***EDIT: PLEASE DOWNLOAD THE LATEST VERSION OF XAVNPDDO IN POST #3***
Here are three indicators that I wrote based on some ideas I had been tossing around in my head for the past couple weeks. I have been studying cumulative delta lately, and how it reacts with price. The idea behind these indicators is instead of comparing delta and price delta to each other directly, one could compare how price delta and delta are moving in relation to previous movements using standard deviations. One could then compare these "normalized" oscillations with each other.
XavPriceDeltaBands: This was the first step of the process. I took price delta and smoothed it out using an HMA. I then plot two standard deviations around the unfiltered price delta series, and see how the smoothed series is moving in relation to this range.
XavDeltaBands: This was the second step of the process. I took delta and smoothed it out using an HMA. I then plot two standard deviations around the unfiltered delta series, and see how the smoothed series is moving in relation to this range.
XavNPDDO: This was the third and final step of the process. I took the two smoothed series (price delta and delta), and normalized both series around the two standard deviation levels. Having both series normalized lets you compare the relation between the two series on the same panel. There are three levels that will align between the normalized series and the smooth series: Two standard deviations, zero, and negative two standard deviations. I then added the ability to plot the difference between these normalized series, and the ability to color the background based on divergence(both increasing, both decreasing, or divergence). The inputs are simple: Smoothing periods, and standard deviation periods. Adjust these settings and the colors to fit your needs.
Installation:
1. You must have the GOM Framework installed on your computer
2. You will need to have enough data recorded for the indicator to get going (Smooth Periods or Standard Devitation Periods worth of data)
3. Download the .zip file
4. Extract the .zip file ***DO NOT IMPORT INTO NINJATRADER. IT IS NOT AN ASSEMBLY***
5. Copy the files into ...Documents\NinjaTrader 7\bin\Custom\Indicator
6. Start NinjaTrader
7. Tools=>Edit NinjaScript=>Indicator
8. Select the indicator and press OK
9. Press the "Compile" button (looks like half a sheet of paper with two down arrows)
10. Close the window
11. Repeat steps 7 - 11 for each indicator
12. Enjoy the indicators and post any suggestions, examples, setups, or bugs in this thread