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Fluxsmith's indicators


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Fluxsmith's indicators

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  #1 (permalink)
 fluxsmith 
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In this thread I intend to post indicators I have developed. In most cases the indicator is designed primarily as a reusable component for compositing into more complex indicators, and the visible rendition exists mostly for testing and verification.
My design goals are to be as CPU efficient and memory compact as possible.

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 fluxsmith 
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 fluxsmith 
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 fluxsmith 
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 fluxsmith 
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  #7 (permalink)
 fluxsmith 
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 fluxsmith 
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  #9 (permalink)
 fluxsmith 
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 fluxsmith 
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  #11 (permalink)
 fluxsmith 
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 fluxsmith 
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 Big Mike 
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 fluxsmith 
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What does "jhl" represent?

Mike

My initials ;-). Initially for my own use I'd named everything 'MyWhatever', but I figured other ninjatrader users might use that convention and I needed something a little more unique.

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 fluxsmith 
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 fluxsmith 
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  #17 (permalink)
 fluxsmith 
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 MXASJ 
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fluxsmith View Post

Shouldn't the Pearson code be checking the correlation/liner relationship between two variables? ES and YM, for example. Is this coded as some sort of autoregressive indicator? I'm still scratching my head when I look at the code .

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 fluxsmith 
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 fluxsmith 
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MXASJ View Post
Shouldn't the Pearson code be checking the correlation/liner relationship between two variables? ES and YM, for example. Is this coded as some sort of autoregressive indicator? I'm still scratching my head when I look at the code .

It can be used in that manner, in this case it's the correlation of price vs time (periods). My interpretation is that > vs < 0 indicates direction of trend, and magnitude indicates strength of trend.

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 fluxsmith 
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 MXASJ 
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fluxsmith View Post
It can be used in that manner, in this case it's the correlation of price vs time (periods). My interpretation is that > vs < 0 indicates direction of trend, and magnitude indicates strength of trend.

Interesting. Thank you!

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 fluxsmith 
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 fluxsmith 
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https://futures.io/free_downloads/ninjatrader-7/indicators/537-download.html?view

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 fluxsmith 
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 fluxsmith 
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  #27 (permalink)
 Trader.Jon 
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JHL,

You are a coding machine, and your contribution is greatly appreciated! The idea of having elegant and efficient code is close to my heart ... if I could only do it though lol

Trader.Jon



fluxsmith View Post
In this thread I intend to post indicators I have developed. In most cases the indicator is designed primarily as a reusable component for compositing into more complex indicators, and the visible rendition exists mostly for testing and verification.
My design goals are to be as CPU efficient and memory compact as possible.


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 fluxsmith 
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  #29 (permalink)
 fluxsmith 
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fluxsmith View Post

When I posted this indicator I'd not seen that NT includes 'KAMA'. I thought I'd finally posted something not available as a built-in ;-). I do notice minor differences in the calculated values, which I attribute to a difference in interpretation of the original documentation (I don't know which is correct). In my version the 'noise' is the sum of n - 1 deltas (1st bar vs 2nd bar, 2nd bar vs 3rd bar, etc.) In the Ninja version 'noise' is n deltas, which means period + 1 bars are involved in the calculation.

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 fluxsmith 
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  #31 (permalink)
qwertz
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Hej fluxsmith, i tryed different settings but still cant get the same plot style as you. Could you help me out?

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 fluxsmith 
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qwertz View Post
Hey fluxsmith, i tryed different settings but still cant get the same plot style as you. Could you help me out?

Good morning. In most of the illustrations I posted with the indicators I manually set the plot style set to 'hash'.

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  #33 (permalink)
 fluxsmith 
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  #34 (permalink)
 Barrosco 
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Hi Fluxsmith,
Is there some problem if I download your indicator to my NinjaT. 6.5?
Congratulations for your nice work.
Best regards.

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 fluxsmith 
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Barrosco View Post
...Is there some problem if I download your indicator to my NinjaT. 6.5...

They were all created in and exported from 7, but I doubt there'd be any problem except with the few that color their plots based on direction, those use a new method not available in 6.5.

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JoeBlow321
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Hello jhlVMA gives an error on importing.
Import failed.The NinjaScript archive file may contain duplicate method names that already exist on your pc or there is a required file missing on either your pc or in the import archive.
Thanks.

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JoeBlow321 View Post
Hello jhlVMA gives an error on importing.
Import failed.The NinjaScript archive file may contain duplicate method names that already exist on your pc or there is a required file missing on either your pc or in the import archive.
Thanks.

Have a look at this:

How-to import indicators in NinjaTrader - Big Mike's Day Trading Forum

R.I.P. Andy Zektzer (ZTR), 1960-2010.
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  #38 (permalink)
 fluxsmith 
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JoeBlow321 View Post
Hello jhlVMA gives an error on importing...

Hi. What NT version are you using?

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 Barrosco 
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Hi Fluxsmith,
When I imported the ZelmaVelma received this Error message "Import failed. NinjaTrader could not decompress the NinjaScript Archive File: Version required to extract this entry not supported (45)". Is there a solution, please?

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Barrosco View Post
Hi Fluxsmith,
When I imported the ZelmaVelma received this Error message "Import failed. NinjaTrader could not decompress the NinjaScript Archive File: Version required to extract this entry not supported (45)". Is there a solution, please?

If you are running NT65 then this could be an issue. I believe fluxsmith exported his work using NT7 and the ZIP routines are not backwards compatible. In other words you can not import an indicator into NT65 that was exported on NT7. At least that has been my experience.

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 fluxsmith 
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Barrosco View Post
When I imported the ZelmaVelma received this Error ...

Good morning. I'll start exporting and posting some indicators from 6.5 when requested, but I never posted anything named ZelmaVelma?

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 Barrosco 
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Thank you,
Please, when you wake up you have to think about to take the money from the market, not from another person, because maybe he do not trade the same instruments you trade. Good luck! Nice trades for you, you deserve.
PS: in some part of your threads you called your AaZlemaVma for ZelmaVelma. If I made a mistake, please, forgive me.

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 fluxsmith 
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I was fortunate to come across a small cache of very old Technical Analysis of Stocks & Commodities magazines at our local $1 used book store. Here is one of the results.
Relative Vigor Index, from John Ehlers, in Technical Analysis of Stocks & Commodities, January 2002:

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 Barrosco 
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Dear Fluxsmith,
Please, I ask you for, in a act of great kindness, make yours very good indicators to work in the NinjaTarder 6.5, because it is used by the majority of BigMike's Trading Forum.
Therefor, I thank you very much.
Good trades for you and
All teh best.
Barrosco

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 fluxsmith 
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Barrosco View Post
Dear Fluxsmith,
Please, I ask you for, in a act of great kindness, make yours very good indicators to work in the NinjaTarder 6.5, because it is used by the majority of BigMike's Trading Forum.
Therefor, I thank you very much.
Good trades for you and
All teh best.
Barrosco

Good morning, I simply don't have time to redo them all in 6.5, especially as 7 is quickly becoming viable. But... if there's a particular one you're interested in I'll be happy to convert and post it.

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 Barrosco 
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Yes, please, I woul like you make the AaZlemaVma for the NinjaTrader 6.5
All the best,
Barrosco

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 fluxsmith 
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Barrosco View Post
Yes, please, I woul like you make the AaZlemaVma for the NinjaTrader 6.
All the best,
Barrosco

Actually, I tried to edit my last post to reiterate my earlier reply about that one... That is not an indicator posted or created by me and I don't know anything about it. Sorry.

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 Barrosco 
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Hi, Fluxsmith,
Excuse me, now I saw that the autor is Gordo. I make the mistake because this ZelmaVelma, cames exactly after your 7 indicators.
Thanks for your attention.
All the best,
Barrosco.

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 cilencio 
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fluxsmith View Post
Good morning, I simply don't have time to redo them all in 6.5, especially as 7 is quickly becoming viable. But... if there's a particular one you're interested in I'll be happy to convert and post it.

Dear Fluxsmith,

Thanks for your great work!
Can I ask you to make your "jhlMIN" & "jhlMAX" indicators to work in the NinjaTarder 6.5, please?

Many thanks and best regads!!!

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  #50 (permalink)
 Trader.Jon 
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fluxsmith View Post

fluxsmith,

Thanks for the many fine tools you have shared!

I am trying to modify the posted jhlPFE by replacing the ema in the code with the MyVMA. I managed to compile ok, but the result is not as expected: plots the same as the original ema version. Can you please take a look at the code and correct my error? Code and comparative screen shot attached.

TIA!
Jon

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  #51 (permalink)
 fluxsmith 
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Trader.Jon View Post
fluxsmith,

Thanks for the many fine tools you have shared!

I am trying to modify the posted jhlPFE by replacing the ema in the code with the MyVMA. I managed to compile ok, but the result is not as expected: plots the same as the original ema version. Can you please take a look at the code and correct my error? Code and comparative screen shot attached.

TIA!
Jon

Good evening. Your problem is on the first line of Initialize. You still have:
pfe = new JHL.Utility.PFE(EffPeriod, VMAPeriod);
You would want:
pfe = new JHL.Utility.vPFE55(EffPeriod, VMAPeriod);

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Good evening. Your problem is on the first line of Initialize. You still have:
pfe = new JHL.Utility.PFE(EffPeriod, VMAPeriod);
You would want:
pfe = new JHL.Utility.vPFE55(EffPeriod, VMAPeriod);

I will make that change. Thanks very much.

Jon

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Hi Fluxsmith,

I have been using the Pearson Correlation (PC) you posted, and have noticed an odd behaviour, specifically on this setup, have not tried others yet, but it is consistent:
1. NT7b20
2. ForEx pairs
3. PC initiated with a period of < 12
The graph draws on a new panel, but as I scroll the window it disappears, and doesnt come back unless I re-apply it. IF the period > 12, then the graph is stable. I could not see anything in the code that specifically targets a need for >12 period for data. There is several days of 1 minute data available for the indicator.

Can you verify if this is intended?

Thanks,
Jon

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Hi Fluxsmith,

I have been using the Pearson Correlation (PC) you posted, and have noticed an odd behaviour, specifically on this setup, have not tried others yet, but it is consistent:
1. NT7b20
2. ForEx pairs
3. PC initiated with a period of < 12
The graph draws on a new panel, but as I scroll the window it disappears, and doesnt come back unless I re-apply it. IF the period > 12, then the graph is stable. I could not see anything in the code that specifically targets a need for >12 period for data. There is several days of 1 minute data available for the indicator.

Can you verify if this is intended?

Thanks,
Jon

I'd be very interested in fixing this, but I just tried a period of 11 with no problem. I suspect your data is triggering a divide by zero error, but it's not apparent to me where that would happen. It would really help if I could reproduce the problem. Please let me know what data series you are using when you see this. Thanks.

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fluxsmith,

Thanks for the follow up and feedback !

I am getting multiple errors in the log:
Date,Category,Message,
9/30/2010 10:11:59 AM,Default,Error on setting indicator plot for indicator 'jhlPearsonCorr'. Value outside of valid range.,
9/30/2010 10:11:11 AM,Default,Error on setting indicator plot for indicator 'jhlPearsonCorr'. Value outside of valid range.,
9/30/2010 10:09:46 AM,Default,Error on setting indicator plot for indicator 'jhlPearsonCorr'. Value outside of valid range.,

Definitely happening on $EURUSD 1min bars jhlPearsonCorr @ 7, and 10 ..no other indicators on that chart.. pix attached .. I understand if there wasnt enough data, but there is 3 days loaded, and it is the shorter periods that undraw as I scroll the screen, not the longer period

Jon

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ID:	21254  
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...I have been using the Pearson Correlation (PC) you posted, and have noticed an odd behaviour...

Good evening, please let me know if the attached solves the problem. Thank you.

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Good evening, please let me know if the attached solves the problem. Thank you.

fluxsmith,

Looks like its fixed ... ThankYou!! I will let you know if it starts misbehaving again

Jon

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Zoethecus clued me into to something he called a 'Holt EMA'. I'd not heard of it before, after some research the clearest description I found of it was about halfway down the page here:

PowerPoint Presentation

This and other papers refer to it as a double smoothed exponential average, however it is quite different from the NT supplied DEMA.

Download here:

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Zoethecus clued me into to something he called a 'Holt EMA'. I'd not heard of it before, after some research the clearest description I found of it was about halfway down the page here:

PowerPoint Presentation

This and other papers refer to it as a double smoothed exponential average, however it is quite different from the NT supplied DEMA.

Download here:

Also read this old post on futures.io (formerly BMT) about Holt:



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Good evening. Your problem is on the first line of Initialize. You still have:
pfe = new JHL.Utility.PFE(EffPeriod, VMAPeriod);
You would want:
pfe = new JHL.Utility.vPFE55(EffPeriod, VMAPeriod);

Thanks fluxsmith,

Now trying to make sure the CMO is available as a variable ... tried adding it in .. _finally_ compiles fine .. doesnt do anything to the ouput no matter how high I set the values. I think {actually, I know} I am missing something .. can you please have a l@@k again ...

Thanks!
Jon

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Thanks fluxsmith,

Now trying to make sure the CMO is available as a variable ... tried adding it in .. _finally_ compiles fine .. doesnt do anything to the ouput no matter how high I set the values. I think {actually, I know} I am missing something .. can you please have a l@@k again ...

Thanks!
Jon

Good morning,

Sorry, I looked at your code and I don't understand what you want to do with the cmo. You've constructed one, but you haven't used it in any way.

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Good morning,

Sorry, I looked at your code and I don't understand what you want to do with the cmo. You've constructed one, but you haven't used it in any way.

Hi,

I am trying to use it, but dont understand where to 'hook it'. With your help I modified your jhlPFE to use the MyVMA (works as fine as vPFE), but there is no direct control of the CMO portion (that is in MyVMA) from indicator vPFE. vPFEc is my attempt to integrate the CMO variable iputs within the indicator. I have followed the code as best I could, and the vPFEc compiles without errors, but changing the input for CMO within vPFEc (in ranges of 5 to 55) makes no changes in the ouput graph.

" but you haven't used it in any way " == correct == please, how do I complete the code so it will work as intended? I hope my explanation is clear enough.

Thanks,
Jon

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...but there is no direct control of the CMO portion (that is in MyVMA) from indicator vPFE. vPFEc is my attempt to integrate the CMO variable iputs within the indicator...

I think I understand what you're trying to do, you just need:

 
Code
                            
 
public vPFEc(int effPeriodint vMAPeriodint cMOPeriod)
{
   
vma = new JHL.Utility.VMA(vMAPeriodcMOPeriod);
   
Math.Max(effPeriod2);
   
sum = new JHL.Utility.Sum(1);
   
value = new double[n];


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I think I understand what you're trying to do, you just need:

 
Code
                            
 

public vPFEc(int effPeriodint vMAPeriodint cMOPeriod)
{
   
vma = new JHL.Utility.VMA(vMAPeriodcMOPeriod);
   
Math.Max(effPeriod2);
   
sum = new JHL.Utility.Sum(1);
   
value = new double[n];


fluxsmith,

I will give that a try ... thanks again!

Jon

ps: works like a charm

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I just posted a LaguerreFilter indicator:


Out of curiosity I'd like to try creating one with a fifth element, but I don't know what the weightings should be (e.g. four element is (1, 2, 2, 1) / 6). If anyone here understands the math enough to answer that for a five element implementation I'd appreciate the suggestions.

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I just posted a LaguerreFilter indicator:


Out of curiosity I'd like to try creating one with a fifth element, but I don't know what the weightings should be (e.g. four element is (1, 2, 2, 1) / 6). If anyone here understands the math enough to answer that for a five element implementation I'd appreciate the suggestions.

I googled for an answer ... no luck ... maybe just set it up as a variable and let PH optimize the code?!

Jon

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fluxsmith View Post
Zoethecus clued me into to something he called a 'Holt EMA'. I'd not heard of it before, after some research the clearest description I found of it was about halfway down the page here:

PowerPoint Presentation

This and other papers refer to it as a double smoothed exponential average, however it is quite different from the NT supplied DEMA.

Download here:

fluxsmith,

It seems that Win7 doesnt like the two utility files to be in same folder (its not a very intelligent OS after all) as it sees the JHL same as jhl ... I tried mergeing the two files together but still have issues with compiling correctly. Can you please merge them and then I can use jhlHMA and MyVMA on the same instance of NT !!

TIA!
Jon

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fluxsmith,

It seems that Win7 doesnt like the two utility files to be in same folder (its not a very intelligent OS after all) as it sees the JHL same as jhl ... I tried mergeing the two files together but still have issues with compiling correctly. Can you please merge them and then I can use jhlHMA and MyVMA on the same instance of NT !!

TIA!
Jon

Good evening Jon. I wouldn't know what to merge, I only have one jhl.Utility file on my machine. IIRC early on I posted some indicators which had contents in jhl.itility which I have since pulled out of it. I also don't recall what 'MyVMA' is or if it was mine. I reccomend you try substituting jhlVMA, and if you still have a problem I may need to (and will) update it to use the current stripped-down jhl.utility. I too use windows, which has always been a case insensitive file system, so case variations do not mean a different file is intended.


https://futures.io/free_downloads/ninjatrader-7/indicators/537-download.html?view

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Good evening Jon. I wouldn't know what to merge, I only have one jhl.Utility file on my machine. IIRC early on I posted some indicators which had contents in jhl.itility which I have since pulled out of it. I also don't recall what 'MyVMA' is or if it was mine. I reccomend you try substituting jhlVMA, and if you still have a problem I may need to (and will) update it to use the current stripped-down jhl.utility. I too use windows, which has always been a case insensitive file system, so case variations do not mean a different file is intended.


https://futures.io/free_downloads/ninjatrader-7/indicators/537-download.html?view

fluxsmith,

That link that you posted includes MyVMA.cs and JHL.Utility ...

please advise == my NT7b20 wont allow JHL.Utility and jhl.Utility to be is same folder, and neither will Win7. I just tested trying to save a strategy called 'TEST' as 'test' and NT7b20 wants to know if I wanted to overwrite a file 'test' ... if I say yes, then it is saved again as 'TEST' and there is only 'TEST' in the strategy folder, and 'test.cs' doesnt exist.


I anticipate that any changes you make will not affect jhlPFE, jhlPearsonCorr, etc ? Hopefully not the variants I made of jhlPFE that included the MyVMA (substituted for EMA)

TIA,
Jon

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...That link that you posted includes MyVMA.cs and JHL.Utility ...

Please see if this resolves the problem for you:

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This week's Wednesday chat at thinkorswim featured Price Headley discussing how he trades with Williams %R and Acceleration Bands. I was intriqued, and I think I may use both in a future ATS. So I've coded "Acceleration Bands', based on thinkorswim's implementation. Download here:

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For those interested, I just updated this indicator in the downloads section. Just corrected a problem where it could not be serialized and saved with the workspace:


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For those interested, I just updated this indicator in the downloads section. Just corrected a problem where it could not be serialized and saved with the workspace:


I have sent out notifications to previous downloaders.

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I just posted an indicator to display the relative time required to complete each bar on a tick chart:


I created this because I was interested in determining the hours in an extended trading session for which liquidity is adequate to trade. I've also noticed, but not tested, that turning points in price seem to be highly correlated with spikes in tickspeed.

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It's time for a refresh cycle of my indicators. I'm responding to my own experience and improvements, as well as this post:

and this problem:

I actually just found that link while looking for the bug posting about my code, I'll have to go back and check out that thread ;-).

I've also discovered a method of supporting multiple MA types without having a compile time dependency on those you don't wish to use.

Today I'm reposting jhlTSI and jhlTSIv2. If anyone has problems importing the new versions, you'll need to copy the .cs files from the .zip manually, compile, and let me know your error (it'll be a conflict with some other source file not from those two archives). I'll respond with a fix promptly.

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fluxsmith View Post
It's time for a refresh cycle of my indicators. I'm responding to my own experience and improvements, as well as this post:

and this problem:

I actually just found that link while looking for the bug posting about my code, I'll have to go back and check out that thread ;-).

I've also discovered a method of supporting multiple MA types without having a compile time dependency on those you don't wish to use.

Today I'm reposting jhlTSI and jhlTSIv2. If anyone has problems importing the new versions, you'll need to copy the .cs files from the .zip manually, compile, and let me know your error (it'll be a conflict with some other source file not from those two archives). I'll respond with a fix promptly.

Fluxsmith,

Thats great news... so glad you took the opportunity to do this!

I have a laptop without any of the indicators installed yet: I will wait until you are finished with all of them, and then install them all at once, and report back if there are any NT hiccups

Jon

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Updated jhlEMA to use new version of JHL.Utility.MA and use JHL.Utility.MAType vs JHL.Utility.MA.Type. Also further reduces memory footprint and increases CPU efficiency (trivially). Changed CalculateOnBarClose default to true, as I intend to set the default according to the refresh efficiency of the indicators.


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fluxsmith View Post
Updated jhlEMA to use new version of JHL.Utility.MA and use JHL.Utility.MAType vs JHL.Utility.MA.Type. Also further reduces memory footprint and increases CPU efficiency (trivially). Changed CalculateOnBarClose default to true, as I intend to set the default according to the refresh efficiency of the indicators.


Not my doing: NT support has recommended not having any COBC entry in indicators that are used for strategies. I am not sure of the reason, though I do know it makes a small difference in backtesting. All the NT supplied indicators in their distribution (as far as I have checked) do not have any COBC line in their code.

Just my 2 CDN cents worth,
Jon

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Not my doing: NT support has recommended not having any COBC entry in indicators that are used for strategies. I am not sure of the reason, though I do know it makes a small difference in backtesting. All the NT supplied indicators in their distribution (as far as I have checked) do not have any COBC line in their code.

Just my 2 CDN cents worth,
Jon

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.

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Updated jhlWMA to use new version of JHL.Utility.MA and use JHL.Utility.MAType vs JHL.Utility.MA.Type. Also increases CPU efficiency (trivially). Changed CalculateOnBarClose default to true, as I intend to set the default according to the calculation efficiency of the indicators.


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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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 fluxsmith 
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Corrected thanks to these posts from FatTails:






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 fluxsmith 
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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.


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


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 fluxsmith 
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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.



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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

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 Trader.Jon 
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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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 fluxsmith 
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I just posted my implementation of a moving median.


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 fluxsmith 
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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.


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 fluxsmith 
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This version of Spearman Ranked Correlation treats tied ranks by averaging the values they would otherwise be assigned.


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 fluxsmith 
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I'm embarrassed to say I screwed up such relatively simple code, but I discovered today that jhlMIN and jhlMAX were returning incorrect results if COBC == false and the input series wasn't Low and High respectively. The following posts have been updated:
(jhlMIN)
(jhlMAX)
(jhlFractalDimension)
(jhlHurstExponent)

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 Big Mike 
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fluxsmith View Post
I'm embarrassed to say I screwed up such relatively simple code, but I discovered today that jhlMIN and jhlMAX were returning incorrect results if COBC == false and the input series wasn't Low and High respectively. The following posts have been updated:
(jhlMIN)
(jhlMAX)
(jhlFractalDimension)
(jhlHurstExponent)

Email notifications sent about new version.

Thx,
Mike

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 fratelli 
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Hi Fluxsmith

I found an indikator you maded.

JHLEMA colored

is it possibel for you to put in that its possibel for me to choose whatever color I want for upmove and downmove.?

I ask because I want use it with 2 different ema period, and then it would help me to have different colors for both settings.?

regards

Peter

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 solondon 
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Hi Fluxsmith

very newbie question so apologies in advance, but say im using jholtema in a strategy I can see Avg but how do i decipher if its red or green for the condition?

thanks in advance
jlo

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