technique for trading using a Dual Band Bollinger Band indicator with different standard deviation settings then normally used, and two instances of DetrendedPriceOscillator with different period settings.

She also described that her investigation of the DPO indicators available revealed that depending on the trading platform used there were 2 different formulas used in this oscillator. Ninja Trader does not provide a DPO with their software and although NT tech support provided 2 versions that were posted on their website neither matched the formula in the indicator she described in her article.

The indicator provided here allows the user to:

1. easily configure the visual aspects of two instances of the indicator.
2. choose from multiple MA types.
3. use optional region painting
4. use smoothing

To configure DPOs as shown in the screenshot install 2 instances of the indicator and on the second instance set DPOSpeedRate = Slow. The plot color, region fill color, and the MA period will be set for the slow DPO as shown. The default MA is set to SMA on both.


The screenshot provided shows the 2 instances of the DPO, one fast (9 period) and the other slow (20 period) along with the BBand2_V3 Bollinger Band indicator which has been posted and described separately. Although the BBand2_V3 indicator is shown here any dual Bollinger band indicator may be used with the inner band set to 1 stand deviation and the outer band set to 3 standard deviations.

In Ms. Strarr’s write up when the 9 period DPO price crosses the zero line the price is near the BB mid-range MA, it is a potential entry point for more aggressive traders, whereas when the 20 period DPO crosses its zero line the price is near/on the 1 std. dev. BB line it is a potential entry point for less aggressive traders. She is quick to point out that fake outs can still occur. Also, in her article all of the examples were with stocks and no mention of its effectiveness was mentioned for any other instrument.

I would be glad to provide other information from the article in a separate thread if anyone has interest in experimenting with this strategy, but cannot post the full text of the article. I have not traded live with it yet and have done only limited back testing as of this post.


Change Log:
Date_______Description
06/30/2014 Fix minor problem with default colors when switching back and forth between Fast and Slow
Note: Other then on the initial switch from Fast to Slow the period must be changed manually if/when going back.

07/02/2014 Fix problem with changed region paint colors not being retained after workspace or NT is closed.
08/17/2014 Version 2 released.


Category NinjaTrader 7 Indicators  		 
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Details: DetrendedPriceOscillator_V2 - DPO_V2
Category: NinjaTrader 7 Indicators 


August 18th, 2014
Size: 57.50 KB
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Dual Bollinger Band_V4 - BBand2_V4 5 *
Notice:

There has been a performance upgrade made to this indicator contributed by @Zondor (thank you) and uploaded on 8/22/2014 at 11:00 PM PDT. Before installing this update the old version must be removed. It is not a critical change and although the upgrade is suggested it may be skipped. No other enhancements are included.

This is an enhancement to the BBand2_V3 to address the performance issue raised by @Zondor in the previous release It also includes several other enhancements as described below. More descriptions can be found in the original V3 post below.

This indicator has been exported with Ninja Trader 7.0.1000.22.

1. The code base used for this version to solve the performance issues was the BollingerUniversal indicator written by @FatTails.
2. Three different modes are available, Universal, BBand2, BBand2DPO.
  • Universal Mode will allow the indicator to operate and appear the same as anaBollingerUniversal.
  • BBand2 and BBand2DPO work like BBand2_V3 with the exceptions as described starting in number 3.

BBand2 and BBand2DPO mode

3. All of the MA options in Universal mode are available.
4. The Universal MA color scheme can be used including the coloring of the candles (a separate option). If this option set to false the BBand2 colors are used for both modes, with the exception of the swapping of the touch regions colors which are swapped as before.
5. The dark background option is no longer supported
6. The touch region painting can be set to signal on either a wick or candle body touch. Note: This is not significant for non-time based charts on entry to a zone as there is no wick, however it could be significant on exit if the there is a tail.
7. A threshold can be specified for how many ticks the candle (or wick) must penetrate (or remain in) the zone before the touch region is painted (or painting is stopped) as shown in screen shot.
8. The candle direction (up/down) must match the zone being entered before the touch region is painted (as shown in screen shot). Options 6-8 are intended to reduce the number of false signals on entry or give an early warning (6 & 7) of a potential exit from a zone.
9. The mid-line is the same style for both modes.
10. The signal line is now available in BBand2DPO mode.
11. There are individual parameters to specify the standard deviation for each mode


The original V3 information follows:

This is an enhancement to the BBand2_V2 with color indicator which was revised by @trendwaves and written by an unnamed author. The indicator was revised to serve two different uses, as follows:

When used as the basic BBand2 indicator the following revisions were made:

1. Eliminated redundant MA calculations.
2. Added the ability to control the displaying of the inner and outer MA lines without altering Plot parameters.
3. Added the ability to turn off the region band filling (except for the touch display).
4. Added several other MA choices. The selected MA is applied to the mid, inner, and outer bands.
5. Added an optional VWMA signal line.
6. A dark background option that alters the region color and opacity to allow for better visibility when used with dark backgrounds.


The second purpose is when it is used in conjunction with 2 instances of the DetrendedPriceOscillator (DPO) posted separately.

Using this option (DPOUse set to “true”) does not change any of the BB formulas however, it changes both the parameters used in them and the visual aspects of the BBand2_V3 indicator as follows:

1. Signal line is disabled
2. The display aspects of the middle MA are de-emphasized ( a thin, dashed, light gray line)
3. The inner to outer band region painting is disabled
4. The DPO standard deviation values are used instead of the normal BB values.
5. The inner and outer band touch colors are swapped.
6. The alarms have been disabled

Notes:
1. This option was not designed to switch back and forth between the two modes but only to allow for quickly setting up the BB2 indicator for use with the DPO indicators.
2. Any other two band BB indicators can be used with the DPO indicators. The inner and outer standard deviations should be set to 1 and 3 respectively.

More information on it use is presented in the DPO post.

The DetrendedPriceOscillator (DPO) has also been updated to be in sync with this indicator. More information is available in the DPO_V2 post.

Change Log
Date______Description
07/02/2014 Fix problem with changed region paint colors not being retained after workspace or NT is closed.
08/17/2014 Version 4 released.
08/22/2014 Performance upgrade released. No change in version number.


Category NinjaTrader 7 Indicators  		 
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Details: Dual Bollinger Band_V4 - BBand2_V4
Category: NinjaTrader 7 Indicators 


August 18th, 2014
Size: 63.31 KB
Downloaded: 1146 times
SoderstromCloud 5 *
As part of my journal found here:

https://nexusfi.com/trading-journals/32702-quant-s-perspective-building-trading-system-3.html

Here is the next indicator to my system.
Cheers,

Sody

Category The Elite Circle  		 
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Details: SoderstromCloud
Category: The Elite Circle 


August 18th, 2014
Size: 5.88 KB
Downloaded: 219 times
AhrensBB 5 *
In my journal a member requested a AhrensBB.

https://nexusfi.com/trading-journals/32702-quant-s-perspective-building-trading-system-3.html

Category The Elite Circle  		 
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Details: AhrensBB
Category: The Elite Circle 


August 18th, 2014
Size: 5.77 KB
Downloaded: 220 times
Ahrens Moving Average 5 *
This is a indicator associated in my journal:

https://nexusfi.com/trading-journals/32702-quant-s-perspective-building-trading-system-3.html

It is a adaptation of David Ahrens published in Stock and Commodities Oct 2013.

Category The Elite Circle  		 
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Details: Ahrens Moving Average
Category: The Elite Circle 


August 17th, 2014
Size: 1.88 KB
Downloaded: 310 times
Creating a synced data List between Strategy and Indicator
SORRY EVERYONE, the first file I uploaded was incorrect. Please find correct file now.

This was created with the help of Ninja support. What it was created for was to be able to create a List and is synced between a strategy and indicator. The original purpose was to be able to override the Plot method of an indicator and use data from a strategy's list to be able to draw custom items. You can loop through the List that is synced to the strategy and give the ability to "create" a way to override the Plot method in a strategy.

Hope this helps a few people out.

Category The Elite Circle  		 
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Details: Creating a synced data List between Strategy and Indicator
Category: The Elite Circle 


August 12th, 2014
Size: 3.00 KB
Downloaded: 140 times
Daily Range V1
This is a ten day average indicator with labels and plots I find useful on a higher time-frame chart to view where price could go.


Category ThinkOrSwim  		 
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Details: Daily Range V1
Category: ThinkOrSwim 


August 7th, 2014
Size: 2.59 KB
Downloaded: 376 times
Multi-timeframe DM version 4 4 *
The standard, free DM indicator measures both the direction and strength of a trend (or lack thereof). In addition to showing ADX (which only measures strength) DM also shows trend directional components (up / down).

This Multi-timeframe DM Indicator allows trend assessment at a glance right next to the price bar. It can be used to show current chart DM information, but it's real power is to show DM from a higher-level guide chart on the trigger chart.

The number and color codes can be used to determine:
  1. Strength of trend
  2. Direction of trend
  3. Whether the trend is strengthening or weakening

DM is useful (particularly with data from a higher-level guide chart) in both trend and reversal trading.

Trend trades:
  • Can warn that the trending level is too low for successful trend trading
  • Can be used as part of the trigger
Reversal trades:
  • Can warn that the trending level is too high for successful reversal trading

For an example of its use in a trend setup see:
https://nexusfi.com/ninjatrader/32612-newcomer-bearing-gifts.html

Like any indicator, it is best used with other indicators and price-action to find confluences.

Re the comment on resource usage -- this was my fault not the programmer's. I wanted to be able to decide instantly when the situation was changing. I have a mega i7 that does nothing but trade and has no problem with anything I throw at it (at least so far). If computer resources are a problem, the indicator can be set to "CalculateOnBarClose=True" (see the Data settings in the picture above) to avoid evaluating each incoming tick, but it could cost a a tick/pip or so on the entry now and then. I day-trade with an average hold time of about 28 minutes so I can't afford to wait for bar closes. For longer-term trading, you'd definitely want to use "COBC=True."


Category NinjaTrader 7 Indicators  		 
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Details: Multi-timeframe DM version 4
Category: NinjaTrader 7 Indicators 


August 7th, 2014
Size: 7.32 KB
Downloaded: 892 times
BaBAR: Backfilling Bid/Ask Recorder to extend the usefulness of the GOMI toolset 5 *
BaBAR is a standalone application that creates live and historical tick data files for the GOMI toolset. Tab delimited output is also supported. ...

Please note: BaBAR will only work with an IQFeed connection as it is based on their proprietary data formats. (The IQFeed API)

I originally wrote this application to avoid the issue with GOMI toolset indicators and their derivations which required me to keep charts up all the time. NinjaTrader does not allow recording of historical Bid/Ask data, so disruptions for any reason would cause blank spots in my charts.

However once I got a ways into development, I realized it could be used for much more than that. This application is capable of grabbing Bid/Ask data from a wide range of instruments over a long time frame. Currently IQFeed provides 180 days of data, but as I store more data my sample size will continue to grow.

More recently, I extended the ability to write tab delimited files which include new fields provided by the latest IQFeed Client. These include millisecond resolution, market center and trade condition codes for each tick.

I now have Bid/Ask tick data in both GOMI binary and tab delimited format (with extended fields) for all futures contracts, the 100 most active ETFs and all of the equities that comprise the DOW, NASDAQ, and S&P 500 indices.

Besides having Gomi’s indicators ready to go on just about any chart I can think of, I can now use the GOMI family of indicators in strategy development for any of these instruments, as well as datamine using external applications.

I believe the tab delimited format can also be used for other purposes, including better tick aggregation, but I haven't fully explored that yet.

A NinjaTrader Export file format is also available, which is produces files for direct import into NinjaTrader.

If you like using BaBAR, please consider subscribing to the Official GomRecorder and QCollector Tick Data Sharing Thread, so that when other BMTers need data, you can help them out. Also in that regard, there is a folder in the BaBAR distribution called "Create Monthly Files for BMT Data Sharing Thread" which provides an automated way to create monthly data for the data sharing thread.


Current Version 1.4.5a

(Uploaded August 4, 2014)
  • The application remains the same, but the sample Gomfolder & related spreadsheets were updated, including a fix of a typo in the gold (GC) contract.

Support thread:

If you have any questions or comments, or run into any problems, please see the support thread.

Subscribing to this thread is suggested as it is where I will make announcements, etc.


Requirements:
  • This application requires an IQFeed data connection. A regular subscription will do however; it does not require a special developer or other license, and this app will run concurrently with your NinjaTrader or other trading platform. Note: Because data vendors have different APIs (internal data architectures) there is no way to adapt the application to other sources such as CQG, etc.

  • Gomi released an update of his toolset to version 2.6, which among other things has a change to help ensure that the indicators will be compatible with this application. If you use this application, be sure to update your GOMI toolset installation to the latest version, always available here: https://nexusfi.com/elite-circle/6802-gomrecorder-2-a.html

  • After installing version 2.6 of the Gomi Toolset, >>be sure to apply the patch<< included with the download.

  • If you currently have charts that use the GOMI toolset, the only other change required to use this application is to remove the GomRecorderIndicator from your charts as it is no longer needed, and to be sure that all other GOMI indicators on your charts have their “Write Data” property set to false.
Please Note:
  • Be sure to read the “READ ME FIRST” pdf file included in the package before installing or using the application. (And before asking for support please.)

  • This download is a ZIP file, but it is not a NinjaTrader import file. Do NOT import it into NT. Just open it with explorer.

Older Version 1.4.5

(Uploaded June 27, 2014)
  • This version fixes a problem that some users outside the US experienced.

  • Also the futures contracts in the sample instrument lists have been updated.

Older Version 1.4.1

(Uploaded December 6, 2013)
  • This version has a small change to take advantage of IQFeed extending tick storage to 180 days.

Older Version 1.4

(Uploaded November 1, 2013)
  • This version mostly fixes bugs, but it is more robust than the previous version. Documentation is updated as well.

  • This version gives the user the option to include implied trades or not. See the included document "BaBAR Tab Delimited Output Reference" for details.

  • The included patch to the Gomi Toolset is still required to ensure millisecond compatibility. Be sure to install it using the provided instructions.

Older Version 1.3

(Uploaded August 1, 2013)

In this version I took advantage of the new features of IQFeed Client Version 5.0.
  • Gomi Files now have millisecond resolution. For this to work correctly the current version (v 2.6) of the Gomi toolset must be used, and patched with the file included in the download.

  • Tab delimited file output now has a millisecond resolution option, and also supports extended trade information for each tick. The extended trade information includes the market center where the trade occurred, and up to 4 trade condition codes.
(Both of these features are discussed in the “Read Me First” document included with the download.)


Older Version: 1.2

(Uploaded June 26, 2013)

In this version I focused on output file formats.
  • For the Gomi output format, I added the ability to store each instrument in a separate folder, which I am finding is quite convenient for managing the various instruments in my GOMFOLDER.

  • I added Tab Delimited and NinjaTrader output formats. The former should be consistent with QCollector output.

  • I also fixed a number of small bugs, including one where the application appears to use a lot of CPU cycles.

Older Version: 1.1

(Uploaded Nov. 18, 2012)
  • I released this version mainly to ensure compatibility with the new IQFeed client (v4.9) which was released yesterday. Be sure to use this version if you update your IQFeed client.

  • Additionally, there is now more extensive error reporting and I made a number of small UI fixes.

Original version: 1.0

(Uploaded Oct 14, 2012)
  • Initial Version


Category The Elite Circle  		 
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Details: BaBAR: Backfilling Bid/Ask Recorder to extend the usefulness of the GOMI toolset
Category: The Elite Circle 


August 5th, 2014
Size: 571.32 KB
Downloaded: 1977 times
Hide Session Break Lines 5 *
Toggles session break lines on and off for a cleaner chart when doing your analysis / trading.
Thanks to others who had coded the toggle buttons for other indys. Uses unsupported code for NT. Nothing sinister just ChartControl stuff and PlotSessionBreaks.

For NT7


Category NinjaTrader 7 Indicators  		 
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Details: Hide Session Break Lines
Category: NinjaTrader 7 Indicators 


July 31st, 2014
Size: 2.06 KB
Downloaded: 258 times

Keywords: break lines plot session
 

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