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Help w/ Keltner from TradeStation to NT7
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Created: by bluemele Attachments:2

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Help w/ Keltner from TradeStation to NT7

  #11 (permalink)
Elite Member
Berlin, Europe
 
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Fat Tails's Avatar
 
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bluemele View Post
Ok, so here is a perfect example of how they are different. I don't know if my settings are correct, but for TS they are the default and for NT they are 2,52

I hope this explains on the differences between the default keltner in Ninja and this one.

This does not look difficult. The original Keltner Channels, which are correctly implemented by NinjaTrader, use a simple moving average applied to the typical price for the centerline, and then add/subtract a multiple of the simple moving average of the range to it.

From your TradeStation chart I can see that the moving average tracks price more closely, so it is likely that it uses an EMA. Also I suppose that it uses the average true range. This is a version of the Keltner Channels that was also used by Linda B. Raschke.

To make it simple: Try the Universal Keltner Channels which can be downloaded here

https://futures.io/free_downloads/ninjatrader-7/indicators/625-download.html?view

Now the settings: Try the settings as shown per screenshot below. Use EMA for both centerline and smoothing of average true range. Bandfactor needs to be set to 3.5, use the average true range, not the simple range. The screenshot shows a period of 52 for both center line and average true range. Not sure about this, you can reduce the period for the center line to 34 and play with the period of the average true range to match your TradeStation settings.

However, the Universal Keltner Channels indicator always calculates the centerline from the typical price, while the tradestation indicator has an option to use close or mean instead. But this only has a minor impact. So it is very likely that you can rebuild your tradestation indicator with the right settings.

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  #12 (permalink)
Elite Member
Honolulu, Hawaii
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: ATC/TT, AMP/Zen-Fire, AMP/CQG
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bluemele's Avatar
 
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Fat Tails View Post
This does not look difficult. The original Keltner Channels, which are correctly implemented by NinjaTrader, use a simple moving average applied to the typical price for the centerline, and then add/subtract a multiple of the simple moving average of the range to it.

From your TradeStation chart I can see that the moving average tracks price more closely, so it is likely that it uses an EMA. Also I suppose that it uses the average true range. This is a version of the Keltner Channels that was also used by Linda B. Raschke.

To make it simple: Try the Universal Keltner Channels which can be downloaded here

https://futures.io/free_downloads/ninjatrader-7/indicators/625-download.html?view

Now the settings: Try the settings as shown per screenshot below. Use EMA for both centerline and smoothing of average true range. Bandfactor needs to be set to 3.5, use the average true range, not the simple range. The screenshot shows a period of 52 for both center line and average true range. Not sure about this, you can reduce the period for the center line to 34 and play with the period of the average true range to match your TradeStation settings.

However, the Universal Keltner Channels indicator always calculates the centerline from the typical price, while the tradestation indicator has an option to use close or mean instead. But this only has a minor impact. So it is very likely that you can rebuild your tradestation indicator with the right settings.

Awesome, thanks, I will give it a try!!!


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  #13 (permalink)
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bluemele's Avatar
 
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That worked to be very close.

I now noticed that the close of bars for tradestation and ninja are not the same. I see that in Forex, but interesting to see their datafeeds differ as well on close of bars.

Thanks again you have been a big help!

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  #14 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
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bluemele View Post
That worked to be very close.

I now noticed that the close of bars for tradestation and ninja are not the same. I see that in Forex, but interesting to see their datafeeds differ as well on close of bars.

Thanks again you have been a big help!

This is normal behavior with tick interval. Try a minute interval and they should be the same. Even two Ninja users with the same data provider could have different closes depending on the opening time of the first bar.

Trader 1 uses 5 ticks/bar, Trader 2 uses 5 ticks/bar
Trader 1 starts at 8:00:00, Trader 2 starts at 8:00:30

Trader 1: 1234(5)1234(5)1234(5)1234(5)1234(5)1234(5)1234(5)
____Trader 2: 1234(5)1234(5)1234(5)1234(5)1234(5)1234(5)1

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  #15 (permalink)
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bluemele View Post
That worked to be very close.

I now noticed that the close of bars for tradestation and ninja are not the same. I see that in Forex, but interesting to see their datafeeds differ as well on close of bars.

Thanks again you have been a big help!

There may be several reasons:

- for FOREX there is no central exchange, so the datafeeds may be different

- for futures the exchange is identical, but the tick data may be filtererd for either NinjaTrader or TradeStation

- even if tick data is not filtered, the start time, for NinjaTrader definied by the session begin may have an impact

But the differences should be small, except for FOREX, where the data may come from different ECNs.

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  #16 (permalink)
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Honolulu, Hawaii
 
Futures Experience: Intermediate
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bluemele's Avatar
 
Posts: 2,547 since Jun 2010
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trendisyourfriend View Post
This is normal behavior with tick interval. Try a minute interval and they should be the same. Even two Ninja users with the same data provider could have different closes depending on the opening time of the first bar.

Trader 1 uses 5 ticks/bar, Trader 2 uses 5 ticks/bar
Trader 1 starts at 8:00:00, Trader 2 starts at 8:00:30

Trader 1: 1234(5)1234(5)1234(5)1234(5)1234(5)1234(5)1234(5)
____Trader 2: 1234(5)1234(5)1234(5)1234(5)1234(5)1234(5)1

Wow, interesting, learning something nice every day!

Thanks to you and FatTails!

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