average day range indicator ?

[Duval]

Hi,
i'm looking for an indicator that will calculate average day range for last xx days (High-Low), then compare current day range to it, and display result in either %, targets lines on charts etc etc

Anyone aware of such an indicator ?

[NinjaTrader_JC]

Hello Duval,

I am not aware of any Indicator that will do this currently, but there is one indicator that is close to what you are looking for at the following thread.

http://www.ninjatrader.com/support/forum/showthread.php?t=15122

You may want to do some modifications to get it to have some added functionality that you are looking for.

[Harry]

You can use the anaCurrentDayOHLV42 that comes with the SessionPivots V42 package.

http://www.ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=4&linkid=343

It displays the average range of the last 10 days, the last 20 days and the current day's developing range in a box.

You can display the full session ranges or the regular session ranges. If you wish to display the regular session ranges on a full session chart, then a specific session template is needed.

The current day's range expectation is plotted on the chart. The magenta target bands show how far price needs to move to attain the average daily range of the last 10/20 days.

[cachevery]

You can use the anaCurrentDayOHLV42 that comes with the SessionPivots V42 package.

http://www.ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=4&linkid=343

It displays the average range of the last 10 days, the last 20 days and the current day's developing range in a box.

You can display the full session ranges or the regular session ranges. If you wish to display the regular session ranges on a full session chart, then a specific session template is needed.

The current day's range expectation is plotted on the chart. The magenta target bands show how far price needs to move to attain the average daily range of the last 10/20 days.

Is there an option to show the daily range in % instead of the absolute value?

[Harry]

Is there an option to show the daily range in % instead of the absolute value?

No, this option is currently unavailable and would require additional coding.

[stocktraderbmp]

Hi,
i'm looking for an indicator that will calculate average day range for last xx days (High-Low), then compare current day range to it, and display result in either %, targets lines on charts etc etc

Anyone aware of such an indicator ?

I have adapted the dvalue indicator to plot a line at the POC ± Avg Daily Range for the last n days (user defined) and a line at a user defined %age of this called my 'target' line.
The main problem you will have is defining your starting point from which to draw your range thresholds. If you take them from the current days Hi or Lo the lines become dynamic and a moving target is far more dificult to hit than a static one ! Also - by the time you have reached the Hi or Lo there may not be much of a trade left. Another thing to consider is where you draw the cut off point - so is it the days Hi by 10am that you use or some other point in time. I tried using the overnight Hi's & Lo's and these proved to be reasonably useful but only after the day session had tested one of these levels. I settled on the prior days POC (vol not price) as this often becomes the area from which the next days trade action either starts or ends ie after the overnight session, price will either be close to or miles away from the prior days vol POC. During the day session it will either move from here or back to it from an overnight extreme.
I have included a screen shot of HG to illustrate.
Hope this proves helpful;

Ben.
PS I can forward the code to you if it would be helpful but as I said it is merely an adaptation of the 'dvalue' indy.

[Harry]

The main problem you will have is defining your starting point from which to draw your range thresholds. If you take them from the current days Hi or Lo the lines become dynamic and a moving target is far more dificult to hit than a static one !

This is the point.

You can either show target lines based on the average daily range. In that case you would add the average daily range to the current day's low to get the upper target line and subtract it from the current day's high to get the lower line. The result are dynamic levels that change each time when a new intraday high or low is made.

Alternatively it is possible to build target lines by calculating them off the regular open. However, in that case you would not base them on the average daily range, but use the average daily expansion. Here are the formulae:

Daily range = High - Low
Daily expansion = Math.Max (High - Open, Open - Low)
Daily noise = Math.Min (High - Open, Open - Low)

The smaller move from the regular open is considered as noise, while the larger move from the open is considered as expansion. If you average the daily expansion over N days you get a static volatility target.

Attached are two charts. The first one shows the dynamic levels calculated from the average daily range. The second one shows the static levels calculated from the average daily expansion. The indicator comes with the SessionPivots, which can be downloaded here:

http://www.ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=4&linkid=343

[Steve Radke]

You can use the anaCurrentDayOHLV42 that comes with the SessionPivots V42 package.

http://www.ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=4&linkid=343

It displays the average range of the last 10 days, the last 20 days and the current day's developing range in a box.

You can display the full session ranges or the regular session ranges. If you wish to display the regular session ranges on a full session chart, then a specific session template is needed.

The current day's range expectation is plotted on the chart. The magenta target bands show how far price needs to move to attain the average daily range of the last 10/20 days.

can you point me to where I can find this package referenced here?

[Harry]

can you point me to where I can find this package referenced here?

There is a link in the text that you cited. Did you try it?

[NinjaTrader_PatrickH]

Hello Steve,

Thank you for your note and welcome to the NinjaTrader Support Forum!

You can find the referenced file at the link in your quoted response as Harry mentioned. You can find it at the following link as well: http://www.ninjatrader.com/support/f...d=4&linkid=343