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Programing Support and resistance levels
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Programing Support and resistance levels

  #1 (permalink)
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Programing Support and resistance levels

I am programming an automated trading system with a couple of other people. using R and python languages. Its time to define support and resistance and I am having hard time thinking of something satisfying, I came up with a couple of unconvinsing definitions. Any one can direct me to the straigh path?


Last edited by izamu; July 8th, 2011 at 07:00 PM. Reason: typos
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  #3 (permalink)
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izamu View Post
I am programming an automated trading system with a couple of other people. using R and python languages. Its time to define support and resistance and I am having hard time thinking of something satisfying, I came up with a couple of unconvinsing definitions. Any one can direct me to the straigh path?


There as many ways to define support and resistance as there are ways to prepare a chicken dinner.


The most important thing is to define what type of support and resistance you want to take into account. This could be

-> prior daily highs and lows
-> yesterday's VWAP or point of control
-> Fibonacci confluence zones
-> floor pivots
-> target zones calculated from daily volatility expectations
-> areas above and below trading ranges
-> round numbers
-> trend lines
-> trend channel lines
-> the current day's VWAP
-> volatility bands

etc.

In the end support and resistance is just designating a gathering point for traders, where they project to close their existing positions or open new positions for whatever reasons. All these gathering points rely on self-fulfillinf prohecy, a trend line will only work, if there are enough traders that have identified it.

So support and resistance is nothing else than a high density area for various meeting points. Up to you to define, which of these you want to use in your code.

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If you look here:

https://futures.io/elite-ninjatrader-automated-trading/5701-murrey-math-automated-strategy-ninjatrader.html

You'll find a Murrey Math strategy I wrote for NinjaTrader. You could substitute in whatever kind of S/R you want, like Pivots, and use the functions I created to find the nearest levels.

Mike

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izamu View Post
I am programming an automated trading system with a couple of other people. using R and python languages. Its time to define support and resistance and I am having hard time thinking of something satisfying, I came up with a couple of unconvinsing definitions. Any one can direct me to the straigh path?


Support and Resistance are the result of Market Makers pumping supply into the markets at specific price levels in an attempt to influence the markets.

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Dynamic Support and Resistance based on VWAP

MIDAS VWAP is excellent for plotting support and resistance. For rangebound conditions, displacement bands around the central VWAP do a good job of defining the chop range.

There is a Ninjatrader MIDAS indicator available for free on the Ninjatrder forum. It's a little awkward to use, but it does the job.

A new vendor, MIDAS Explorer, has a version that is much easier to use, and worth a look. Disclosure: I had a two week free trial, and did get a mention on the site for reporting some bugs to the Developer. I liked these indicators and am considering purchasing them, but I have no connection to MIDAS Explorer other than having tried it.

Here is a good information source:

Home


Last edited by Zondor; December 6th, 2011 at 08:18 PM.
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Zondor View Post
MIDAS VWAP is excellent for plotting support and resistance. For rangebound conditions, displacement bands around the central VWAP do a good job of defining the chop range.

There is a Ninjatrader MIDAS indicator available for free on the Ninjatrder forum. It's a little awkward to use, but it does the job.

A new vendor, MIDAS Explorer, has a version that is much easier to use, and worth a look. Disclosure: I had a two week free trial, and did get a mention on the site for reporting some bugs to the Developer. I liked these indicators and am considering purchasing them, but I have no connection to MIDAS Explorer other than having tried it.

Here is a good information source:

Home


@Zondor: Why don't you code it yourself?

Also I would like to know the following:

(1) Does the S/R indicator auto-select the starting points for the S/R curves, or does the user need to select these pivots?

(2) Does the top- and bottomfinder auto-select the starting point and match the curve by aligning it to the first retracement, or is this to be adjusted manually?

(3) Are the indicators multi-timeframe indicators, which use a 1-min bar series to calculate indicator values for higher precision?

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Fat Tails View Post
@Zondor: Why don't you code it yourself?

Also I would like to know the following:

(1) Does the S/R indicator auto-select the starting points for the S/R curves, or does the user need to select these pivots?

(2) Does the top- and bottomfinder auto-select the starting point and match the curve by aligning it to the first retracement, or is this to be adjusted manually?

(3) Are the indicators multi-timeframe indicators, which use a 1-min bar series to calculate indicator values for higher precision?



The free Ninjatrader indicator is very awkward to use. The Midas Explorer indicators are extremely easy and convenient to use.

The Midas Explorer tools have a very convenient user interface that uses a hotkey and the mouse. Midas trading is based on user discretion in choosing start bars according to simple rules that require a bit of judgement, so the user interactively chooses the start bar and then adjusts the bands with WYSIWYG controls. You start a curve by clicking on, above, or below a price bar. Then a form pops up, with controls for customizing the base curve and its derivatives. It is REALLY EASY to use.

Only one instance of the indicator is placed on a chart, then any number of curves can be added. The base Midas Explorer curve can be based on medians, highs, or lows of the price bars.

The Ninjacator has, in addition to the base curve. only adjustable offset displacement curves. These are best for non trending periods. The Explorer indicators have a few other curve types that I haven't seen before that are very good for generating trend lines when the market is moving.

I do not think they use a secondary one minute data series. The basic Midas curve will superpose exactly over one started on the same bar by the Ninjatrader indicator.

I don't have any idea at all how to code the interactive functionality of Midas Explorer. I have not seen anything that works like this up until now. The Developer is very accessible and responsive, and I think these indicators have a lot of value. Midas Advanced seems to be the only one you would really need.

Let's be realistic. If you are NOT taking VWAP into consideration in the calculation of support and resistance, you are ignoring one of the most crucial indications that are watched by the PROFESSIONALS. Why would you want to trade blindfolded?


Last edited by Zondor; December 7th, 2011 at 12:27 PM.
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  #10 (permalink)
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Zondor View Post
.. The user is required to determine the start bar and to adjust some of the band types. ...

I get tired of clicking on a new start bar pretty quick so it is not for me.

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