Tradestation to Ninjatrader indicator variations

[acdrew0]

I am considering a transition from tradestation to ninjatrader and have been testing my system with ninjatrader.

I found quite a large discrepancy between the way some of the indicators appear on my charts. This seems to give fairly different entry/exit points and messes my system up.

These are the indicators that show a fair bit of difference:
Bollinger bands
Linear regression curve
MACD
Stoch Slow

I'm curious if it is possible to modify the ninjatrader indicators to build more similar charts to that in tradestation. Or is there a way to directly convert the tradestation indicators to be used in ninjatrader?

Does anyone have any suggestions on how I can go about this or where I can find someone to assist with this?

Is there actually a difference with these basic indicators between nt and ts in terms of their programming? Or is what i'm seeing likely due to scaling differences and the way it handles data.

I tested with both data downloaded from tradestation and the market replay data.

Thanks.

[NinjaTrader_AdamP]

acdrew,

The NinjaTrader indicators would all be based on the standard formulas out of trading magazines and other references. I'd imagine they would be the same with Tradestation however they use an entirely different language style for the programming so I am not sure here. One thing you may try is setting Calculate on bar close to "false".

Another thing is that the data series may be different across data providers. If the underlying data series is different, then the indicators would calculate differently since they have different inputs. I would suggest comparing the data from tradestation to NT and see if there are any differences. Its also possible to calculate on other series like high, low, etc. in NinjaTrader so you may want to double check these as well.

A NinjaScript consultant would probably be able to help you create any new indicators you would want.

http://www.ninjatrader.com/partners#NinjaScript-Consultants

Also, please note you can use the NinjaTrader AT interface to run your Tradestation strategies through NinjaTrader.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?tradestation_integration.htm

[[email protected]]

I ended up having the same issue with different value for d slow indicator. I am not sure if/how to fix. Did you find a solution?

Dorian

[NinjaTrader_AdamP]

Dorian,

There isn't really much I can do short of pointing to Koganam's response in the thread here :

Essentially, it can be difficult to match two indicators as the data feeds are usually different. In additionally if the indicators have different implementations its possible they will display slightly different.

http://www.ninjatrader.com/support/forum/showpost.php?p=288158&postcount=8

[[email protected]]

I received the calculation method from Realtick, here is their email to me:

D Slow
To create %D Slow you must select the number of intervals to include in the*
Realtick's Chart window calculates all values to 15 decimal places, then rounds the value to 2 decimal places or fractions (depending on what the security uses) to display the value.
*
For %D, RealTick uses a simple moving average on the %K data.
*
For %D slow, RealTick uses a simple moving average of the %D to get the first term, then uses the formula, for a p period moving average, for the xth term in the series to be averaged to get all successive terms in the series. This is a shortcut to conserve memory.
*
%DSlowx = (p-1)/p * %DSlowx-1 + (1/p)*%Dx
*
Example: If you do a 10 period %DSlow, the %DSlow is a simple moving average for the first term. The %Dslow for the second term is 9/10 of the %DSlow for the first term plus 1/10 of the %D for the second term.
*
For % D slow average, RealTick uses a simple moving average of the %D Slow to get the first term, then uses the formula, for a p period moving average, for the xth term in the series to be averaged:
*
%DSlowAvgx=(p-1)/p * %DSlowAvgx-1 + (1/p)*%DSlowx
*
to get all successive terms in the series. This is a shortcut to conserve memory.
*
Example: If you do a 10 period %DSlowAvg, the %DSlowAvg is a simple moving average for the first term. The %DSlowAvg for the second term is 9/10 of the %DSlowAvg for the first term plus 1/10 of the %DSlow for the second term.
*
*----
Let me know if someone can make this indicator or adjust the d slow indicator in NInja trader for me

Dorian

[sledge]

I found this here from NT_Cameron

http://www.ninjatrader.com/support/forum/showthread.php?p=289971

Additionally, for some indicators such as Stochastics, do you know the calculation method of your other Platform? NinjaTrader uses SMA calculations within our Stochastics, other platforms may use Exponential or Weighted moving averages.

However, with NinjaTrader you can create a custom coded Stochastics to match other platforms. To view the source code of our Stochastics - Tools --> Edit NinjaScript --> Stochastics

I received the calculation method from Realtick, here is their email to me:

D Slow
To create %D Slow you must select the number of intervals to include in the*
Realtick's Chart window calculates all values to 15 decimal places, then rounds the value to 2 decimal places or fractions (depending on what the security uses) to display the value.
*
For %D, RealTick uses a simple moving average on the %K data.
*
For %D slow, RealTick uses a simple moving average of the %D to get the first term, then uses the formula, for a p period moving average, for the xth term in the series to be averaged to get all successive terms in the series. This is a shortcut to conserve memory.
*
%DSlowx = (p-1)/p * %DSlowx-1 + (1/p)*%Dx
*
Example: If you do a 10 period %DSlow, the %DSlow is a simple moving average for the first term. The %Dslow for the second term is 9/10 of the %DSlow for the first term plus 1/10 of the %D for the second term.
*
For % D slow average, RealTick uses a simple moving average of the %D Slow to get the first term, then uses the formula, for a p period moving average, for the xth term in the series to be averaged:
*
%DSlowAvgx=(p-1)/p * %DSlowAvgx-1 + (1/p)*%DSlowx
*
to get all successive terms in the series. This is a shortcut to conserve memory.
*
Example: If you do a 10 period %DSlowAvg, the %DSlowAvg is a simple moving average for the first term. The %DSlowAvg for the second term is 9/10 of the %DSlowAvg for the first term plus 1/10 of the %DSlow for the second term.
*
*----
Let me know if someone can make this indicator or adjust the d slow indicator in NInja trader for me

Dorian

[koganam]

I received the calculation method from Realtick, here is their email to me:

D Slow
To create %D Slow you must select the number of intervals to include in the*
Realtick's Chart window calculates all values to 15 decimal places, then rounds the value to 2 decimal places or fractions (depending on what the security uses) to display the value.
*
For %D, RealTick uses a simple moving average on the %K data.
*
For %D slow, RealTick uses a simple moving average of the %D to get the first term, then uses the formula, for a p period moving average, for the xth term in the series to be averaged to get all successive terms in the series. This is a shortcut to conserve memory.
*
%DSlowx = (p-1)/p * %DSlowx-1 + (1/p)*%Dx
*
Example: If you do a 10 period %DSlow, the %DSlow is a simple moving average for the first term. The %Dslow for the second term is 9/10 of the %DSlow for the first term plus 1/10 of the %D for the second term.
*
For % D slow average, RealTick uses a simple moving average of the %D Slow to get the first term, then uses the formula, for a p period moving average, for the xth term in the series to be averaged:
*
%DSlowAvgx=(p-1)/p * %DSlowAvgx-1 + (1/p)*%DSlowx
*
to get all successive terms in the series. This is a shortcut to conserve memory.
*
Example: If you do a 10 period %DSlowAvg, the %DSlowAvg is a simple moving average for the first term. The %DSlowAvg for the second term is 9/10 of the %DSlowAvg for the first term plus 1/10 of the %DSlow for the second term.
*
*----
Let me know if someone can make this indicator or adjust the d slow indicator in NInja trader for me

Dorian

Both of those are a method fpr calculating an EMA of a datastream. If you are using a factor of 1/10, that, in fact, is calculating the 19 period EMA, not the 10 period EMA. So your calculations are already defective; or at least not what they are representing that they are.