Info on anaMovingModeTPO

[Downhillryder]

Hi

Does anyone have any information on this indicator (anaMovingModeTPO) ? It seems like a trailing stop indicator. I would be interested in the logic behind the indicator and where to find/purchase it. Thanks for any help.

regards dave

[NinjaTrader_Lance]

Unfortunately I'm not familiar with this indicator. Where did you hear about it?

Do you have any screenshots of it?

[Harry]

Hi

Does anyone have any information on this indicator (anaMovingModeTPO) ? It seems like a trailing stop indicator. I would be interested in the logic behind the indicator and where to find/purchase it. Thanks for any help.

regards dave

I am the author of that indicator and others. Let me briefly explain the logic. If you look at a statistical distribution, for example a volume distribution over a price range, this distribution typically can be described by a few parameters. The most common ones are

the statistical mean (arithmetic mean of all observed prices)
the statistical median (the median price such that 50% of all observed prices are higher and 50% are lower)
the statistical mode (the price for which is the highest occurrence of trades - the volume peak - was observed)

Price data

Usually people are lazy and just use the information contained in the closing price of a bar. For a example a simple moving average (SMA) is usually calculated as the arithmetic mean of the last N bar closes. However, there is no reason not use the other information available from price data such as open, high and low of the bar. Further it is possible to use the entire price range of a bar (the prices are called time price opportunities - TPOs) or even volume-weighted price data of all bars (which leads us to volume-weighted time price opportunities, VWTPOs).

Different ways to calculate mean, median and mode

(1) Mean of the price volume distribution

(a) calculated from the closes -> SMA(Close)
(b) calculated from TPOs -> SMA(0.5* High + 0.5*Low)
(c) calculated from VWTPOs -> VWMA(0.5* High + 0.5*Low)

Those indicators already come with NinjaTrader, you can use them.

(2) Median of the price volume distribution

(a) calculated from the closes -> anaMovingMedian
(b) calculated from TPOs -> anaMovingMedianTPO
(c) calculated from VWTPOs -> anaMovingMedianVWTPO

(3) Mode of the price volume distribution

(a) calculated from the closes -> anaMovingMode
(b) calculated from TPOs -> anaMovingModeTPO
(c) calculated from VWTPOs -> anaMovingModeVWTPO

I have coded those indicators, but not yet published all of them. All ana-Indicators are non commercial indicators, which are available for free. If I have not put them somewhere in the downloads, I have not had the time or forgot it.

Applications

Those statistical indicators are used to describe the price volume distribution of a trading day or the regular session of a trading day. In this case you will use anchored mean, median or mode, which resets at the beginning of the trading session and cumulates all volume until the end of the session. The known indicators are

TWAP (time-weighted average price) -> this is an anchored moving mean calculated from TPOs on a minute or second chart
VWAP (volume-weighted average price) -> this is an anchored VWMA
SessionMedianTPO (only uses price data)
SessionMedian VWTPO (uses volume data)
POC (point of control) or SessionModeTPO (used in market profile on 30 min bars)
SessionModeVWTPO (enhanced version of POC)

I must admit that I do not like the modes. They are jumpy, as they are not stable. The mode shows the peak of the price volume distribution. On so called double distribution days you may have two similar volume peaks, and if you add a few contracts to the lower peak, then the mode may suddenly shift from the old peak to the new peak.

Value Area

The best known approach to the value area is known from market profile. The value area is built around the mode, covering about 70% of the volume of the daily session. I ma sceptical of this approach. As it may depend on a few contracts, where the POC is located the value area is allocated to one of the peaks on double distribution days in a rather arbitrary fashion. Therefore I prefer the more stable value areas based on

(1) VWAP and standard deviations (the 1 SD band approximates about 68% of the volume for an assumed Gauss distribution)

(2) SessionMedianVWTPO and percentile bands, where the value area can be set to match 70%

The simple moving median and moving mode indicators (close, TPO and VWTPO version) are available. I have yet to review them another time, but whoever wants them, please send me a private message.


Trailing Stop indicators

You can try SuperTrendu11, GannHiLoActivator or the basic ChandelierStop.

https://www.bigmiketrading.com/download/ninjatrader-7/indicators/1207-download.html?view

https://www.bigmiketrading.com/download/ninjatrader-7/indicators/1223-download.html?view

https://www.bigmiketrading.com/download/ninjatrader-7/indicators/1411-download.html?view

Session Indicators

Please contact me for daily, weekly, monthly, rolling VWAPs and all sorts of session statistic.

[Downhillryder]

Harry

Thank you very much for taking the time to give me such a comprehensive reply. Having no other information I intially thought that the MovingModeTPO indicator was some sort of ATR trailing stop and indeed without knowing its underlying logic it does seem to behave in that fashion.

I am interested in getting more information from the price range of a bar (what you called TPO I think) and have recently been looking at bar scoring and nearest neighbour techniques. Scoring a Bar based on it's opening/closing distance from a statistical event and looking at subsequent moves and then using the current bars score to predict the next bar is fun if not yet profitable.

I would be very interested in looking into your moving/median mode indicators and will PM you asap.

Once again thank you for taking the time and trouble to reply in such detail.

regards dave