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Initial Balance Range Bands V42 MTF 5 *
Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later.

The indicator displays the current open, the initial balance (IB) and upper and lower range bands that are calculated by adding and subtracting fractions of the initial balance to the IB high and IB low. This version is a multi-timeframe (MTF) version of the standard Initial Balance Range Bands V42 indicator. The indicator adds a second minute bar series to the chart, which is used to calculate the initial balance. It has the following advantages over the standard version:

For tick, range and volume charts: The standard indicator may not display the initial balance correctly, if the last bar expands the initial balance and closes after the opening period. The MTF version of the indicator will display the initial balance correctly, even if the primary bar series does not contain the necessary information for its calculation. An example is shown on the chart attached.

Use with minute charts: You want to use this indicator with minute charts, if the opening period is not an integer multiple of the bar period. Example: You trade 7 min charts and your opening period is 30 minutes.

You can only use this indicator with an appropriate session template. The opening time will align itself to the start time of the RTH session, as specified via session template. The hybrid setting assumes that you want to use the 3rd intraday session as RTH session for FOREX and currency futures and the second session for all other instruments.

Example ES: Select a session template with the following sessions: Session 1 (night session) 15:30 - 8:30 Central Time, Session 2 (RTH) 8:30 - 15:15 Central Time. Select second session for opening range.

Select length of opening period: The length of the period for establishing the initial balance can be selected via indicator dialogue box. The default setting is 60 minutes.

Select Offset: With an offset of 00:00, the indicator aligns to the start of the selected session. If you enter a positive value for the offset, the opening range will be shifted forward from the session start. For example if you open a chart for ES with the session template US CME Index Futures, then the session (and the trading day) starts at 5:00 PM Central Time. To display an opening range for the regular session, you need to enter an offset of 15:30, because the regular session starts 15 hours and 30 minutes after the start of the trading day.

Multipliers for range bands: The multipliers for the upper and lower range bands can also be changed. The default settings for the bands are 0.5, 1 and 2, meaning that the first upper band is built from the IB high by adding half of the IB range, and similar for the other bands.

Display regular open or one-minute-range: The indicator allows to either display the regular open or the range of the first minute of trading after the start time selected for the opening range.

Developing range: Prior to the completion of the opening range, the indicator plots the developing range in gray to show that the range is still incomplete.

Night session or pre-session range: The indicator also has an option to display the full night session, European or Asian session range. This feature is not used with the default settings. I did not add it on purpose, it was already part of the opening range indicator, and it was easier to leave it than to remove it.

European Session Range: You can select start and end time of the European Session in CET (Central European Time). The European Session is pre-configured for the time between 8:00 AM and 1:00 PM CET.

Asian Session Range: You can select start and end time of the Asian Session in TST (Tokyo Standard Time). The Asian Session is pre-configured for the time between 9:00 AM and 3:00 PM TST.

Update July 25, 2011: Serialization of the plots and indicator dialogue box changed.
Update December 8, 2013: Indicator entirely recoded. Offset added, opening period no longer needs to be aligned to the session start. Drop down property added for time zones. Custom plot added.
Update March 15, 2015: Regular open and minute range were drawn back to start of trading day on tick charts. Bug removed.


Category NinjaTrader 7 Indicators 
 
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Details: Initial Balance Range Bands V42 MTF
Category: NinjaTrader 7 Indicators 


March 15th, 2015
Size: 13.19 KB
Downloaded: 3329 times

Keywords: initialbalance open rangebands mtf openingrange volatility
Relative Ranges V23 5 *
Exported using NT version 7.0.1000.26

Only to be used with minute or daily charts.

The relative ranges indicator measures the range of a fixed period bar against the average range over the same period during the preceding n days. The version which can be downloaded here allows for two different comparisons:

All_Days: Today's ranges are compared to the average ranges of the N preceding business days. The default value is N = 40. With the setting "All_Days" the indicator requires the use of proper session templates which match the trading day of the instrument traded. Session templates that cut the week into arbitrary sessions - such as the session template 24/7 - cannot be handled by the indicator and will trigger an error message.

Day_Of_Week: Today's ranges are compared to the average ranges calculated for the same day of the week over the N preceeding weeks. The default value is N = 8. With the setting "Day_Of_Week", all session templates can be handled.

Holidays: Holidays as selected via the indicator dialogue box are excluded from all calculations.
Daylight savings schedules: The indicator automatically adjusts to different daylight savings zones.

The histogram shows the relative ranges for the selected period of the day. For example on the chart today's highest relative range occured at 5:30 AM EST in the morning, just when the low of from Dec. 24 was taken out. Compared to the last 40 business days, the cumulated average of the relative ranges runs at 88%, whereas it runs at 87% when compared to a normal Monday. The low volatility is expected between Christmas and New Year's Eve.

Average range bars - between 80% and 120% of normal ranges - are shown as white bars. If the relative range exceeds 120% the histogram color is green, below 80% it is red. The colors can be selected by the user.


Category NinjaTrader 7 Indicators 
 
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Details: Relative Ranges V23
Category: NinjaTrader 7 Indicators 


December 29th, 2014
Size: 9.04 KB
Downloaded: 713 times

Keywords: range relativerange seasonality volatility
Initial Balance Range Bands V42 5 *
Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later.

Discretionary traders: Please use the multi-timeframe version of the indicator for odd minute charts and charts built from ticks.



The indicator displays the current open, the initial balance (IB) and upper and lower range bands that are calculated by adding and subtracting fractions of the initial balance to the IB high and IB low.

You can only use this indicator with an appropriate session template. The opening time will align itself to the start time of the RTH session, as specified via session template. The hybrid setting assumes that you want to use the 3rd intraday session as RTH session for FOREX and currency futures and the second session for all other instruments.

Example ES: Select a session template with the following sessions: Session 1 (night session) 15:30 - 8:30 Central Time, Session 2 (RTH) 8:30 - 15:15 Central Time. Select second session for opening range.

Select length of opening period: The length of the opening range can be selected via indicator dialogue box The default setting is 60 minutes.

Select Offset: With an offset of 00:00, the indicator aligns to the start of the selected session. If you enter a positive value for the offset, the opening range will be shifted forward from the session start. For example if you open a chart for ES with the session template US CME Index Futures, then the session (and the trading day) starts at 5:00 PM Central Time. To display an opening range for the regular session, you need to enter an offset of 15:30, because the regular session starts 15 hours and 30 minutes after the start of the trading day.

Multipliers for range bands: The multipliers for the upper and lower range bands can also be changed. The default settings for the bands are 0.5, 1 and 2, meaning that the first upper band is built from the IB high by adding half of the IB range, and similar for the other bands.

Developing range: Prior to the completion of the initial balance, the indicator plots the developing range in gray to show that the range is still incomplete.

Night session or pre-session range: The indicator also has an option to display the full night session, European or Asian session range. This feature is not used with the default settings. I did not add it on purpose, it was already part of the opening range indicator, and it was easier to leave it than to remove it.

European Session Range: You can select start and end time of the European Session in CET (Central European Time). The European Session is pre-configured for the time between 8:00 AM and 1:00 PM CET.

Asian Session Range: You can select start and end time of the Asian Session in TST (Tokyo Standard Time). The Asian Session is pre-configured for the time between 9:00 AM and 3:00 PM TST.

Update June 2, 2011: New signature for GetNextBeginEnd() implemented.
Update June 11, 2011: Small bug removed, indicator did not display opening range and pre-session range correctly during the training period (first bars of the chart, after scrolling to the left horizontally).
Update June 21, 2011: The indicator now works with half-pip FOREX feeds. Indicator dialogue box improved.
Update July 25, 2011: Serialization of the plots and indicator dialogue box changed.
Update January 24, 2012: Offset added, opening period no longer needs to be aligned to session start.
Update February 19, 2012: Option added to cut off the opening range at the next session break.
Update October 6, 2013: Minor bug removed, offset was not applied correctly on tick charts, when indicator was set to COBC = false.
Update October 24, 2013: Drop down property added for European and Asian Time Zone
Update December 8, 2013: Indicator partly recoded and custom plot added.


Category NinjaTrader 7 Indicators 
 
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Details: Initial Balance Range Bands V42
Category: NinjaTrader 7 Indicators 


December 9th, 2013
Size: 11.10 KB
Downloaded: 4314 times

Keywords: initialbalance open openingrange rangebands volatility
SessionNoiseBands V39 5 *
Exported using NT Version 7.0.1000.10

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:



The indicators that come with the SessionPivots package also allow to display weekly and monthly noise bands.

Indicator will only run on NT 7.0.1000.5 or later.

The indicator identifies the intraday volatility generated by noise traders. The daily noise is defined as the smaller of (High - Open) and (Open - Low). The indicator detects the average daily noise (ADN) for two selectable periods and uses them to calculate intraday targets, which are displayed as noise bands. The upper band is calculated by adding the expected noise to the current open, the lower band is calculated by subtracting the expected noise from the current open.

The daily noise can be calculated and displayed for the full session or any intraday (RTH) session defined via the template. The indicator also can display OHL and Dynamic Fib Lines for the current session.

Indicator Settings

BandRange: The default setting uses 100% of the ADN of the selected period. Instead of using 100% you can select any other percentage to calculate 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 shorter period used to calculate average daily range. Default value is 3 days, maximum selectable is 100 days.

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

Show Noise 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 calculates the average daily noise without using range data from holiday sessions.

FOREX / Currency Futures: Daily Ranges are displayed in PIPS.

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.
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: Band colors change when the noise bands are penetrated. The signature for DrawRectangle() was changed to avoid some rare problems.
Update July 19, 2011: Serialization of the plots changed.
Update September 24, 2011: ChartControl checked for null, indicator can now be called by strategies.
Update August 28, 2012: Globex Holiday Calendar for 2012 added. Custom plot recoded to remove a minor bug and improve CPU efficiency.


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Details: SessionNoiseBands V39
Category: NinjaTrader 7 Indicators 


August 28th, 2012
Size: 13.00 KB
Downloaded: 3513 times

Keywords: noise rds sessions stretch volatility
SessionVolatilityBands V38 5 *
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:



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.


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Details: SessionVolatilityBands V38
Category: NinjaTrader 7 Indicators 


July 11th, 2011
Size: 13.43 KB
Downloaded: 3374 times

Keywords: dailyrange range session volatility
Volatility Scalper (EA) 4 *
This strategy uses the volatility indicator to place trades based on increases in short term volatility. The strategy compares the volatility indicator to a moving average to define periods of increased volatility. When the volatility reading crosses the volatilities moving average, volatility is defined as up and a trade is placed.

When volatility is up, an entry to buy is placed at the upper price channel, and an entry to short is placed at the lower price channel. If volatility is not above the moving average, then no entries are made.

This strategy was created by James Stanley of the DailyFX.com course department.


Category FXCM Strategy Trader 
 
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Details: Volatility Scalper (EA)
Category: FXCM Strategy Trader 


April 12th, 2011
Size: 2.59 KB
Downloaded: 252 times

Keywords: volatility
SuperDrive 5 *
Exported using NT Version 7.0.1000.2

This is an improved version of the drive indicator.

The indicator detects both volatility and momentum and shows the relationsship between bullish momentum or bearish momentum and volatility.

Volatility is measured via the absolute value of the indicator. You will notice, how it moves up during the day session and moves down during the night session.

Momentum is measured as the difference between the two lines. Positive momentum is shown as green and negative momentum is shown as red. The momentum is measured via the enhanced momentum indicator, which is included.

The lines are smoothed with a Hull moving average for display.


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Details: SuperDrive
Category: NinjaTrader 7 Indicators 


January 12th, 2011
Size: 11.63 KB
Downloaded: 2059 times

Keywords: drive momentum trendfilter volatility
LogReturnsZScore 4 *
This indicator plots the z-score of the log returns of a time series. It can be used to indicate periods of high and low volatility.

Ver 1.00 posted 20 June 2010

NT7b17 compile


Category The Elite Circle 
 
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Details: LogReturnsZScore
Category: The Elite Circle 


June 19th, 2010
Size: 5.97 KB
Downloaded: 328 times

Keywords: mxasj volatility zscore
Historical Volatility 5 *
This is a very interesting indicator that shows historical volatility for the current time fo day, averaged over a selected number of previous days. It tracks surprisingly well with ADX, except that it actually leads ADX in many cases. The screenshot shows how the two compare.

This could be very useful in strategies because you could actually look forward and see the expected volatility ahead of time.

A nice future addition to this indicator would be an option to shift it forward a few bars, so you could be aware of the predicted volatility before it gets there.

I found the indicator here: https://ninjatrader.com/support/forum/showthread.php?t=5385


COMPATIBILITY:
NinjaTrader 6.5: YES
NinjaTrader 7.0: YES (sam028)


Category NinjaTrader 6.5 Indicators  NinjaTrader 7 Indicators 
 
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Details: Historical Volatility
Category: NinjaTrader 6.5 Indicators  NinjaTrader 7 Indicators 


January 24th, 2010
Size: 2.23 KB
Downloaded: 880 times

Keywords: volatility goldstandard
 



 
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