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Submitted by Fat Tails
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Realistic Statistical Modelling of Financial Data

Research Paper published by Tina Rydberg in 1997.

Category Educational

Details: Realistic Statistical Modelling of Financial Data
Category: Educational

September 10th, 2011
Size: 297.94 KB
Downloaded: 359 times

Regression Channel V2

Exported using NT 7.0.1000.6

This indicator is an enhanced version of the NinjaTrader Regression Channel Indicator.

The indicator calculates the same values for the linear regression as the default NinjaTrader indicator does, but uses a modified Plot() method.

If you scroll the chart horizontally, this indicator will display the regression channel for the last bar painted on the chart, while the NinjaTrader indicator always displays the regression channel for the last bar of the data base.

To understand how it works, just put both indicators - the NinjaTrader default indicator and this indicator - on your chart and scroll horizontally, and you will notice the difference.

Update July 23, 2011: Indicator updated to work with non-equidistant bar spacing, as used by multi-series charts.

Category NinjaTrader 7 Indicators

Details: Regression Channel V2
Category: NinjaTrader 7 Indicators

July 23rd, 2011
Size: 3.19 KB
Downloaded: 2500 times

Keywords: channel regression trendline

FTLM_STLM Digital Filter

Exported using NT Version 7.0.1000.6

This is a set of indicators, which is based on the work of V. Kravchuk, who published an article on Maximum Entropy Spectral Analysis in the Valutny Speculyant. The indicators are freely available for MetaTrader, and I have translated them to NinjaTrader.

The indicator formulas show that they are highly curve fitted, probably to the daily charts of EURUSD about 10 years ago. Therefore they should be used with precaution.

The indicators include

FATL, SATL, RFTL, RSTL: The Fast Adaptive Trendline (FATL), the Slow Adaptive Trendline(SATL), the Reference Fast Trendline (RFTL) and the Reference Slow Trendline (RSTL) are four digital filters that were obtained by Maximum Spectum Entropy Analysis. These four filters can be displayed via the anaAdaptiveTrendlines indicator, which is included with the package.

FTLM_STLM: This is the Fast Trendline Momentum and the Slow Trendline Momentum. FTLM as calculated as the difference FATL - RFTL, STLM as the difference SATL - RSTL. Display via anaFTLMSTLM indicator.

Range Bound Channel Index (RBCI): Allows to identify overbought and oversold conditions by using all main market cycles.

Perfect Commodity Channel Index (PCCI): Shows the high frequency component of the current volatility.

Update July 20, 2011: Range Bound Channel Index and Perfect Commodity Index added.

Category NinjaTrader 7 Indicators

Details: FTLM_STLM Digital Filter
Category: NinjaTrader 7 Indicators

July 20th, 2011
Size: 15.32 KB
Downloaded: 885 times

Keywords: digitalfilters fir ftlm_stlm rbci stlm fatl ftlm pcci satl

SessionVolatilityBands V38

Exported using NT Version 7.0.1000.7

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 average ranges.

Indicator will only run on NT 7.0.1000.5 or later.

The indicator detects the Average Daily Ranges (ADR) for two selectable periods and uses them to calculate intraday targets, which are displayed as volatility bands. The upper target band is calculated by adding the average daily ranges for the two periods to the current session's low. The lower band is calculated by subtracting the average daily ranges from the current day's high.

All daily ranges and bands can be calculated and displayed for the full session or any intraday (RTH) session defined via the template. It is recommended to display both ETH and RTH volatility bands by applying the indicator to the chart twice with different settings.

The indicator also can display OHL and Dynamic Fib Lines for the current session.

Indicator Settings

Band Type: The bands will auto-adjust to the current day's high and low, until the expected daily range is exceeded for both of the lookback periods. In this case the bands will freeze and change color (Band Type "Freeze"), stop (Band Type "Stop") or further expand (Band Type "Expand", requires a second expansion target).

Default BandRange: The default setting uses 100% of the ADR of the selected period. Instead of using 100% you can select any other percentage to calculate the intraday target bands.

Expanded BandRange: This is required for the Band Type "Expand". The default setting uses 127% of the ADR of the selected period. Instead of using 127% you can select any other percentage to calculate the second level of 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 period used to calculate the shorter average daily range. Default value is 3 days, maximum selectable is 100 days.

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

Show Projection 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 now calculates average daily ranges without using range data from Globex holiday sessions.

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. FOREX ranges are displayed in PIPS.
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: Different band types are available. Once the daily target range has been exceeded, bands will change color and can be frozen, further expanded or cut off.
Update July 18, 2011: Serialization of the plots changed.
Update September 11, 2011: Expanded bands did not display correctly on days when both upper and lower range targets were hit. Bug removed.
Update September 24, 2011: ChartControl checked for null, indicator can now be called by strategies.

Category NinjaTrader 7 Indicators

Details: SessionVolatilityBands V38
Category: NinjaTrader 7 Indicators

July 11th, 2011
Size: 13.43 KB
Downloaded: 3386 times

Keywords: dailyrange range session volatility

MultiPeriod Candles

Exported using NinjaTrader 7.0.1000.8

This is a simple indicator that allows to display larger timeframe candles on any chart. For example you can display 30 min or 60 min candles on a 5 min chart.

The larger timeframe candles are plotted behind the standard candles of the chart and are aligned to session times. Colors and opacity of the candles and the candle outline color can be selected.

The indicator has been tested to work on fixed period (minute), tick, range, Kagi, Renko and rangeNoGap charts. Due to its session logic in cannot be used on daily data.

Update December 3, 2010: Improved to work with all data feeds. Some data feeds fill and other do not fill the minute data, when no trade has occurred. The indicator will now select the correct intervals in both cases.
Update May 6, 2011: Bug fixed. On minute charts the first multi period candle after the session start contained one bar less than expected.
Update December 14, 2011: Indicator optimized following suggestion by Richard (Zondor).

Category NinjaTrader 7 Indicators

Details: MultiPeriod Candles
Category: NinjaTrader 7 Indicators

May 10th, 2011
Size: 6.98 KB
Downloaded: 3259 times

Keywords: candles candlesticks multi timeframe

Derivative Oscillator

Exported using NT Version 7.0.1000.7

Constance Brown's Derivative Oscillator was published in her book "Technical Analysis for the Trading Professional".

The oscillator uses a 14-period RSI. The RSI is then double smoothed with exponential moving averages. The default settings for the smoothing periods are 5 and 3.

In a second step a signal line is generated from the smoothed RSI by calculating a simple moving average with a period of 9.

The Derivative Oscillator is calculated as the difference between the smoothed RSI and the signal line and displayed as histogram.

Category NinjaTrader 7 Indicators

Details: Derivative Oscillator
Category: NinjaTrader 7 Indicators

May 2nd, 2011
Size: 8.11 KB
Downloaded: 1156 times

Keywords: derivative oscillator rsi

Narrow Range Bars with Sound Alerts

Exported using NT Version 7.0.1000.4

This indicator is no longer maintained. Please download the new Range Analysis indicator, which identifies inside bars, narrow range bars, outside bars, wide range bars and LBR triangles.

https://nexusfi.com/download/ninjatrader-7/indicators/1450-download.html?view

This is my personal version of the narrow range and inside range bars, which were first presented by Toby Crabel in his book "Day Trading With Short Term Price Patterns and Opening Range Breakout".

Narrow Range 7 (NR7) Bar: A bar which has a smaller range than the preceding 6 bars. This definition does not include any bars that have a range smaller or equal to the preceding 6 bars.

Inside Range Bar: A bar with a lower or equal high, a higher or equal low and a smaller range than the preceding bar.

Inside Range 4 (IR4) Bar: An Inside Range Bar which qualifies as weak Narrow Range 4 Bar. Only for the purpose of qualifying Inside Range Bars, I use a weaker definition for Narrow Range Bar, which includes the bars that have a range smaller or equal to the preceding 3 bars, as opposed to the definition given above.

Inside Range 7 (IR7) Bar: A bar which is both a Narrow Range 7 and an Inside Bar.

The lookback periods for the Narrow Range and Inside Range Bars can be selected by the user. The default values are 7 and 4 and include the current bar.

Sound File: The sound file is user selectable. You first need to copy your sound file to the directory C:\Program Files\Ninjatrader 7 \sounds. You can then select the file via the indicator dialogue box. Make sure that your sound file is compatible with NinjaTrader. NinjaTrader 7 does not support wav\MPEG, you need to convert it to wav\PCM first with an audio recorder.

Category NinjaTrader 7 Indicators

Details: Narrow Range Bars with Sound Alerts
Category: NinjaTrader 7 Indicators

March 22nd, 2011
Size: 5.89 KB
Downloaded: 1412 times

Keywords: insiderange narrowrange squeez

Acceleration Deceleration

Exported using NT Version 7.0.1000.3

Bill William's Acceleration Deceleration is a relative of the MACD, but it uses the Awesome Oscillator instead of the raw MACD. The signal line is obtained by smoothing the Awesome Oscillator via a simple moving average with the period 5.

This indicator can be used as a MACD histogram, which is built from simple instead of exponential moving averages.

Category NinjaTrader 7 Indicators

Details: Acceleration Deceleration
Category: NinjaTrader 7 Indicators

March 9th, 2011
Size: 6.45 KB
Downloaded: 1716 times

Keywords: acceleration awesome deceleration macd oscillator

Awesome Oscillator

Exported using NT Version 7.0.1000.3

Bill William's Awesome Oscillator is quite similar to the raw MACD, but uses simple moving averages with a period of 34 and 5 instead of the exponential moving averages used for the MACD. The input value is the median of the bar, whereas the default MACD uses the close.

The histogram shown by the indicator is comparable to the raw MACD line. I have added a signal line to the raw oscillator, just to show that it can be used in a similar fashion as the MACD.

There are other NinjaTrader versions of the Awesome Oscillator

- which use an additional data series to allow for changing the plot colors (NT 6.5)
- which do not allow to change the parameters for the moving averages

This indicator can be used as a MACD, which is built from simple instead of exponential moving averages.

Category NinjaTrader 7 Indicators

Details: Awesome Oscillator
Category: NinjaTrader 7 Indicators

March 8th, 2011
Size: 4.37 KB
Downloaded: 2208 times

Keywords: awesome macd oscillator

Ehlers Collection for NT 7

Exported using NT Version 7.0.1000.3

This is a collection of various filters by John Ehlers outlined in his books "Rocket Science for Traders" and "Cybernet Analysis for Stocks and Futures".

The following indicators are included:

- Adaptive Cyber Cycle
- Adaptive CCI
- Adaptive Center of Gravity
- Adaptive Laguerre Filter
- Adaptive Relative Vigor Indicator
- Dominant Cycle
- Dominant Cycle Oscillator
- Hilbert Sinewave Oscillator
- Hilbert Transform 2
- Instantaneous Trend
- Laguerre Filter
- Laguerre RSI
- Median Indicator
- Smoothed Adaptive Momentum

This collection of Ehlers indicators was originally submitted by Piersh. I have simply ported the indicators to NinjaTrader 7.

Category NinjaTrader 7 Indicators

Details: Ehlers Collection for NT 7
Category: NinjaTrader 7 Indicators

February 20th, 2011
Size: 35.71 KB
Downloaded: 2754 times

Keywords: adaptive cci centerofgravity cybercycle dominantcycle filter hilbert laguerre median momentum rvi sinewave transform trend

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