Elder-disk for NinjaTrader 7 and higher

Transcription

1 Elder-disk for NinjaTrader 7 and higher COME INTO MY TRADING ROOM version 1.0 Thank you for purchasing this Elder-disk. It was developed in by Dr. Alexander Elder, the author of Come into My Trading Room and other books, and Wessel de Roode, M.Sc, a trader and programmer. This disk adds to NinjaTrader the indicators from this book, as well as from the earlier book Trading for a Living. This disk is designed for use with NinjaTrader 7 and above. You must be a licensed or free user of NinjaTrader software to use this disk. Your registration as a free user of NinjaTrader will enable you to do unlimited technical analysis on its platform using a variety of data providers, both commercial (such as esignal or Barchart) and noncommercial (such as Yahoo, Google or Kinetick). A cost-efficient approach is to start using free end-of-day data sources and upgrade to a paid realtime as you progress. You may also use one of the compatible brokers that provide intraday data. One example would be a combination of real-time intraday quotes from Interactive Brokers and the historic end of day datafeed from Kinetick. Becoming a licensed user (buying NinjaTrader) will add the ability to place live orders in the market through one of the compatible brokers. This Elder-disk and its Manual are Copyright 2010 by Financial Trading Inc. and Wessel de Roode. All Rights Reserved. Violators will be prosecuted. The manual is provided in PDF format, showing screen examples exactly as you will see them on your NinjaTrader. To view the PDF file, you need to have Acrobat Reader, a free program from Adobe. If you do not already have it, the viewer for PDF can be downloaded for free from look for Acrobat Reader. This Manual is not designed as an instructional course on using specific indicators or tools. It explains their parameters and shows how to modify them. No trading advice is given or implied. We remind you that trading is a very risky business, requiring good money management. For a better understanding of risk control, as well as the indicators and systems, we highly recommend reading Come into My Trading Room, available from elder.com and other booksellers. Insert the CD, double-click on the Manual icon, and follow instructions. You can work with this manual displayed on your screen or print it out. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

2 Table of Contents Installation... 4 Installing the Elder-disk indicators... 4 Installing the Elder-disk templates and workspace... 6 Indicators... 7 Elder_AutoEnvelope... 7 Elder_ForceIndex Elder_Impulse Elder_ImpulseRelease Elder_MACD Elder_MACDHistXover Elder_ray Bull Power & Elder_ray Bear Power Elder_SRoC Elder_Thermometer Predefined Workspace and Templates Using the Elder workspace Using the Chart templates Using the Market Analyzer templates Elder Outside Envelope monitor Elder Envelope Value Zone monitor Elder Impulse Weekly and Daily monitor Elder ImpulseRelease monitor Elder MACD Weekly and Daily monitor Elder Full Overview monitor Developer Tools Elder_AutoEnvelope NormEnvelope finding the % stretch in the rubber band toward the envelope RisingFalling finding the trend and the last closing price in respect to the value zone Elder_Impulse Elder_ImpulseRelease Elder_MACD Support and consulting Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

3 There is a time to go long, a time to go short, and a time to go fishing Jesse Livermore, 7/26/ /28/1940 Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

4 Installation Installing the Elder-disk indicators Insert the Elder-disk into your CD drive. Open the File Menu, select Utilities and then the menu item Import NinjaScript You will get a warning pop-up on your screen, asking if the NinjaScript Archive File is from a trusted source. Click the [Yes] button In the new window that has opened, press the Browse button and navigate to your CD drive. Select the Indicator ElderIndicators.zip and press Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

5 It is possible that during the import NinjaTrader may ask whether it should overwrite files already on your PC answer NO, as explained below. This will occur for the following files during the import: 1. Press NO not to overwrite this file on your PC 2. Press NO not to overwrite this file on your PC 3. Press NO not to overwrite this file on your PC 4. Press NO not to overwrite this file on your PC If these filenames start with like in the picture above, select NO for don t overwrite the existing file on your PC. If the files start with Indicator/Elder_*, YES, they should be overwritten to upgrade them to the latest version. When the import is finished, you will see the following pop-up: Click OK. Congratulations, you have successfully installed your Elder-disk indicator code! Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

6 Installing the Elder-disk templates and workspace NinjaTrader templates and workspaces allow you to streamline charting and scanning instead of custombuilding each and every chart or scanner. Examples, screenshots and examples of how to use these templates can be found in the chapter Predefined Workspace and Templates on page 21. To install these templates and the workspace, you need to copy them into the NinjaTrader 7 directories. Follow these steps to copy them from your CD: 1. Open a new file explorer and open this directory on your PC: 2. The directory should contain a directory called NinjaTrader 7 If your PC has Ninja in a different directory, browse until you find it 3. Open another file explorer and browse your CD 4. Now hold down the [SHIFT] key and click both folders templates and workspaces on your CD. Release the [SHIFT] key both folders should be colored (meaning they are selected), just like sown in the picture below. 5. After you release the [SHIFT] key, click on the selected folders and hold down the left mouse button. Drag the two folders and drop them on top of the Ninja 7 folder and release the mouse button again. 6. The files will be copied now. A pop-up window might warn you that the folders Templates, Charts, and Workspaces already exist. Answer Yes to All to this question to update these folders. Congratulations! You ve successfully installed your Elder workspace and templates! Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

7 Indicators All indicators are illustrated here using the Dow stocks as examples. The name of the chart is the symbol of the stock, so each symbol is noted in the manual. The selection of symbols was random, for illustration purposes only. Elder_AutoEnvelope Envelopes should be set parallel to the slow moving average and contain approximately 90-95% of all prices for the past two or three months, with only the extremes protruding outside of a channel. Envelopes provide attractive profit targets sell longs near the upper channel line and cover shorts near the lower channel line. The AutoEnvelope custom indicator on this CD will automatically create channels that contain 90-95% of prices. This indicator, originally developed by John Bruns, is designed to change its height no more than once a week, making it stable even for intra-day data. Fast EMA identifies short-term consensus of value. Usually plotted in red. Set to 0 if you wish to eliminate this plot. EMA This is the length of the EMA forming the center of the channel (default is 22). Usually plotted in yellow. Standard deviation This is the number of standard deviations for sizing the channel. The default is 2.7 standard deviations, which is good for most daily data. You may want to change this depending on the stocks you trade and your trading style and timeframe. Note that this method implies a bell shaped distribution, which is seldom found in stocks. Intra-day data is much more erratic and usually needs a higher number. Lookback period This is the number of bars over which the standard deviation is calculated. Max envelope plots This number tells us how far going back to plot the envelope. Change weekly The default behavior of this indicator (False) is to plot a single envelope based on the weekend just before the right edge of the chart. It emulates the technique of setting channels by eye-balling. Setting this input to (True) will plot a different band value each week, sort of a very slow Bollinger Band. This is more accurate when using the data for a strategy, since this reflects values as they exist while evaluating the strategy. NOTE: This indicator uses statistical functions and needs at least 300 bars to calculate an accurate envelope. If the indicator does not see enough bars, it will display an Error at the right top of the screen: Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

8 In this case make sure that the time frame that is loaded into the chart is long enough. Use the [CTRL]-f key to display the data series window and increase the amount of days/bars loaded. (See the Ninjatrader manual for more details on how to set up and use the data series in Ninjatrader). Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

9 AutoEnvelope (AA) Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

10 Elder_ForceIndex Force Index was first described in Trading for a Living. It plots a moving average of the change in price multiplied by volume. This indicator has been enhanced to eliminate large spikes that make the rest of the chart flat and unreadable. Spikes greater than 10 times the current threshold are reduced and marked with a yellow dot (a technique developed by John Bruns). EMA Length sets the length of the EMA used to calculate Force Index. Force Index (BA) Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

11 Elder_Impulse The Impulse System is a revolutionary analytic method, first described by Dr. Elder in Come into My Trading Room. This indicator is capable of delivering one of the most important messages in technical analysis when not to trade! When Elder_Impulse is in a buy mode, no short positions may be opened or held. When it is in a sell mode, no long positions may be opened or held. This rule helps traders avoid countless pitfalls, forcing us to get in gear with the trend or to stay out. The Impulse colors price bars to reflect the condition of the current Impulse. MACD fast period, MACD slow period, MACD signal period these are the parameters for the MACD-Histogram calculation EMA trend period this is the short term EMA, used for computing the Impulse Time Factor normally 1, this can show the Impulse for an extended timeframe. For example, if you are looking at the daily data and want to see the weekly Impulse colors, you can set it to 5. This has the effect of multiplying all the parameters above by five. Impulse up color, Impulse down color, Impulse neutral color these allow you to customize the color choices for the bars. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

12 Impulse (MCD) Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

13 Elder_ImpulseRelease ImpulseRelease is an indicator designed to work with the Impulse System, as described in Come into My Trading Room. It uses the Impulse System in two timeframes to give a visual representation of when you are released to trade. The best use of this indicator is to wait for the signal to stop pointing against the direction of your planned trade, thus releasing you to trade. MACD fast period, MACD slow period, MACD signal period these are the parameters for the MACD-Histogram calculation EMA trend period this is the short-term EMA, used for computing the Impulse Time Ratio This is the ratio of the two timeframes. For a system using weekly charts as longterm and daily charts as short-term this is 5. If you are trading 10 min bars and using hourly as long use 6, etc. LongColor The color of the bar when only long trades are allowed. ShortColor The color of the bar when only short trades are allowed. NoTradesColor The color of the bar when no trades are allowed. BothColor The color when either long or short trades are allowed. This indicator looks best if you shrink the height of the window, so that it appears as a narrow horizontal band across the chart. Delete the label field in the Visual settings to clean up the left corner of the band. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

14 ImpulseRelease ( C ) Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

15 Elder_MACD The Elder_MACD indicator is a combination of MACD Lines and MACD-Histogram, plotting both in the same window. MACD fast period, MACD slow period, MACD signal period these are the parameters for the MACD-Histogram calculation. Hist. Magnification since both MACD-Histogram and MACD-Lines are shown in the same window, the Histogram must be scaled up for readability. This is the factor the Histogram is scaled up to. The default (2) is usually quite readable. Time ratio normally 1, this can show MACD for a longer timeframe. For example, if you are looking at the daily data and want to see a weekly MACD, this can be set to 5. This has the effect of multiplying all the parameters above by five. Histogram up color, Histogram down color these signal the rising and falling of MACD- Histogram. Note that for timeframes greater than 1, the bar is compared to the bar Time ratio periods ago. To turn off this feature, select the same color for all. Show MACDxOver price When set to True, the MACDxOver value is printed in the right bottom corner of the MACD chart. It identifies the level at which MACD Histogram will change direction on the next price bar. This is extremely useful if your entry or exit tactic depends on the Impulse System changing bar color, which in turn depends on the slope of MACD-Histogram. See the chart plotted below if the current bar closes at 41.43, MACD-Histogram will change direction if the next bar opens and stays above Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

16 MACD (DD) Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

17 Elder_MACDHistXover This indicator was developed by John Bruns to predict price points that must be reached for MACD- Histogram to change direction. The indicator plots a dot that marks the value of this key price point for tomorrow. If your strategy depends on the Impulse system, you need to know at what point MACD will change its direction. This indicator gives you that point for tomorrow. The interpretation is simple if the close is above the given number, the Histogram will rise, and if below, it will fall. This is the same value that is included in the MACD indicator if you turn on its Show MACDxOver price feature. NinjaTrader allows you to plot a point into the future, but does not show its value. This is why we plot the value on today s bar and not shift it into the future. All parameters must exactly match the MACD-Histogram you are using. See Elder_MACD. MACDHistXover (JNJ) Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

18 Elder_ray Bull Power & Elder_ray Bear Power Bull Power and Bear Power are the components of Elder-Ray, an indicator described in Trading for a Living. Since both are based on an EMA, this example shows both with an EMA of the same length. Ema EMA used to compute Bull Power or Bear Power. Note that the inputs for Bull and Bear Power are identical and set to the same values. Elder-Ray (IBM) Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

19 Elder_SRoC Smoothed Rate of Change This indicator, developed by Fred Schutzman, is described in Trading for a Living. It is created by calculating the rate of change for an exponential moving average of closing prices. EmaLength The length of the EMA RocLen Length of the rate of change calculation S-RoC ( GE ) Dots indicate turning points. Red dots appear above downturns and green dots underneath upturns. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

20 Elder_Thermometer The Market Thermometer is described in Come into My Trading Room. It measures the temperature of the market, reflected in greater or smaller intraday ranges. EMA trend period Length of the moving average of the Market Temperature. Spike Alert If the Temperature exceeds its EMA by this factor, it is marked in the chart. Quiet Alert If the Temperature remains below its EMA for this number of days, it is marked in the chart. Spikes are highlighted by bright yellow dots. Quiet periods are highlighted with a blue background. Spikes are truncated at six times the current average. This prevents a single day from overwhelming the entire graph. Thermometer ( EUR/USD ) Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

21 Predefined Workspace and Templates Using the Elder workspace First make sure you have a valid data connection. If your connection is set up successfully, you should see a green status bar in the left bottom corner, as shown below: Now, to open the Elder Workspace, go to File and select Open Workspaces In the selection window choose the Elder Workspace and press [OK] Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

22 The Elder workspace should open with two charts, a weekly on the left and a daily on the right and a Market Analyzer with some symbols in it. It should look similar to the picture below: Click on any of the symbols in the Market Analyzer and it will update both the weekly and the daily charts with the selected symbol. To add a new symbol to the Market Analyzer window, just click on the white space below the symbol T and enter the symbol. Please note that these windows are linked with the little colored boxes of the same color on the right at the top of every window. See the NinjaTrader manual for further information on Window Linking. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

23 Using the Chart templates Connect your data feed (Kinetick, Yahoo or any other) To create a new chart, go to the Control Center and select: File->New -> Chart Enter any symbol in the text box or pick one out of the predefined lists and press New Adjust the parameters, set the Period type to Day and select the Elder Daily template from the pulldown menu, as shown above. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

24 A single chart with the Elder daily template will appear on your screen, as shown below To apply another template, right-click on the chart and select templates, then select load. It will update the chart with the new template. Please note: templates do not change the timeframe of a chart. Use the pull down menu in the left corner of the chart or the chart settings available with the [ctrl]-f key to change the time frame. The three available chart templates are displayed below: Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

25 Using the Market Analyzer templates Connect your datafeed (Kinetick, Yahoo or any suitable) To create a new Market Analyzer, go to the Control Center and select: File->New -> Market Analyzer This will show a new Market Analyzer window. Use your right mouse button on the Market Analyzer window to select templates->load A pull-down menu will appear with all the Market Analyzer templates. Select a template to apply it to the Market Analyzer Please note that as soon as a template is applied to a stock list, all the indicators are calculated. This can take a long time, depending on how many symbols and how much historic data is used. There are two options to add instruments. The first is manual and the second is using the predefined instrument lists. The following chapters will show several monitors build with the market analyzer and the Elder indicators. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

26 Elder Outside Envelope monitor This template uses the NormEnvelope value from the Elder_Envelope indicator. It displays the word Depressed when prices close below the lower channel line. It displays the word Manic when prices close above the upper channel line. Elder Envelope Value Zone monitor The template uses the RisingFalling value from the Elder_Envelope indicator. It shows if the trend is up or down on the weekly and the daily timeframe. The direction is based on the EMA line direction. Elder Impulse Weekly and Daily monitor This template is using the Elder Impulse in weekly and daily timeframes. It gives an overview of the Impulse for the instrument list from both weekly and daily perspectives, helping you to look for long or short candidates start from the longer time frame (weekly) and then look at the shorter one (daily). Note; you can use the Sort by function on top of each column to sort accordingly. The example below shows DJIA component shares sorted by Weekly Impulse. You can see immediately whether the weekly and daily Impulses are in gear. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

27 Elder ImpulseRelease monitor The template uses the SignalLine value from the Elder_ImpulseRelease indicator. It gives a visual representation of the ImpulseRelease indicator in a table form. Elder MACD Weekly and Daily monitor This template uses the RisingFalling value from the Elder_MACD indicator combined with the MACDXOver indicator. It shows the direction of weekly and daily MACD-Histogram and the price of the next price bar at which MACD-Histogram will change direction. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

28 Elder Full Overview monitor The template is a combination of all the previous templates. It represents several indicators in a table, next to each other. You may use it to sort your analyses. Note: give yourself time to learn the system before running this analyzer page. It has to do many computations and takes longer than the other ones. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

29 Developer Tools Warning! This technical chapter is intended as a reference guide for developers who would like to use Elder indicators as building blocks in their own strategies, scanners and Market Analyzers. For non developers there is a set of prebuilt scanners based on the Elder Indicators in the chapter Using the Market Analyzer templates on page: 25. We would highly recommend familiarizing yourself first with these pre-build templates. Then learn how to customize the Market Analyzer from the Ninja Trader manual before reading this chapter. Elder_AutoEnvelope NormEnvelope finding the % stretch in the rubber band toward the envelope variable: Elder_AutoEnvelope.NormEnvelope This technique, created by Wessel de Roode, shows the percentage by which the rubber band is stretched between the EMA and the envelope. In order to measure the location of the last price in relation to the Elder Envelope a scale from positive (above the EMA) to negative (below the EMA) percent values is used. 0% represents the center line of the Elder Envelope (created by the EMA) +100% represents the upper border line of the Elder Envelope and shows an overbought market situation -100% represents the lower border line of the Elder Envelope and shows a oversold market situation As the price might well fall below or rise above the Envelope, values of less than -100% or more than +100% are possible and show even stronger oversold or overbought situations. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

30 The NormEnvelope has one option that influences the output. It is highlighted in the picture below: If set to False this indicator operates as shown in the picture and the described above. The table below gives a summary of the different values Signal value summary of the NormEnvelope when option is set to False : NormEnvelope value NormEnvelope description >-1 Price is below the lower envelope -1<0 Price is between the lower envelope and below the EMA 0<+1 Price is between the upper envelope and above the EMA >+1 Price is above the upper envelope If the option is changed into True the output value of the variable NormEnvelope is set to -99 when detected that the price bar closed inside the channel and is neither oversold or overbought. NormEnvelope value summary when the option is set to True as shown in the picture below: NormEnvelope value NormEnvelope description -99 Price is between the two envelopes >-1 Price is below the lower envelope >+1 Price is above the upper envelope An example how to use this signal can be found in the chapter Elder Outside Envelope on page: 26 Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

31 RisingFalling finding the trend and the last closing price in respect to the value zone variable: Elder_AutoEnvelope.RisingFalling The value zone is defined as the area between the fast and the slow EMA. This signal gives information about the last closing price of a bar in relation to the value zone. As the value zone as such is build of a fast and a slow EMA a trend direction can be read from these two EMA lines as such. Fast EMA being below slow EMA sows a falling direction whereas fast EMA above slow EMA shows a rising direction. Thus we can read a general trend from this Value zone. The value of the variable is also telling us if the price is below, within or above the value zone. Combining these two analyses into one allows us to better judge where we are within the trend and if the trend is perhaps soon to be broken or not. RisingFalling value RisingFalling Signal description >0 FastEma is above the central envelope EMA and the trend is most likely up <0 FastEma is below the central envelope EMA and the trend is most likely down -3 Close below the value zone in a possible down trend FastEMA below the EMA -2 Close inside the value zone in a possible down trend FastEMA below the EMA -1 Close above the value zone in a possible down trend FastEMA below the EMA 0 ERROR! The Elder_AutoEnvelope has not enough historic bars to calculate accurately the envelopes. The indicator needs at least 300 bars for an accurate 100 bars look back period. +1 Close below the value zone in a possible up trend FastEMA above the EMA +2 Close inside the value zone in a possible up trend FastEMA above the EMA +3 Close above the value zone in a possible up trend FastEMA above the EMA An example how to use this signal can be found in the chapter Elder Envelope Value Zone on page: 26 Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

32 Elder_Impulse variable: Elder_Impulse.SignalLine The Elder Impulse Indicator exports the SignalLine value. Depending on the impulse color on the chart the output value is in the table below. SignalLine value SignalLine description -1 Impulse is red, only short trades allowed 0 Impulse is blue, Long and Short trades allowed +1 Impulse is green, only long trades allowed An implementation of these signals can be found in the Market Analyzer template: Elder Impulse Weekly and Daily Elder_ImpulseRelease variable: Elder_ImpulseRelease.SignalLine The Elder ImpulseRelease Indicator exports the SignalLine variable. Depending on the impulserelease color bar on the chart the output value of the SignalLine is in the table below. SignalLine value SignalLine description -99 ImpulseRelease is black, no trades allowed -1 ImpulseRelease is red, only short trades allowed 0 ImpulseRelease is blue, long and short trades allowed +1 ImpulseRelease is green, only long trades allowed An implementation of these signals can be found in the Market Analyzer template: Elder ImpulseRelease Elder_MACD variable: Elder_MACD.RisingFalling The Elder MACD Indicator exports the RisingFalling variable. Depending on the slope of the MACD histogram it is either riding ( moving upwards ) or falling ( moving downwards ) RisingFalling value RisingFalling description -1 MACD Histogram ticked down 0 ERROR, not enough historic bars to calculate the MACD accurate +1 MACD Histogram ticked up An implementation of these signals can be found in the Market Analyzer template: Elder MACD Weekly and Daily Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v

33 Support and consulting Elder-disk for NinjaTrader 7 and higher (Come into My Trading Room v. 1.0) Copyright 2010 Financial Trading Inc. and Wessel de Roode For information on software, videos and books for traders, as well as Traders Camps, please contact: Financial Trading Inc. PO Box Columbus Circle Station New York, NY USA Tel info@elder.com For technical support, please contact: Wessel de Roode j.w.deroode@gmail.com Wessel is available for private consulting and custom programming please inquire directly if interested. If your address changes, please advise us at info@elder.com we need your address to offer you our latest updates. We would like to take this opportunity to thank John Bruns for generously documenting his work. Elder-disk for NinjaTrader COME INTO MY TRADING ROOM v