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XavGlassBoxV1

This indicator is used to analyze the effectiveness of simple automated strategies. The GlassBox dynamically monitors the maximum favorable excursion (MFE) and maximum adverse excursion (MAE) of a recent sample of trade signals produced by those strategies. By manipulating the Target %Profitable, Minimum MFE, and Minimum MFE/MAE variables, the user can then determine which strategies' trade signals are plotted on the price chart.

The Strategies

The strategies tested by the GlassBox are based on eight signals. Four of the signals are "fast" signals; four are "slow" signals. Each of these eight individual signals is itself a strategy, and by combining each fast signal with each of the four possible slow signals an additional sixteen combination strategies are generated.

Signal Inputs

Each of the eight basic signals has five potential inputs.

1) Indicator: The name of the indicator, with its parameters in parentheses.

2) Plot: If the indicator entered in (1) has multiple plots, the name of the plot used for the signal is entered here.

3) Slope Signal: If set to "true", the slope of the indicator plot selected in input (2) is used as the signal. A positive slope will trigger a long position, a slope of zero will signal a flat market position, and a negative slope triggers a short position.

4) Price Cross: If set to true, a long position will be triggered when price crosses above the indicator plot chosen in input (2). If price crosses below the indicator plot a short position will be triggered.

5) Cross Value: If neither the slope signal approach nor the price cross is chosen, the final option is the value cross. When the indicator plot chosen in input (2) crosses above the Cross Value a long signal is generated; when it crosses below a short signal fires.

Strategy Analysis Parameters

1) Trade Memory: The number of trades stored in memory for each strategy.

2) Minimum Bars: The minimum number of bars a trade must be active before it is stored in memory.

3) Target %P: The target percent profitable desired by the user. This is the percentage of the trades stored in memory that reach the Target MFE without going beyond the Target MAE.

4) Slippage: The slippage in ticks per turn used to adjust the Target MFE and Target MAE calculations.

Strategy Plot Parameters

1) Min MFE: The minimum Target MFE that a strategy must reach in order to be plotted.

2) Min MFE/MAE: The minimum Target MFE / Target MAE ratio required for a strategy to be plotted.

3) Plot Averages: If true, the Average MFE and Average MAE of the profitable trades will be plotted as triangles, but only for those strategies that meet the conditions set by Strategy Plot Parameters (1) and (2).

Strategy Plots

The GlassBox will plot entry signals that include an arrow on the entry bar, the Target MFE for the corresponding strategy, and the Target MAE for that strategy. If Plot Averages is set to true it will also plot Average MAE and Average MFE. The plots themselves are coded according to color (for fast signal strategies) and dash style (for slow signal strategies). This allows the user to identify the strategy that is signaling based on its plot.

Fast Signal Strategies
Indicator1 is red
Indicator2 is green
Indicator3 is blue.
Indicator4 is fuchsia

Slow Signal Strategies
Indicator5 is dashed
Indicator6 is dot
Indicator7 is dash-dot
Indicator8 is dash-dot-dot

Combination strategies can be recognized on the chart by combination plots. For example: a combination strategy involving Fast Signal 1 and Slow Signal 1 will be plotted as a red dash.

Signal plots will be removed from the chart if the signal condition fails to remain valid for the minimum bars set by the minimum bars parameter. A sound alert will play if an entry signal is removed from the chart to let the user know that the original signal is no longer valid.

For more a more detailed explanation and discussion visit this thread:https://nexusfi.com/elite-circle/22818-xavglassbox-discussion-automated-signal-analysis-discretionary-trading.html

Details: XavGlassBoxV1

September 9th, 2012
Size: 11.48 KB

XavICDv1

This indicator creates a convergence-divergence indicator, similar to a MACD, using any two indicator plots.
Parameters:
Fast Indicator: Enter the fast indicator name and parameters here. Ex: Stochastics(7,14,3)
Fast Indicator Plot: Enter the name of the plot you want to use as an input for the fast indicator. Ex: D
Slow Indicator: Enter the slow indicator name and parameters here.
Slow Indicator Plot: Enter the name of the plot you want to use as an input for the slow indicator.
Smooth Periods: Number of SMA periods used to smooth the ICD plot.

The three plots are Avg, Diff, and ICD which are exactly like the MACD plots.

Big thanks goes out to @gomi and @NJAMC for their indicator instantiating code.

Discussion thread: https://nexusfi.com/elite-circle/22946-xavicd-discussion.html

Enjoy

Details: XavICDv1

September 7th, 2012
Size: 4.87 KB

MASlopeMTF V1.51

Changes from previous version:
1. Change slope calculation to normalized, so it's now compatible with MASlopeMulti.
2. Add additional MA.

MASlopeMTF, it display MA slope (only) of different time frames, it doesn't display the MA line itself.

Colored background colored by slope.

User defined text for slope box.

Currently it displays only real-time slope, no history at this version.

Release December04, 2011 version 1.40
Release September 03, 2012 version 1.51

Exported using NT Version 7.0.1000.10

Details: MASlopeMTF V1.51

September 3rd, 2012
Size: 59.00 KB

MTFAnalyzer V1.72

Changes from previous version:
1. Advanced divergence removed, simple divergence optimized, fix divergence bug.
2. Add DM trend filter to all time frames.
3. Add additional MA.
4. Improved markers mechanism with the addition of dynamic offset based on ATR.
5. Add background options.
6. CPU performance should be approximately 20% better after code optimization.

The indicator provides real time analysis of user defined set of conditions which can be enabled separately for up to four time frames simultaneously, the result is real-time true/false signal for the selected combination.

Features:

Current intra bar trend direction.
Current intra bar counter trend direction.
Four selectable MAs for each TF with user defined slope or rising/falling.
Two MAs divergence for each TF.

This new version comes as protected assembly.
Release February 27, 2012 version 1.59
Release September 03, 2012 version 1.72

Exported using NT version 7.0.1000.10

Details: MTFAnalyzer V1.72

September 3rd, 2012
Size: 171.65 KB

MAPackage V1.41

Changes from previous version:

1. Add additional MA.
2. Add color MA line by slope option.

The indicator plots 8 MA's with different functional and visual properties for each one.

Release February 27, 2012 version 1.1
Update June 30, 2012 version 1.3
Update September 03, 2012 version 1.41

Exported using NT version 7.0.1000.10

Details: MAPackage V1.41

September 3rd, 2012
Size: 61.48 KB

MASlopeMulti V3.42

Changes from previous version:

1. Advanced divergence removed, simple divergence optimized
2. Separation to second MA is now available also when second MA is disabled.
3. Additional options at section 6.1 Paint Bars Type.
4. Additional options at section 5.4.1 Background mode.
5. DM filter is improved with more advanced options, filter result can be reflected to the followings: Paint Bars, MA line, Background, all options are listed at section 7.1.2
6. Fixed few minor bugs, also CPU performance should be slightly better after optimizing several parts in code.

Compatibility to previous templates: it depends on the options are used, changed properties may not keep its previous value.

Existing features:
1. Double MA capability (optional), each MA type can be doubled with any other MA type except momentums, which can be doubled with itself only.
2. Display real-time and history MA slope (normalized).
3. Divergence with second MA mode.
4. Display MA line colored.
5. Optional colored background.
6. Optional colored Paint bars.
7. The following coloring modes are enabled independently for MA line, background and paint bars:
1. By slope threshold.
2. By rising/falling.
3. By support/resistance mode (when time bar closes above MA line, it become a support, and vice versa).
8. By support/resistance mode with slope threshold.
9. By support/resistance mode with rising/falling.
10. Paint bars contain additional filter for specific trend type.
11. User defined text for slope box.
12. DM filter

Please remove previous version and restart ninja trader, before installing this release.
This new version comes as protected assembly.

Updated December 25, 2012 version 2.83
Updated February 28, 2012 version 3.10
Updated June 30, 2012 version 3.35
Updated September 03, 2012 version 3.42
Exported using NT version 7.0.1000.10

Details: MASlopeMulti V3.42

September 3rd, 2012
Size: 168.73 KB

Trend Status V1.64

1. Show real time trend direction, based on the following features and help to visualize underlying trend.
1. Display long/short status based on main MA is above/below second MA
2. Optional, Display how many support/resistance MA's are above/below main MA(up to three MA's).
3. Optional DM direction trend filter.
4. Optional N bars high above/low below, reference MA as trend direction/filter.
5. Selectable 14 MA types
6. Selectable price type for each MA.

Release September 03, 2012 version 1.64

Exported using NT version 7.0.1000.10

Details: Trend Status V1.64

September 3rd, 2012
Size: 50.04 KB

Update(2): KR_Trender_v5

updated .ts file to reflect correct version # and add a quick change log.. no code changes. thanks to Hguru for the feedback...
Another update from previously posted KR_Trender_v4 for ToS. Inspired by some research around the 9/30 method, i needed something to show me the fast price move on the short-term compared to the prevailing longer-term trend to better identify entry points. initially i used Slow/Fast Stoch & Stoch Momentum but wasn't convinced. I went ahead and added a Fast_Momentum to KR_Trender.

for me, this is a 3 in 1. The concpet behind the calc of Fast_Mom and Trender lines is close to MACD (but more elaborate as we look at 3 EMA's not 2 - and Trender is bounded -100 to 100, where MACD isn't). then we have a representation of fast momentum (save the space of my SMI), and we have the "full trend flag" indicator when the price AND all the 3 EMA's align in a full trend formation.

on the top screen, i show the actual 3xEMA setup i used to originally develop the concept of KR_Trender, the shading is based on a BB, but has nothing to do with Trender, but it changes color based on the Trend state (Full up, Full Down, or in-Transition).

- Fast_Mom is calculated as score of the fast EMA vs it's own Hi/Low Channel. this is the same concept used by Stoch & Stoch Momentum, but then it's scaled to same scale as the main trend line - enabling mathematically comparing the 2 as rate of change of price taken from 2 diferent views.
- a crossing between Fast_Mom and Trender means the rate of price change on the short term has started to exceed, slow, or change direction from the longer-term rate of change. A crossing of zero means the shorter-term trend is reversing. if that's strong enough of a move, the longer trend will follow.
- once you get to use it, you will see the 2 lines sort of pull each other. retraces and pullbacks that provide good position entry points are much clearer as identified by the Fast_Mom line (that was my main issue)
- i kept PPS (Person's) indicator on top chart - Fast_Mom compares very well against PPS signals. many times beats it to indicate a change up or down. so that made me happy.

Other improvements:
- can show/hide Fast_Momentum plot
- can change length of Long_term Trend period. if equal to or below the main length, it will be ignored.
- Adjusted smoothing calc to only use EMA smoothing, as HMA causes an issue with chart labels in ToS
- Fast_Price_weight now 0 by default to allow focus on long-term trend and Fast_Momentum.
- Fast EMA is always taken as half of the main length
suggested Length/Long_Trend settings: 10/20 or 8/16 for intraday and 20/40 or 20/50 for longer term. Should not use Length lower than 4.

i used KR_Trender on a 5min chart as well as on daily/week . initial results are positive and tested well in live trading.

feel free to use, comment and feedback, and please keep only within BMT.

RedK

Details: Update(2): KR_Trender_v5

August 31st, 2012
Size: 5.03 KB

Keywords: kr_trender momentum redk thinkorswim tos trend

MVTC_Vol_Ver1

This volume indicator is based on Gail Mercer's article in the Sept. 2012 issue of TASC. It colors the volume bars based on whether the price bar is an up, down, outside, or inside price bar.

The logic is as follows:
- Up bar = current high > previous high and current low >= previous low (green vol bar)
- DownBar = current high <= previous high and current low < previous low (red vol bar)
- OutsideBar = current high > previous high and current low < previous low (gray vol bar)
InsideBar = current high <= previous high and current low >= previous low (transparent vol bar)

Any suggestions for improvement are welcomed.

Ron

Details: MVTC_Vol_Ver1

August 28th, 2012
Size: 3.51 KB

Keywords: color volume

KR_PriceLevels_v1 for ToS

here's a quick one.. inspired by range charts, but simplified and still painted on regular time charts..

i needed something to help me spot common S/R levels and also watch price moves between levels of either % of price or in blocks of a certain dollar value (0.2, 0.5, 1.0 ... etc)

default is to show moves in increment of 0.5% of all-time (based on chart) mid-price, but can be changed to better suit the time aggregation and the underlying price range we're looking at (for shorter timeframe, you may want to look at $.25 levels, for a stock like AAPL you want to look at a $5.0 increments and so on)

The percentage level value is always approximated to the nearest multiple of $0.1 to make it meaningful.

if there's a setting in Override Range Unit, then that's the one the study will use as a unit for the incermental levels.

you can show/hide the levels calc details labels on top using the study settings.

found it interesting and it helps hide a lot of noise from price - also comes closer to my own view of Darvas so thought to share for the Range Chart & breakout trading fans..
Cheers,
RedK

Details: KR_PriceLevels_v1 for ToS

August 23rd, 2012
Size: 1.58 KB

Keywords: breakout levels price range redk thinkorswim tos

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