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I am creating this thread just for publishing and maintaining NinjaTrader indicators. As I have already published over 150 indicators - some of them in the downloads and some of them elsewhere -, I need to simplify the maintenance of those indicators.

The purpose of this thread is

-> to test new indicators
-> to collect feedback
-> to inform about new versions
-> to make it easier to find ana-indicators

Final indicators will be moved to the download section. Experimental indicators - labeled X - will be published as attachements.

Please do not use this thread for discussing session indicators or multi-timeframe indicators, as there are other threads which I have created for this purpose.

I will gradually review existing indicators and list them here, so the thread will take some time before it can be used as intended.

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The original Stochastics indicator, which is attributed to George Lane, is based on the relative values of the current close compared to a lookback period of 14 days.

Fast Stochastics: The raw value is used as the K-line, the D-line is obtained by smoothing the K-line with a 3-period SMA.

Full Stochastics: The raw value is smoothed with a 3-period SMA to generate the K-line. The D-line is obtained as a 7-period SMA of the K-line.

The objective of the Stochastic Universal is to generalize the Stochastics formula by adding different options for

- calculating the raw value
- smoothing the raw value to calculate the K-line
- smoothing the K-line to calculate the D-line

The raw value can be calculated either as (close - lowest low)/ (highest high - lowest low) - this is the standard calcualtion - or it can be calculated as (close - lowest close)/(highest close - lowest close). For the smoothing about 30 different moving averages can be used. This results in approximately 1.800 different Stochastics indicators that can be created my selecting the parameters accordingly.

The indicator comes with different filters, which can be used to generate paint bars. At this stage I am still experimenting with the Universal Stochastics. Suggestions and feedback welcome.

The chart below show a Stochastics calculated from a raw stochastics which takes into consideration the close values onl. A distant-coefficient Ehlers filter is used for K-line and D-line smoothing. The trend filter is based on crosses and the overbougt and oversold conditions as defined by the two horizontal lines.

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Remember, you asked: If I may suggest, based on a lot of requests I've seen and done, is the development of the kitchensink of options for each indicator. I know this may sound or seem overkill and it probably is, yet none the less for every indicator created there are always the same add-on requests. These are (not in any order):

Optional (as in turn on or off):
1) Paint bars.
2) paint outline of bars.
3) paint background.
4) Paint entire chart back ground.
5) Signal outputs for market analyzer/ strategy/external use.
6) Sound (from externally supplied user file).
7) Alerts for alert panel.
8) Arrows/dots/triangles for crossovers.
9) region between lines/averages painting (as appropriate)
10) Streamwriter output of debug info.
11) Streamwriter output of indicator value and/or key indicator info.

I'm sure there are others but these are the ones that come to mind.

Thanks for asking!

"Money is better than poverty, if only for financial reasons." - Woody Allen

One suggestion to improve the thread would be to begin to build the Quick Summary Post like a Table of Contents that contains direction links to the relevant posts. For instance, you might have 3 posts on your anaSuperTrendU11 indicator in the future, and you could have something like this in the Quick Summary:

anaSuperTrendU11
-Link to file in Downloads: "insert URL here"
-Update narrative 1: "insert post URL here"
-Update narrative 2: "insert post URL here"

However it works out, this thread will still be a great addition to the Site.

Thanks for all of your hard work.

All best,

Aventeren

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I have published a few indicators in August, which have a considerable value adn that have so far been underestimated. I therefore use this thread to discuss the issue.

There are a few statistical crimes that are repeatedly committed when indicators are used for trading purposes.

Crime No. 1: All data points are being considered equal.

When you calculate a SMA or an EMA, then an equal weight is given to all data points. This does not make sense, as some of the data points represent little trading activity (night session, noon), while other data points represent a huge volume (opening and closing balance). Chart types as tick, volume and range charts adjust the weight of the data points to the market activity. The same is done with a volume-weighted moving average, the introduction of TPOs or VWTPOs, which can also be used to determine the weight of a data point.

However the largest crime is the use of the unstable period of an indicator, when setting and indicator to CalculateOnBarClose = false. Let us assume that you want to display the ATR(3) and display it on a 60 minute chart. You have set that indicator to COBC = false. Now you watch your chart at 11:01 AM and notice a considerable drop in the average true range. What happened? With COBC = false, the average true range is calculated over 3 bars. The first two values used for the calculation were the true range of the 10:00 AM bar and the 11:00 AM bar, but the third value is the true range of the incomplete 12:00 PM bar, which is just 1 minute old. The true range of this bar is close to zero, and therefore the ATR(3) which is now displayed is about 67% of the value that was shown for the prior bar.

There are many indicators that should never be used in COBC = false, because the unstable period should not be considered. Unlike the traditional SuperTrend indicator, SuperTrendM11 and SuperTrendU11 use the average true range and the moving average / median one bar ago. This explains the label "11". This is a preliminary requirement, if you want to use them in COBC = false. Otherwise the average true range would always be skewed to the downside prior to bar completion.

Crime No. 2: Only the bar close is used as a data point.

Every bar comes with 5 values, the open, the high, the low, the close and the volume. Many indicators just use the close and neglect that there are other data points available for calculating indicator values.

As an example let us take the standard deviation. Why would you calculate a Bollinger Band just from 12 closes, when 48 data points can be used? Wilder Welles, who did his indicator calculations manually, would tell me that it is much easier to do. Unfortunately, this argument is void, as we all have fast computers that can easily use all the data points. When I started to use all data points for the purpose of calculating VWAP bands - which are similar in a way to Bollinger Bands, as both rely on calculating the standard deviation - the accuracy of the bands has considerably increased. The increased accuracy allows to calculate the bands from 1-minute data as opposed to 1-tick data, which always produces a 100% accuracy.

In a contrbution to the July 2010 issue of Active Trader, Thomas Stridsman pointed out that it would be highly beneficial to automated trading strategies to use all data available, and not only the closes. He compared different indicators that he used as baselines, including mean, median and mode, which were all calculated from the entire sample. The only thing he got terribly wrong was the Pearson approximation used for the mode, as this approximation is only valid for unimodal distributions - and as we know, price volume distributions are rarely unimodal. Fortunately enough, it is easy to calculate a mode with high resolution sample data without using that approximation.

Crime No. 3: Indicator values are not corrected for the sample size.

This problem does not affect all indicators, but it does affect a few statistical indicators as the standard deviation and all its derivatives, such as the Bollinger Bands. This problem is also reduced, when all data points are used, as larger samples do not require a large correction.

This indicator can be considered as a range weighted moving average that uses the bar center (high + low)/2 as input series. Usually wide range bars have a higher volume than narrow range bars. This makes sense giving them a higher weight. When a breakout occurs, the MovingMean (TPO) will adapt faster than a traditional SMA. Compared to a SMA the lag is reduced when volatility increases, but it is lagging more when volatility decreases.

Moving Mean (VWTPO):

This indicator is identical to the VWMA, when the bar center (high + low)/2 is used as input series. It is pretty similar to the TPO mean, but uses real volume instead of approximating it via the range. The properties of this indicator are similar to the TPO mean, but it should be slightly more accurate.

Moving Median (TPO):

A statistical median calculated from all data points of all bars contained within the lookback period. Compared to a standard median calculated from the closes (also see here: https://futures.io/download/ninjatrader-7/indicators/829-download.html?view ), it should give a better approximation of the statistical median of the entire price volume distribution. The median is the most stable of the three statistical measures and probably the most representative as well.

Moving Median (VWTPO):

This indicator is similar to the TPO median, but should give an even better approximation of the the statistical median of the price volume distribution.

Moving Mode (TPO):

The indicator shows the price with the highest occurence over the lookback period of the indicator. As the price volume distribution of the single price bars over the lookback period is unknown, there can be a significant error in any estimation. Unlike the median, the mode is not self-correcting in a way that errors cancel out. It should therefore be used with prudence. However, this indicator will still yield far better results than the Pearson formula, which should only be applied to unimodal distributions.

Moving Mode (VWTPO):

The indicator shows a better accuracy than the TPO mode, but still suffers from its inherent instability.

I'm not sure what sort of feedback you are looking for. I will give it a shot.

A super useful feature of many ana... indicators is the ability to use any of the many moving averages that are out there.

You have recently coded some new ones I am thinking in particular of the gapless ones (but there have been others like the TTI/RWMA)

It is a big job and other than packaging them all up as a suite as you have done for the session indicators I guess there is no easy way.

In any case. You could consider adding it as a (low priority) "general ana..." task to update those indicators that have moving averages to include the latest and greatest.

As always, many thanks.

p

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@Tasker_182: If I had thought about adding all the options you requested, I would probably never have finished more than 3 indicators.

To be frank. I am not interested in adding all sorts of gimmicks, background colors, paint options, alerts, arrows, dots or similar. I believe that in the end those features make an indicator unusable and ugly.

However, all indicators come as open source.

You can add whatever you like or feel that you need for your trading.

Please rename the indicator to something else afterwards, as I would not be happy if people come and ask me for support all those added features.

Last edited by Fat Tails; October 7th, 2013 at 02:37 PM.

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This I knew to be your answer based on your comments before in many other threads. I merely posed it now so that you (hopefully) only have to deal with the question once, assuming i covered the kitchen sink. No need to thank me...

"Money is better than poverty, if only for financial reasons." - Woody Allen