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Open Range Breakout
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Open Range Breakout

  #11 (permalink)
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Berlin, Europe
Futures Experience: Advanced
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Hi Fattails,

Thank you for the advice. While I'm aware of your stance on using the two together (i.e. OR+%ADR) from I believe the ACD thread awhile back, I do find some value in applying them together for my analysis. I managed to put them together on TOS but wanted to just have them all in Ninjatrader as the datafeed and versatility is much better in ninja.

To me the idea is that OR shows today's opening volatility as you mentioned, and once the dust settles, I want to see what the market behaves like in relevance to previous days volatility.

I'm a big fan of your indicators and I have been using the mentioned OHL indicators daily. I find the ADN levels helpful especially for the first 30mins or so. Beyond that, I found it hard to manage my trades accordingly with ADN and wanted to apply some further levels to help me manage my trades.

Also, do you still have the indicator that tracked ADR per time? Where the ADR band expands according the the measured time? i.e. ADR for the past n days of the first 30min then moves on to first hour ADR then 1.5hr etc. I think you had something like this but was not available for download. If you don't mind me asking, was it helpful at all?

I am not quite sure which indicator you are referring to.

I had originally coded volatility and noise bands as separate indicators, but then included them with the daily, weekly and monthly OHL indicators which can be downloaded via the Session Pivots package for NinjaTrader 7. This was to simplify maintenance. These are my only indicators that calculate the ADR. The chart below shows ADR projections based on the ADR and noise bands.

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If you talk about an indicator with expanding bands there is the SessionVWAP. The volatility bands are usually derived from the standard deviation, but they can also be calculated as a multiple of the current day's range - see chart below with option quarter range selected.

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The following 2 users say Thank You to Fat Tails for this post:
  #12 (permalink)
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Wherever I want to be
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I went back and read the post from the ACD thread and I think I just misunderstood your post.

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