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Fluxsmith's indicators
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Fluxsmith's indicators

  #81 (permalink)
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To the best of my knowledge, if COBC = false in the parent, but the children are COBC = true, it will cause major problems. Best is to eliminate COBC statements entirely and control it on the panel, unless the indicator cannot function but one way in which case you have to force the issue --- which is best done in OnBarUpdate and not #init since it could otherwise be overridden.

Mike

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  #82 (permalink)
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jhlButterworth3 refresh

Corrected thanks to these posts from FatTails:
https://futures.io/elite-group-trading-methods/7943-moving-averages-how-do-you-use-them-14.html#post96640

https://futures.io/elite-group-trading-methods/7943-moving-averages-how-do-you-use-them-14.html#post96685


https://futures.io/free_downloads/ninjatrader-7/indicators/822-download.html?view

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  #83 (permalink)
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jhlWMA refresh


Another update to jhlWMA. I suspect this may be the last, it's hard to imagine how it could be made more efficient. While preparing a refresh of jhlHMA for posting (pending), I had a thought on how I could calculate a WMA with less multiplication (an expensive floating point operation). This is pushing optimization further than needed, but a Hull moving average uses three WMAs, so inefficiencies do add up.

https://futures.io/free_downloads/ninjatrader-7/indicators/524-download.html?view

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Big Mike View Post
To the best of my knowledge, if COBC = false in the parent, but the children are COBC = true, it will cause major problems. Best is to eliminate COBC statements entirely and control it on the panel, unless the indicator cannot function but one way in which case you have to force the issue --- which is best done in OnBarUpdate and not #init since it could otherwise be overridden.

Mike

Now two people I respect have told me this. Yet the documentation in both 6.5 and 7 states:

"The CalculateOnBarClose property of indicators embedded within a strategy are overriden by the CalculateOnBarClose property of the strategy."

So it shouldn't be a problem. If anyone has more references about the problem which may be caused I'd appreciate it.

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jhlHMA refresh

Updated jhlHMA (Hull moving average). Added up vs down coloring.

https://futures.io/free_downloads/ninjatrader-7/indicators/548-download.html?view

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jhlLLMA

Aslan contributed LLMA here:
https://futures.io/free_downloads/ninjatrader-7/indicators/738-download.html?view

I just stood on his shoulders and converted it to my style. This version uses much less memory, is simpler for me to follow, and has a startup phase where it has a pretty good estimate instead of no value set.
It can be constructed from my generic MA adaptor (jhlMA) with only a period specified, providing a default phase value of 0.


https://futures.io/free_downloads/ninjatrader-7/indicators/827-download.html?view

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fluxsmith View Post
Now two people I respect have told me this. Yet the documentation in both 6.5 and 7 states:

"The CalculateOnBarClose property of indicators embedded within a strategy are overriden by the CalculateOnBarClose property of the strategy."

So it shouldn't be a problem. If anyone has more references about the problem which may be caused I'd appreciate it.

My experience was with 6.5 and with indicators. WRT strategies I can't speak from experience, but I know 1000% the problem I described exists with indicators in 6.5.

Mike

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

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  #88 (permalink)
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COBC false COBC true ... no more ,no less


fluxsmith View Post
Maybe I'll do some testing, but as far as I know if you set the strategy itself to COBC = true all indicators within it will be run at COBC = true regardless of their defaults.
I like to have an indicator default to COBC = false if it is efficiently calculated, and COBC = true if it cannot be, especially if it has to iterate bars in order to update. I can always change it from the default if I want.


fluxsmith and BM,

After all the other posting about COBC here in this thread I figured this is on topic <ducking>. I found a reference after a little bit of looking: Calculate On Bar Close - Unexpected Results - NinjaTrader Support Forum

Jon

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jhlMedian

I just posted my implementation of a moving median.

https://futures.io/free_downloads/ninjatrader-7/indicators/834-download.html?view

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jhlSpearman


Here's an implemenation of Spearman Rank Correlation. It produces the same plot as the one written by NinjaTrader for the Feb 2011 Stock & Commodities article, but I think is more efficient.

https://futures.io/free_downloads/ninjatrader-7/indicators/836-download.html?view

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