Skew & Chop Indicator - collaboration invited - NinjaTrader Programming | futures io social day trading
futures io futures trading


Skew & Chop Indicator - collaboration invited
Updated: Views / Replies:6,186 / 19
Created: by cclsys Attachments:10

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 10  
 
Thread Tools Search this Thread
 

Skew & Chop Indicator - collaboration invited

  #1 (permalink)
Elite Member
Sydney, NS
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: Zen-Fire
Favorite Futures: TF,S,GC
 
cclsys's Avatar
 
Posts: 607 since Nov 2009
Thanks: 248 given, 379 received

Skew & Chop Indicator - collaboration invited

Shortly after DeanV on the NT forum developed a dynamic PVP indy which uses data series after the close of a bar (i.e. not live-updating only), I wrote a 'skew indicator'.

Essentially based only on volume and price, it does a pretty good job of identifying chops and is sometimes very fast at identifying possible turning points. The backcolor indicates chop-type conditions and can be written many different ways, a couple of ideas for which are commented out in the current code. (Skew is the difference between vwap and dynamic PVP/POC. If vwap > PVP, skew is positive else if vwap < PVP skew is negative. )

The skew is plotted as the blue (bear) or gold (bull) bars then around them are drawn narrow and wide ATR bands to provide context.

The current problem with this indy is that the vwap always starts at midnight when called in another indicator. The vwap on this chart starts at 8.20 I think although because of the gap over the weekend on this pic it starts at 1800 Sunday night when the market re-opened.

I might try adding all this PVP/skew code to an existing vwap indy in order to get them all able to start and end at the same time. In any case, the principal is already there.

But what I would love to be able to put together here but lack programming skills to effect is:

1. either build a new indicator within an existing vwap so that the time-calling issue is resolved or have a new vwap whose start and end times can be called in other indies
2. Have the option to have all components either start at same time and/or be in 'rolling' mode, i.e. an 8 hour rolling period. Cory has already written something that does this with the VaT and VaB with dynamic PVP, so if a rolling vwap or callable start-end time vwap could be put in there to synchronise with the existing code this would work.
3. Even better would be a live-updating indy based on Gom's work because that way the PVP points would be more accurate and often turning points/skew flips would be indicated more accurately and, I suspect, in a more timely fashion.

This indicator can be used to identify probable chop areas very quickly, much more quickly than other indies I have seen. And then non-chop areas (no backcolor in attached indy) have higher probability of making decent moves.

So if anyone would like to try to get the vwap and PVP synchonised that would be a huge step forward. Again, I suspect either this means re-writing a vwap indy so the start and end times can be called (like DValue can already be called), or inserting PVP code into a vwap that shares the same start/end times. And then of course the rolling option is another excellent option in there.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Attached Files
Register to download File Type: zip dValueSkew0201.zip (22.1 KB, 120 views)
Reply With Quote
The following 3 users say Thank You to cclsys for this post:
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Sydney, NS
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: Zen-Fire
Favorite Futures: TF,S,GC
 
cclsys's Avatar
 
Posts: 607 since Nov 2009
Thanks: 248 given, 379 received


Well, that was a real hit!

Of old the skilled first made themselves invincible to await the enemy's vincibility.
Invincibility lies in oneself. Vincibility lies in the enemy.
Thus the skilled can make themselves invincible.
They cannot cause the enemy's vincibility.
Thus it is said: 'Victory can be known; it cannot be made.'
Reply With Quote
 
  #4 (permalink)
Market Wizard
virginia
 
Futures Experience: Intermediate
Platform: ninja
Favorite Futures: ES
 
cory's Avatar
 
Posts: 5,220 since Jun 2009
Thanks: 628 given, 6,318 received
Forum Reputation: Legendary

your chart has always confused me, to many layers of lines and shades. I try to understand the issue of start time as you had mentioned it many times before. I look at ivwap and it has start time and end time parm, are you saying it's not working.

Attached Thumbnails
Skew &amp; Chop Indicator - collaboration invited-ivwap.png  
Reply With Quote
 
  #5 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
Platform: Ninjatrader®
Broker/Data: CQG, Kinetick
Favorite Futures: Gameplay Klownbine® Trading of Globex
 
Zondor's Avatar
 
Posts: 1,327 since Jul 2009
Thanks: 1,246 given, 2,635 received

CCL, I am interested. The hVWAP indicator has user customizable start and end times, so it seems to me that any indicator that uses it should be able to pass on its own corresponding times. Right now am busy with some other stuff, and I don't have a great command of date time manipulations. But I will look at this. Stay in touch!

(If you have trouble finding hVWAP send me a PM. I think it's here on Big Mike's. What a great forum this is!)

Reply With Quote
 
  #6 (permalink)
Elite Member
Sydney, NS
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: Zen-Fire
Favorite Futures: TF,S,GC
 
cclsys's Avatar
 
Posts: 607 since Nov 2009
Thanks: 248 given, 379 received

To both

First: yes it IS a great forum!

I have hvwap. But you cannot call it's start-end times in other indicators, nor with any other of the 5-6 vwaps I have downloaded.

One workaround is to have the chart start and end at the day-session start time which means the vwap will start then. For some reason I didn't think of that earlier.

But ideally one should have a vwap whose start-end times can be called in other indicators. DvalueArea has a way of defining start-end times that is callable in other indicators and I shall try one day to modify a vwap to use his method. However, all the date-time coding I find very hard to work with and the couple of times I tried this earlier I got nowhere. Maybe now I am better at it and can luck out.

Another approach might be to start with a vwap and then call other indicators from within it, but I think when I looked into this I again had a hard time understanding the code. The vwap is a slightly tricky animal... Gomi's vwap code is delightfully simple - 2-3 lines - but then it is embedded in one of these live-updating situations which is also problematic.

The best would be to re-write a vwap that has
a) callable date-time inputs and
b) a rolling capability, i.e. the last X hours as long as
c) any volume histogram (such as DValueArea) also has rolling capability.

Cory: sorry my chart was confusing. I was just looking at the skew indy which is fairly self-explanatory. But the problem is that the vwap referenced in the indy starts at 12.00 am, whereas the vwap on the chart starts at 8.20.

Of old the skilled first made themselves invincible to await the enemy's vincibility.
Invincibility lies in oneself. Vincibility lies in the enemy.
Thus the skilled can make themselves invincible.
They cannot cause the enemy's vincibility.
Thus it is said: 'Victory can be known; it cannot be made.'
Reply With Quote
 
  #7 (permalink)
Market Wizard
virginia
 
Futures Experience: Intermediate
Platform: ninja
Favorite Futures: ES
 
cory's Avatar
 
Posts: 5,220 since Jun 2009
Thanks: 628 given, 6,318 received
Forum Reputation: Legendary

in this one I specify hVWAP at 11:45 - 13:30 are you saying you can't do it?

Attached Thumbnails
Skew &amp; Chop Indicator - collaboration invited-cl-03-10-2_9_2010-1-min-.jpg  
Reply With Quote
 
  #8 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,355 given, 83,237 received

Move the start-time and end-time parameter to the Category["Parameters"] and it will be able to be specified by another indicator.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
  #9 (permalink)
Elite Member
Sydney, NS
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: Zen-Fire
Favorite Futures: TF,S,GC
 
cclsys's Avatar
 
Posts: 607 since Nov 2009
Thanks: 248 given, 379 received

Thanks!!

First changed it to parameters.

Then had to figure out how to get the DValue ints used for StartHour and StartMinute into the hvwap string 00:00:00 format but was lucky and it worked.

Now I have a Skew Indy which has a start-time callable vwap.

So easy when you know how.

I don't even know if this indicator is helpful or not, but I wanted to at least monitor it because it is highly original and based mainly on the relationship of vwap and PVP, both of which are volume-derived statistics.

Thank you very, very much Mike.

My chart is a little messy now, but have marked the 'flips' with vertical lines on the lower panel and the main chart panel. Now they are synchronised properly so I can see how/if it is even helpful to have it.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Of old the skilled first made themselves invincible to await the enemy's vincibility.
Invincibility lies in oneself. Vincibility lies in the enemy.
Thus the skilled can make themselves invincible.
They cannot cause the enemy's vincibility.
Thus it is said: 'Victory can be known; it cannot be made.'
Reply With Quote
 
  #10 (permalink)
Elite Member
Sydney, NS
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: Zen-Fire
Favorite Futures: TF,S,GC
 
cclsys's Avatar
 
Posts: 607 since Nov 2009
Thanks: 248 given, 379 received


For you, Mike, a pic of 5 min Crude. I have changed my band indy from your excellent Collective to being based on the vwap with your Daily ATR lookback feature (for which hearty thanks). Again, this is first time I have been able to get the vwap to start at time other than midnight by now having it callable within the code.

For anyone else who might be interested, the relevant line is:
code/
_pvalue = (hVWAP(openHour +":" + openMinute + ":" + 00, openHour +":" + openMinute + ":" + 00 )[0]);

code^/

where the first one is endtime and second is starttime using the string format required by hvwap.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Of old the skilled first made themselves invincible to await the enemy's vincibility.
Invincibility lies in oneself. Vincibility lies in the enemy.
Thus the skilled can make themselves invincible.
They cannot cause the enemy's vincibility.
Thus it is said: 'Victory can be known; it cannot be made.'
Reply With Quote

Reply



futures io > > > > > Skew & Chop Indicator - collaboration invited

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Chop indicator NT shah1266 NinjaTrader 1 August 4th, 2011 09:12 AM
SKEW worldwary Traders Hideout 4 July 25th, 2011 08:57 PM
TeamViewer collaboration software zacharydw00 Trading Reviews and Vendors 5 April 5th, 2011 12:16 AM
Collaboration on Perfomance Statistics zeller4 The Elite Circle 24 November 24th, 2009 09:34 PM


All times are GMT -4. The time now is 09:39 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-17 in 0.14 seconds with 20 queries on phoenix via your IP 54.226.34.209