Can somebody code the Volatility stop for NT

[nico_p]

Formula and info found here :

http://www.linnsoft.com/tour/techind/vstop.htm

You work is much appreciated
Thank you

Nico

[PrTester]

Formula and info found here :

http://www.linnsoft.com/tour/techind/vstop.htm

You work is much appreciated
Thank you

Nico

Maybe this would help you: http://www.ninjatrader-support.com/v...ead.php?t=3660 or maybe point you in the right direction.

[nico_p]

Thank you PrTester

I believe that first version of you ATR- Trailing Stop Indicator does exactly what I wanted
Thx
Nico

[profitmaker9]

Could I get the code ?

PrTester:
I am not sure if the thread still works. I truly want to use volatility stop in Ninja. Could you help me to use it? Thanks very much.


Profitmaker9

[Harry]

Volatility Stop

The volatility stop is a stop which is based on the current bars close and the current bar's true range. When the trend is up, the stop is calculated by deducting a multiple of the current bar's true range from the current bar's close. When the trend is down, a multiple of the current bar's true range is added to the current bar's close.

An enhanced version of the volatility stop is known as the SuperTrend. The SuperTrend has the close replaced with a m-period moving average and the true range replaced with the n-period average true range. The special case m=1 & n=1 produces a volatility stop.

Adaptation to intraday data: There are many indicators that come with NinjaTrader and which should not be used with CalculateOnBarClose = false. One of them is the ATR (average true range). With the first tick of the current bar, the true range typically takes the value zero and therefore the average true range is distorted when the value for the unstable period is included.

I have therefore coded the SuperTrend in a way that it uses both

- the value of the moving average calculated for the prior bar
- the average true range of the prior bar

This eliminates the distortion during the unstable period and enhances the usability of the indicator.

The indicators available are the SuperTrendM11 ("M" stands for Median, "11" stands for the displacement of 1 bar used for both the median and the average true range) and the SuperTrend U11 ("U" stands for Universal, as you may select one out of 30 moving averages). You can download them here:

https://www.bigmiketrading.com/download/ninjatrader-7/indicators/841-download.html

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

Elite membership is required to access downloads.

Attached is a chart which shows the SuperTrendM11 with the median period and the ATR period set to 1. This is a volatility stop displaced by one bar for the reasons explained above.

But why would you want to restrict yourself to the setting m=1 and n=1. The SuperTrend is much more versatile than a simple volatility stop. The indicators come with paint bars. The trend reversal can be selected based on the breach of the stop line intrabar or at the close (setting reverse-intrabar, which takes the value true or false).

[NinjaTrader_Bertrand]

PrTester:
I am not sure if the thread still works. I truly want to use volatility stop in Ninja. Could you help me to use it? Thanks very much.


Profitmaker9

The original pointed to thread was moved to http://www.ninjatrader.com/support/f...ead.php?t=3660

All the best.