Conversion Request: Damiani Volatmeter (trend detection, trade filtering)

[Elliott Wave]

Personally, I find if there is one area of indicators lacking it is those that help detect where there is a trend or not.

The most common indicator for this purpose is the ADX. A revolution in the 1970's, but of limited value now in my opinion.

I think Chande's RAVI and Trendscore (the latter just converted to NT) are a very helpful edition, and I have found another indicator in MetaTrader format that could be very useful in this area.

I've attached the most recent and previous version of the Damiani Volatmeter indicator for MT4 hoping that someone can convert it to NinjaTrader. I'd love to do it myself but it's above my coding level at this time, although I hope to learn from the results...

[roonius]

criteria...

hi elliott wave,
do you understand the logics of the indicator?
the reason i am asking is that i covert from "english" to nt script (c#).
if i understand what i need to do, i can code it fairly quickly, otherwise i have to make double conversion: mt4 to "human english" (which is most difficult part for me) and then to nt script ...
so my point is... if you understand algorithm of that indicator please explain it, then i could respond more quickly... if not - never mind - i'll see what i can do...

[Elliott Wave]

Hi Roonius,

The way I understand it, the indicator plots two lines similar to Wilder's ADX/DMI, but rather than one line being buy and sell pressure, this indicator plots two lines based on Signal (green line) and noise (grey line). If the grey line is above the green line, that means the 'noise' is greater than the signal. The red line (in the middle of the old version, and the bottom of the newer version) acts as a signal not to trade.

Unlike the ADX/DMI, this indicator seems to be based on StdDev, which in my opinion is a more adaptive calculation to base trending characteristics on.

I hope this helps. If you're still a bit confused as to how it works I would recommed downloading a non-expiring demo of MetaTrader4 from Alpari and loading it up.


(pic: new version at the top, older version on the bottom)

[roonius]

Damiani...

Edit:

Reattached improved version.
Any concerns or suggestions - let me know

[Elliott Wave]

You can try attached and modify it.
There were few concerns I found:

- LagSupressor uses constants - something to add to be more flexible;
- Since I converted it "directly" almost statement by statement, I was not sure was it Standard deviation of WMA or WMA os Standard Deviation.

I did it StDev of WMA you can try viceversa.

I will look again tomorrow. It's too late today(too tired).

Any concerns or suggestions - let me know

Initially it looks to function fairly well except for the scaling.

Currently the red (don't trade!) line defaults to zero, yet the the noise line regularly goes below this. Rather than be at zero, I think the red line should always be at the bottom of the indicator window, whether that be 0, or -1,000.

Aside from that, it looks correct, but its hard to know for sure until the scaling is correct.

When it comes to trying to code C# at the opposite time a 'normal person' would be expected to be productive in their respective time-zone, I definitely know what you mean! I 'm looking at the screen with one eye open and only a small fraction of that is due to sleep deprivation and lack of appropriate emoticon's on the NT forum...

Great work by the way, and get some sleepzzzzzzzzzzz

P.S
If the indicator uses WMA in any aspect, it could probably be make more flexible using the JurikJMA (for those that have it {worth it IMO}) and the T3/HMA for those that don't.

Also, I don't know exactly why, but I think taking the average of StdDev would be more effective than taking the StdDev of an average. Perhaps its because I think StdDev is a more robust/adaptive calculation that has more 'staying power' than any specific moving average type.

[roonius]

Some improvements...

Made some improvements and reattached newer version (see post below).

Happy Thanksgiving to everyone.

[traderandreas]

HA with Price

Hi Roonius,

Could you pls post the HA with price or direct me to where it could be found.

BTW I like your implementation of the volatmeter.

thanks

[Elliott Wave]

Thanks for the update Roonius.


I like the changes you made.

[Elliott Wave]

When I looked at Ronius's updated code, the way he structured it internally gave me an idea to make the indicator even more flexible.

I added the option to select different moving average and indicator types as the input.

You can now select among the following to test for trends:


WMA (default), SMA, EMA, HMA, T3, ADXVMA, VOLMA, StdDev, ATR, LinReg, CCI, RSI, ROC *

Just type the name you want to use (must be exactly the same as the description) and the indicator will change accordingly.

I think there can be some interesting uses here. The ADXVMA could be quite useful as its a moving average type already based on trend characteristics and it may be possible to get the best of both worlds. Also after a tiny bit of experimenting I think StdDev is showing some nice results.

If anyone finds and useful settings be sure to post them.

Enjoy and happy thanksgiving for those in the U.S.


*Most of the non moving average settings, can cause some weird results but are there just for experimental purposes. I try some more things and update with anything useful and weed out some of the useless functions.

[roonius]

Elliott,

Thanks for improvements...
I added one minor improvement - a dropdown box for choosing MA type...
Reattached improved version in the earlier post.

[roonius]

to traderandreas

there is heikenashi with price

[traderandreas]

Thanks

Hi Roonius,
A big thankyou for posting this indicator.

regards,
Andreas

[Ninja B]

Thanks roonius and Elliott Wave for sharing new indicators.

[J_o_s]

Thanks for this indicator Roonius and Elliot Wave.

Importing in NT 7.0 failed initially, but after commenting out lines number 95 - 97 (the lines that call the T3 indicator), it works like a charm.

Edit:
It looks promising, but I can't find (in the code or through Googling) where the variables stand for.

SedAtr
SedStd
VisAtr
VisStd

I guess the Atr stands for Average True Range and the Std for the standard deviation. But what's a Sed and a Vis?

Regards,

[Joab01]

Hi, J_O_S

I'm trying to import this indicator in NT 7 and it failed. How do you comment on lines 95 97?