Coding Multi Time Frame (MTF) Indicators with NinjaTrader

October 21st, 2011, 10:49 AM

madLyfe

will playing with these have any effect on currently installed visualSMA/EMA indies?

They have different names and do not use the same enums, so there is no conflict between the new and the old versions.

You can therefore install them in parallel.

October 21st, 2011, 11:24 AM

getting pretty drastic differences in plots with the same options set.. Black is the current visualSMA lines, and the equal counterparts are the newvisualSMA lines colored in red:

October 21st, 2011, 11:29 AM

Fat Tails

I have been further digging into the NinjaTrader architecture, and the result is a simpler version of the VisualSMA and the VisualEMA. The new versions were entirely recoded from scratch and the code is about 80 lines shorter than the code of the previous versions.

Simplicity always means performance gain and robustness, so here are some of the main improvements:

-> loading time of the indicator on historical data reduced by a factor 10
-> lag of the indicators reduced
-> indicators can be safely called from other indicator or strategy

The chart below shows the 20-period EMA and 20-period SMA, both calculated from a 5 minute chart, but displayed on a 50 tick chart of the FDAX 12-11.

The new indicators are attached below. After installation you will find them as NewVisualSMA or NewVisualEMA in the dropdown menu of the indicator dialogue box. These are not the final versions, but pre-versions for testing.

Fat,

What are the differences between the anaVisualEMA, anaVisualSMA and VisualEMAX(x), VisualSMAX(x) ? I seem to be more comfortable with ...MAX series.

Lolu

October 21st, 2011, 12:24 PM

madLyfe

getting pretty drastic differences in plots with the same options set.. Black is the current visualSMA lines, and the equal counterparts are the newvisualSMA lines colored in red:

This is still a bug in the new indicator, will change the code and post it later. Nothing serious, just forgot to implement the Typical Price correctly, so it is displaying the Close.

October 21st, 2011, 03:05 PM

lolu

Fat,

What are the differences between the anaVisualEMA, anaVisualSMA and VisualEMAX(x), VisualSMAX(x) ? I seem to be more comfortable with ...MAX series.

Lolu

I use X for experimental, it was a pre-version. There is a learning curve involved in coding MTF indicators, I am gradually getting better at it. An expert is somebody, who has made every possible mistake.

I really suggest to switch to the newest version available in the download section of the forum. I am learning from my own and other people's mistakes and adapt the indicators accordingly.

I now recommend the new test version as it is faster, more stable and also has a reduced lag depending on the bar series loaded.

October 21st, 2011, 03:13 PM

madLyfe

getting pretty drastic differences in plots with the same options set.. Black is the current visualSMA lines, and the equal counterparts are the newvisualSMA lines colored in red:

Suggest that you test again now. I have now added that little feature, which allows to set the Typical Price, High, Low. The chart below shows the indicator in OneTickCorrection Mode and Visual Mode applied to the high, low and typical of a 30 min bar series.

I have also found two minor other bugs, so I suggest that the few who have downloaded the first version swap it for this one.

Coding Multi Time Frame (MTF) Indicators with NinjaTrader

I have been further digging into the NinjaTrader architecture, and the result is a simpler version of the VisualSMA and the VisualEMA. The new versions were entirely recoded from scratch and the code is about 80 lines shorter than the code of the previous …

October 21st, 2011, 03:51 PM

does this look more like what it was supposed to be plotting? im using the same settings as the previous picture i posted..

October 21st, 2011, 03:57 PM

madLyfe

does this look more like what it was supposed to be plotting? im using the same settings as the previous picture i posted..

If you look at the chart, you will note that in some places the new version (red) leads the old version (black) by one bar. This would be an improvement. Is your chart data historical or real-time data?

October 21st, 2011, 04:05 PM

Fat Tails

If you look at the chart, you will note that in some places the new version (red) leads the old version (black) by one bar. This would be an improvement. Is your chart data historical or real-time data?

its real time.. in the fact that i trade from the live market...?

October 21st, 2011, 04:35 PM

madLyfe

its real time.. in the fact that i trade from the live market...?

Once you press F5, real-time data is replaced with historical data.

Coding Multi Time Frame (MTF) Indicators with NinjaTrader

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Coding Multi Time Frame (MTF) Indicators with NinjaTrader