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Custom symbol
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Custom symbol

  #11 (permalink)
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Alex91320 View Post
Fattails,

I tried the pairs indicator, had same issue.
however, If you can make it work, I'll be forever grateful!

What issues did you have exactly?

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  #12 (permalink)
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a variety from the list below:
1. Haiki Ashi doesn't plot
2. main (1st panel) plot of ES disappears
3. The "pairs" plot disappears
4. Fisher transform doesn't plot
5. Chart becomes a big red X

I'm relatively new to NT, so its quite possible/likely that some of these are caused by "operator" error.

In the end, what I'm trying to achieve is:

ES on panel1
spread of 2 instruments (neither is ES) on panel 2
The spread (panel2) is plotted in HA
Fisher transform is applied to the spread

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  #13 (permalink)
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Alex91320 View Post
a variety from the list below:
1. Haiki Ashi doesn't plot
2. main (1st panel) plot of ES disappears
3. The "pairs" plot disappears
4. Fisher transform doesn't plot
5. Chart becomes a big red X

I'm relatively new to NT, so its quite possible/likely that some of these are caused by "operator" error.

In the end, what I'm trying to achieve is:

ES on panel1
spread of 2 instruments (neither is ES) on panel 2
The spread (panel2) is plotted in HA
Fisher transform is applied to the spread

Sounds like an interesting puzzle. I will try to solve it.

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  #14 (permalink)
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Fat Tails View Post
Sounds like an interesting puzzle. I will try to solve it.

@Fattails
I Found an alternative and got Fisher to perform as needed.
Thank you for all your help, glad I joined the board!

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  #15 (permalink)
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Alex91320 View Post
@Fattails
I Found an alternative and got Fisher to perform as needed.
Thank you for all your help, glad I joined the board!


Good to know... as I am curious, what alternative did you find?

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  #16 (permalink)
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Instead of using HA color as trend filter for the spread I ended up using a moving average.

So far looks good, I'll know for sure after I do some back testing over the weekend.

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  #17 (permalink)
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Alex91320 View Post
Instead of using HA color as trend filter for the spread I ended up using a moving average.

So far looks good, I'll know for sure after I do some back testing over the weekend.

Using Heikin Ashi candles for a spread is a weird idea, because of technical limitations.

If you open a 15 min chart and you load the synchronized data for two instruments on this chart to calculate the spread, you can only calculate spread values for the open and the close. The intrabar high and low of the spread cannot be determined, as the high and low of the two bar series are - unlike open and close - not synchronized.

So you cannot create a candle to represent the spread, unlike you rely on intrabar data. For example I could use a 1 min bar series of both instruments to calculate the highest and lowest difference of the closes over a 15 min period and then chart it as the high and low of a 15 min candle. But this is a more compex task than to calculate a simple spread.

As we do not get any highs and lows, we can neither chart the spread as conventional candles nor as Heikin Ashin candles. If you want to extract the trend from the spread, here is a suggestion:

Chart the ratio or the spread on a separate panel. Then apply bollinger bands to the spread and play a little bit with the settings. The chart below shows the Universal Bollinger Indicator applied to the YM 03-12 / ES 03-12 ratio.

You will notice that the Bollinger Bands can produce conforming or conflicting trend signals. Have not yet finished the spread and ratio indicators, but you can take any of those to play around.

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  #18 (permalink)
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@Fatails
There is a new addition to the NT7 indicator section, its called "spread candlesticks".
It plots SPread with candlesticks Author mentioned something about removing synch code to accommodate the OHLC values that are required for candles/haiken.
I'm interested in using this new indicator as soon as I can figure out how to leave out the main data series and plot the spread of two alternative instruments.

Question is, how will exclusion of the synch code in this version of Spread to accommodate the OHLC values affect the output value/ output integrity (could it produce dud reading when it couldnt sync)?

Using original Spread3 as input for another indicator (fisher transform) gives me problems when I try to access diff TFs in MarketAnalyzer couple other indicators that access non-defult TF dataseries.

Any other more stable alternatives to get spread calculations for use as input?


Last edited by Alex91320; February 27th, 2012 at 03:33 PM.
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  #19 (permalink)
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Alex91320 View Post
@Fatails
There is a new addition to the NT7 indicator section, its called "spread candlesticks".
It plots SPread with candlesticks Author mentioned something about removing synch code to accommodate the OHLC values that are required for candles/haiken.
I'm interested in using this new indicator as soon as I can figure out how to leave out the main data series and plot the spread of two alternative instruments.

Question is, how will exclusion of the synch code in this version of Spread to accommodate the OHLC values affect the output value/ output integrity (could it produce dud reading when it couldnt sync)?

Using original Spread3 as input for another indicator (fisher transform) gives me problems when I try to access diff TFs in MarketAnalyzer couple other indicators that access non-defult TF dataseries.

Any other more stable alternatives to get spread calculations for use as input?

Not sure, whether that indicator works correctly, could you post it here? If you try to use candles for a spread, this basically requires intra-bar information, as you cannot calculate high and low of the spread from high and low of the data series that are used to calculate the spread.

I have not studied other spread indicators. NinjaTrader is not the best tool, if you want to trade spreads. If you just need a spread as an indicator, NinjaTrader should do.

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  #20 (permalink)
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I've attached the CandleSpreads

Spread3 gives me errors when I use it as input for another indi due to its OHLC, hopefully "Pairs" will perform better

Attached Files
Register to download File Type: zip SpreadCandlesticks.zip (3.8 KB, 33 views)
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