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Chande Kroll Stop

Exported using NT Version 7.0.1000.30

This is an implementation of the volatiliy based stop that was suggested by Tushar Chande and Stanley Kroll in their book "The New Technical Trader". The indicator comes with a long stop line (blue) and and a short stop line (red).

Calculation of long stop: The preliminary long stop is calculated by deducting a multiple of a 10-period ATR from the highest high of the last 10 bars. The long stop is then calculated as the highest of the last 20 preliminary long stops.

Calculation of short stop: The preliminary short stops are calculated by adding a ,ultiple of a 10-period ATR to the lowest low of the last 10 bars. The short stop is then calculated as the lowest of the last 20 perliminary short stops.

Calculation of ATR: The ATR can be calculated in three different ways. "Arithmetic" uses a simple moving average over the last 10 true ranges. "Exponential" uses an exponential moving average over the last 10 true ranges, while "Wilder" simply calculates the default ATR(10) which is calculated as exponential moving averages with a smaller smoothing constant.

Default settings: Default settings follow suggestions by Chande & Kroll. Following suggestions in their book the default parameters are 10, 3 and 20. Also they used a simple moving average for smoothing the true ranges. The only change that was necessary was to adapt the indicator so that it can be used intra-bar. For this purpose, the calculation does not use the (unstable) true range of the current bar nor the high of the current bar, but relies on the values for the prior bar. Just for the purpose to compare the indicator with implementations for other charting packages, it is also possible to perform calculations from the current unstable bar. When used with "COBC = False" or with the strategy analyzer (backtesting), the default settings should be used.

It is recommended to use the

Category NinjaTrader 7 Indicators

Details: Chande Kroll Stop
Category: NinjaTrader 7 Indicators

October 14th, 2015
Size: 13.73 KB
Downloaded: 777 times

Keywords: atr averagetruerange chande kroll stop trailing volatility

Stochastic RSI

Exported using NT 7.0.1000.22

The Stochastic RSI was developed by Tushar Chande and Stanley Kroll. Details can be found in Stocks & Commodities V. 11:5 "Stochastic RSI and Dynamic Momentum Index" (May 1993) and in their book "The New Technical Trader", which was published in 1994. The Stochastic RSI is said to better in identifying overbought and oversold conditions than both the RSI or the Stochastics.

The Stochastic RSI comes as a default indicator with NinjaTrader. The version published here is a version with the following enhancements:

- The NinjaTrader default indicator calculates a raw Stochastics directly from the RSI, which is used as an input series. No further smoothing is possible. The enhanced version allows further smoothing of the raw K line. The default period for the K line smoothing is set to 1 (no smoothing).

- The indicator comes with a D line added. The D line is calculated as a SMA of the K line and can be used as signal line.

- The NinjaTrader default version uses the same lookback period for the RSI and the Stochastics. This is in line with the suggestions by Tushar Chande and Stanley Kroll. However, this version allows to select different periods for RSI and Stochastics.

- Code efficiency is improved, which results in a reduced CPU load, when the indicator is set to COBC = false.

Category NinjaTrader 7 Indicators

Details: Stochastic RSI
Category: NinjaTrader 7 Indicators

May 6th, 2014
Size: 10.02 KB
Downloaded: 934 times

Keywords: chande kroll oscillator rsi stochastic

jhlCMO

Chande Momentum Oscillator. This should return the same values as the standard supplied version; its advantage being ~4-6K less memory consumption. It does not iterate (neither does the supplied) so is reasonable to use with CalculateOnBarClose == false. Version 1.0.

Category NinjaTrader 7 Indicators

Details: jhlCMO
Category: NinjaTrader 7 Indicators

July 6th, 2010
Size: 4.01 KB
Downloaded: 195 times

Keywords: fluxsmith momentum oscillator chande