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Average Daily Range Indicator for Ninjatrader
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Average Daily Range Indicator for Ninjatrader

  #1 (permalink)
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Average Daily Range Indicator for Ninjatrader

Is there an indicator for Ninjatrader that will calculate the ADR for the week, month and further for the CL contract? If so, where can I get the download. Thanks

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  #2 (permalink)
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coolriverjoe View Post
Is there an indicator for Ninjatrader that will calculate the ADR for the week, month and further for the CL contract? If so, where can I get the download. Thanks

Yes of course:

Here:
https://futures.io/elite-circle/4287-average-daily-range-adr.html

and also here:

https://futures.io/elite-circle/25791-toolbox-2013-trading-session.html

The second one has a lot of session tools.

Mike

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  #3 (permalink)
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Mike I am not an Elite member. How can I get the requested information without becoming an Elite member?

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coolriverjoe View Post
Mike I am not an Elite member. How can I get the requested information without becoming an Elite member?

One way is to BUY the indicator from a vendor.
Many of them advertise this type of indicator.

I just saw one for a mere $395 for a single license.

But wouldn't it be silly if you actually paid that much.

The cost of the Elite membership is nothing compared to the value you receive.

Good luck with your search.

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coolriverjoe View Post
Mike I am not an Elite member. How can I get the requested information without becoming an Elite member?

@coolriverjoe

you could also go to the ninjatrader support forum. there you'll find the excellent session pivots v42 indicators by @Fat Tails (same as in the elite section here).

there're 6 indicators included. you'll need the anaCurrentDayOHL indicators (day, week, month). those indicators have an option to display the average daily range

Links and Downloads Manager - NinjaTrader Support Forum

good luck

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coolriverjoe View Post
Is there an indicator for Ninjatrader that will calculate the ADR for the week, month and further for the CL contract? If so, where can I get the download. Thanks

You coul use the ATR which comes with Ninja and use the free datafeed from Kinetick to get the daily, weekly and monthly bars.

In this example, we can deduct that the daily range is 1.5$ with one standard deviation of 11 cents.
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Cheap Cheat

What is the formula for ADR?

For a 4 days period(or weeks or months or hours) it is:

( H1 - L1 + H2 - L2 + H3 - L3 + H4 - L4 ) / 4

where :
H1= High of the first day
L1= Low of the first day
H2= High of the second day
L2= Low of the second day
H3= High of the third day
L3= Low of the third day
H4= High of the fourth day
L4= Low of the fourth day

you can "rearrange" the formula:

(( H1 + H2 + H3 + H4 ) - L1 - L2 - L3 - L4) / 4

(( H1 + H2 + H3 + H4 ) - ( L1 + L2 + L3 +L4 )) / 4

( H1 + H2 + H3 + H4 ) / 4 - ( L1 + L2 + L3 +L4 ) / 4

and then you realise that:

( H1 + H2 + H3 + H4 ) / 4 is the formula for a simple moving average of the highs with a period of 4

and

( L1 + L2 + L3 +L4 ) / 4 is the formula for a simple moving average of the lows with a period of 4.

So what do you have to do?

Plot a simple moving average of the highs(you pick the period) SMA(high)
Plot a simple moving average of the lows(you pick the same period) SMA(Low)

and look at the latest values for yesterday's chart
Calculate SMA(high) - SMA(Low) and it will give you the ADR for today!!!!!!!

for example in freestockcharts.com by moving the cursor over the pervious bar you will see the values for SMA HIGH and SMA LOW(circled in yellow) in this example 516,39 - 451,72 = 64.67

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Isn't It Wonderful!!!!!!!!

Enjoy



Last edited by bloopoop; March 7th, 2015 at 03:18 PM.
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  #8 (permalink)
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more to it ADR = special MACD

The conclusion I came up with was in the back of my mind and realised there was more to it...

there is an indicator that will plot the difference between 2 moving average and readily available too: the MACD!!!!!!

So what I am saying is that you can display the ADR if you can customise the MACD in you software!

Default setting are MACD (12/26/9) and averages are exponential, you need to be able to switch from exponential to simple, and you will need to be able to switch form based on closes to based on highs and based on lows

if you want the ADR for a 10 day period, the MACD would be MACD(10H/10L/1)

where
the first 10H is a simple moving average of the highs of the last 10 periods
the second 10L is a simple moving average of the lows of the last 10 periods
the 1 is useless so by using this parameter it will follow the line plotted line or histogram but if you feel you need it, adjust the period accordingly.

So ADR is just a special MACD if your software is versatile enough to be customised!!!!!!

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