# of BARS to look back?

[TraderYoda]

Hello,

I've read several posts on the forum about the market analyzer. I'd like to confirm some information to make sure I understand it correctly as I'm experiencing problems with the values when compared to their corresponding chart values.

1) The Market Analyzer will ONLY display the correct values that CORRESPOND to what is displayed on your chart if you are connected to a LIVE REAL TIME DATA FEED, even though the indicator values display correctly on the chart when using EOD data only?

2) Problem - even when I am connected to a LIVE REAL TIME DATA FEED, my indicator values are NOT displaying correctly in the Market Analyzer on the HIGHER TIME FRAMES although they appear correct on the chart?
What I need to understand is the ''# of BARS to look back'' in the Market Analyzer. The default setting is 50 BARS. My indicator values in Market Analyzer are NOT displaying correctly on the 3 Month period (per bar) and 6 Month period (per bar). My indicator settings on the 3 Month period chart only require a look back period of 5 BARS. The indicator setting in the market analyzer are the same as those on the corresponding chart period.

I notice that if I set the Market Analyzer ''# of BARS to look back'' to 200 then all my indicator values display correctly in Market Analyzer 3 Month period column and 6 Month period column?

3) Question - Why does it work when I set the ''# of BARS to look back'' to 200, when the indicator only requires a look back period of 5 BARS?

4) Question - If the period is set to 3 month Bars (see attached screenshot), and the ''# of BARS to look back'' is set to 50 (default), my understanding tells me that the 50 BARS refers to 50 X 3Monthly BARS - each BAR being approximately 90 days?
Is the Market Analyzer using MONTHLY data for the calculation (50 X 3Monthly BARS), or does the Market Analyzer use DAILY data (90 days per 3Month BAR) for the calculations?

5) Why is the default ''# of BARS to look back''of 50 BARS not enough if indicator requires 5 BARS look back?

6) Does the Market Analyzer parameter ''# of BARS to look back'' need to be the SAME as the chart properties parameter - Data - Load data based on ''BARS'' amount?

7) Does it mater if the chart properties parameter is ''Load data based on ''BARS'' OR ''Load data based on ''DAYS'' ?

8) Is there not a concern about setting the look back period to 200, in terms of performance issues?

Appreciate your assistance

[koganam]

Hello,

I've read several posts on the forum about the market analyzer. I'd like to confirm some information to make sure I understand it correctly as I'm experiencing problems with the values when compared to their corresponding chart values.

1) The Market Analyzer will ONLY display the correct values that CORRESPOND to what is displayed on your chart if you are connected to a LIVE REAL TIME DATA FEED, even though the indicator values display correctly on the chart when using EOD data only?

2) Problem - even when I am connected to a LIVE REAL TIME DATA FEED, my indicator values are NOT displaying correctly in the Market Analyzer on the HIGHER TIME FRAMES although they appear correct on the chart?
What I need to understand is the ''# of BARS to look back'' in the Market Analyzer. The default setting is 50 BARS. My indicator values in Market Analyzer are NOT displaying correctly on the 3 Month period (per bar) and 6 Month period (per bar). My indicator settings on the 3 Month period chart only require a look back period of 5 BARS. The indicator setting in the market analyzer are the same as those on the corresponding chart period.

I notice that if I set the Market Analyzer ''# of BARS to look back'' to 200 then all my indicator values display correctly in Market Analyzer 3 Month period column and 6 Month period column?

3) Question - Why does it work when I set the ''# of BARS to look back'' to 200, when the indicator only requires a look back period of 5 BARS?

4) Question - If the period is set to 3 month Bars (see attached screenshot), and the ''# of BARS to look back'' is set to 50 (default), my understanding tells me that the 50 BARS refers to 50 X 3Monthly BARS - each BAR being approximately 90 days?
Is the Market Analyzer using MONTHLY data for the calculation (50 X 3Monthly BARS), or does the Market Analyzer use DAILY data (90 days per 3Month BAR) for the calculations?

5) Why is the default ''# of BARS to look back''of 50 BARS not enough if indicator requires 5 BARS look back?

6) Does the Market Analyzer parameter ''# of BARS to look back'' need to be the SAME as the chart properties parameter - Data - Load data based on ''BARS'' amount?

7) Does it mater if the chart properties parameter is ''Load data based on ''BARS'' OR ''Load data based on ''DAYS'' ?

8) Is there not a concern about setting the look back period to 200, in terms of performance issues?

Appreciate your assistance

It appears that you are using a version of T3?

Inter alia, T3 is based on the EMA(), which is an infinite impulse response (IIR) filter. Whereas it is possible to analytically, and rigorously, determine when residual effects from the starting value of an IIR become negligible, it is usually simpler to just specify an early enough starting index to ensure that the results are stable at your point of interest.

In other words, what you are seeing is how IIR filters behave, because they carry residuals.

[TraderYoda]

It appears that you are using a version of T3?

Inter alia, T3 is based on the EMA(), which is an infinite impulse response (IIR) filter. Whereas it is possible to analytically, and rigorously, determine when residual effects from the starting value of an IIR become negligible, it is usually simpler to just specify an early enough starting index to ensure that the results are stable at your point of interest.

In other words, what you are seeing is how IIR filters behave, because they carry residuals.

Thank you for the reply, but it went right of my head. The T3 is just one indicator I use. I use 3 indicators in the Market Analyzer. They all work well on the lower time frames i.e. hours and minutes. Please could someone answer my previous questions.

Appreciate the assistance

[koganam]

Thank you for the reply, but it went right of my head. The T3 is just one indicator I use. I use 3 indicators in the Market Analyzer. They all work well on the lower time frames i.e. hours and minutes. Please could someone answer my previous questions.

Appreciate the assistance

Math is math. That is the response to every one of your questions. There is no getting around it: if you use an IIR, you will have residuals. Every price-based indicator is just math on price. There is no getting around the math.

Try the same thing with a finite impulse response filter like the SMA or Stochastics (as implemented in NT), and you will see that your values are the same everywhere, provided the bars you look back exceed the period you specify for the SMA, no matter how small the difference. (Yes, I know, everybody rags on the SMA, but it has its uses. It is the best example of a finite response filter.)

[TraderYoda]

Math is math. That is the response to every one of your questions. There is no getting around it: if you use an IIR, you will have residuals. Every price-based indicator is just math on price. There is no getting around the math.

Try the same thing with a finite response filter like the SMA or Stochastics (as implemented in NT), and you will see that your values are the same everywhere, provided the bars you look back exceed the period you specify for the SMA, no matter how small the difference. (Yes, I know, everybody rags on the SMA, but it has its uses. It is the best example of a finite response filter.)

I do appreciate your response. I know that indicators are based on programming very complex mathematical formulas. I'm not a programmer or mathematician. I'm just a Ninjatrader user that wants to know how to interpret the ''# of BARS to look back'' in the Market Analyzer. I don't need to understand the mathematical code. I just need a practical guide on how to interpret the 3month bars period and the
''# of BARS to look back'' parameter.

Does the word ''BARS'' refer to the 3month period bars I'm using? So if I'm using the T3 MA, with a look back period of 5 on 3Month bars - does the ''# of BARS to look back'' parameter need to be set to 5 or 100? or 200? or 300? Or does it need to be set to the same amount of 3month bars that I have displayed on my chart? Does the Market Analyzer use DAILY data to calculate the indicators period even though I'm using 3Month period bars? Do I need to convert the 3 months into DAYS, so the look back period for market Analyzer is 5 (T3 look back) X 3Month bars is 5 X 60 days (Trading days) = 450 daily bars. Is this what I must use for ''# of BARS to look back'' in Market Analyzer?


Does the Market Analyzer parameter ''# of BARS to look back'' need to be the SAME as the chart properties parameter - Data - Load data based on ''BARS'' amount?

7) Does it mater if the chart properties parameter is ''Load data based on ''BARS'' OR ''Load data based on ''DAYS'' ?

8) Is there not a concern about setting the look back period to 200, in terms of performance issues?

[NinjaTrader_DrewO]

Hello TraderYoda,

I am doing some research on my end and will follow up with you with information regarding your examples.

[NinjaTrader_DrewO]

Hello,

Thanks for your patience.

The overall "# of Bars Look Back" setting for the Market Analyzer applies to any bar type requested within the Market Analyzer itself. This setting will have to be equal or greater than the largest period setting used for any of the indicators applied in the Market Analyzer. For instance, if you had two indicators on your Market Analyzer, one with 25 bars to look back, and one with 100, you would want to set the Market Analyzer's "# of Bars Look Back" to at least 100.

Once you have selected Monthly bars, the Daily data that makes up those Monthly bars would no longer be considered.

7. If the settings match completely between the the Chart and the Market Analyzer you would see the same values. For this, you would want to use "BarsToLoad" on the chart.

8. Adding more bars to consider in the indicator's calculations can negatively impact performance. I have provided a link below to our Help Guide that goes over performance tips.

http://www.ninjatrader.com/support/helpGuides/nt7/performance_tips2.htm