We just wrote Volume Ratio for Ninja Trader. This is a TradeStation indicator that was written for NinjaTrader. So take a look and enjoy. If you want this indicator before we post it for download, please drop us an email.

If you notice the data, yes, it is fake data. This indicator does not run on historical data, so you need to run it live, or use replay data.

You could also use simulated data like I did when I developed this, but it is probably not much use unless you like imaginary trading.

Or I should say Innenstaebe For Ninja Trader.

Here is the download

Ninja Trader Innenstaebe.
Click import and point to the downloaded zip file.

If you have any question, please contact us.

HO, HO, HO
Ok, here we are , nearing Christmas. You would not believe how much I need a vacation. I recovered from a hard drive failure and THEN all the craziness that goes on during the holidays. If you are not from a western country, let me tell you. Not much gets done around the holidays making it hard and time consuming to get anything done.

I am finally digging myself out of a huge pile of work, and this week I will have more time to catchup with things at TraderWerks.

CUSTOMER SERVICE

We now have someone just to handle customer support issues and emails. It was getting too much for us. We like to be timely in responding to emails and another set of hands will lighten the load.Â

We have a dedicated customer service email at customer @ traderwerks.com. This is the quicket way to contact us. The old gmail addresses is being phased out, so all of our emails will now end in traderwerks.com.

So if you have a product question, drop us a line at sales @ traderwerks.com and for support  email us at customer @ traderwerks.com.Â

COMING IN 2009

The biggest thing we are doing is moving the website around. It will still look the same, but will work a lot better. We are redoing all the ‘plumbing’ that does stuff behind the scenes. We also have installed a CMS (customer relationship management) that will improve our service. There is a learning curve, but it will be worth it in the long term.

HAPPY HOLIDAYS

I would like to wish all of you happy holidays.

HARD DRIVE FAILURE

Well, I am back from the dead. My laptop is anyway. About two weeks ago, I was going on a road trip. I was doing some buisness, seeing family and attending the 2008 FIA show in Chicago. So the night before I left , I backed up my laptop, loaded up my laptop with everything I will need for the trip.

So everything was going smoothly, and I thought it was going to be a nice trip, and then the first time I powered up my laptop…

Blue screen….

Argh. My laptop was dead. I have a Apple, which does not blue screen often, but when it does,it is pretty bad. It means there is a problem with the operating system. So my first stop was the Apple store. After a few days of camping at the Apple store everyday, I had my laptop back. Still functionally dead however.

Turns out my hard drive was dying and was starting to having bad sectors. When I loaded up my laptop, I apparently moved something from the operating system onto one of these bad sectors causing the blue screen. Apple said that I did not have enough bad sectors to warrant a hard drive change, and even if they did, they would only replace it with a hard drive of the same size.

RECOVERY

Do I believe this story? Don’t know , seems far fetched to me, but my laptop was dead, and now it is sort of dead. They managed to get an older copy of the OSX installed , but I could not access my files. ( Long story ) They also had to delete a lot of things I needed to make room when they were working on it. My laptop had turned into a very expensive paperweight/boat anchor.

My backup was back at home, so I really couldn’t use it for the rest of the trip. Luckily, I do hourly backups. Yes, hourly. I use Tine machine, and here is a little blurb from the website that can explain it better than I could.

Anatomy of a backup.

For the initial backup, Time Machine copies the entire contents of the computer to your backup drive. It copies every file exactly (without compression), skipping caches and other files that aren’t required to restore your Mac to its original state. Following the initial backup, Time Machine makes only incremental backups — copying just the files that have changed since the previous backup. Time Machine creates links to any unchanged files, so when you travel back in time you see the entire contents of your Mac on a given day.

Timing is everything.

Every hour, every day, an incremental backup of your Mac is made automatically as long as your backup drive is attached to your Mac. Time Machine saves the hourly backups for the past 24 hours, daily backups for the past month, and weekly backups for everything older than a month. Only files created and then deleted before the next hourly backup will not be included in the long term. Put another way: You’re well covered.

We have a development server here, which holds all the revisions for the software we write. That code is always backed up inside our version control software. That is however on our intranet and I also could not access it until I rebuilt my machine.

COMEDY OF RE-INSTALLATION

When came back, it was a comedy of re-installation. First, I had a new hard drive installed, and nice larger drive. Then, trying a full re-install, etc. etc. So what happend you ask ? I have everything backup of data & user files, but I did not have a current backup of applications ( which was intentional ). And I lost all of my security ( encryption , etc ) which was also intentional. I keep my encryption information elsewhere.

I had to try a few different things to get my machine back up and running, which I won’t go into. I did not have many ‘gotcha’ moments, more like a lot of ‘nope, try again’ moments. But in the end, my machine is back with all the data.

MORAL OF THE STORY

So the moral of this story is backup. And get a mac. Hard drives are hard drives, but a mac can make your life much easier. I use Time Machine for backup, which is the easiest to use incremental backup I have ever used. Sometimes it is too easy.

So I am sure everyone here backs up their computers religiously. Yeah , right. If you are not doing backups, which I think is most of you, you should start. If it is too hard, get a mac, and use time machine.

I didn’t mean for this post to seem like an advert for Apple computers. I have no connection with Apple, just and enthuestic user. Yes, I also use Windows and Linux computers, so don’t give me that Apple ‘fanboy’ crap.

One very useful function in Ninja Trader is Round2TickSize(). It rounds the price to the nearest tick of the instrument ( stock, futures, etc). I want to give a few examples , just to make it clear. Sometimes people wonder if  Round2TickSize() works by truncating or does it round down. It does neither, it returns the next tick nearest tick price REGARDLESS if it is higher or lower.

 

Now, take the ES 9 S&P Emini 500 ) for example, which has a 0.25 tick size. One half of a tick would be 0.125.

If the foo is 936.37, then  Round2TickSize (936.37) = 936.25 ( 0.12 difference DOWNWARD)

if the foo rises 0.01 to 936.38 , then Round2TickSize (936.38) = 936.5 ( 0.12 difference UPWARD)

And since a picture is worth a thousand words, a table has to be worth something. So here is a table of examples to wrap up this post.

In the latest update, NinjaTrader updated four indicators.

1. DMIndex
2. ParabolicSAR
3. Pivots
4. DMI

DMIndex

The most signifigant was the addition of the DMIndex. The Dynamic Momentum Index (DMIndex) as developed by Tushar Chande and Stanley Kroll and outlined in detail in their book The New Technical Trader. It is a variable term RSI which makes the RSI more responsive to short-term moves. The more volatile the price is, the shorter the time period is.

ParabolicSAR

The ParabolicSAR no longer a minimum acceleration factor. Before, the factor had a minimum of 0.2. Now, you can use any value such as 0.0 or 0.1, although I do not know why you would.

 

Looking at this wild week in the market I decided to look at the old gap trade. The gap trade is fading a gap open, and used to be a staple trade, but in the last few years it has not worked as well.. For example , if a stock opens up 2%, you sell it and hope for the gap to close.

So I coded up a NinjaScript strategy to trade the gap trade and took a look at RIMM. No real reason I picked RIMM, it is just one of those volatile internet type stocks. I have not tested the strategy on other stocks, but feel free to test it out.

Nine trades , all profitable, for a cumulative profit of 21% over the last couple of weeks. I have not done testing on other stocks, but it seems like the gap trade is working now.

Take a look at the image on my right. You can click on it to get a full size image. This is an image of the strategy analyzer, which is backtesting. The total net profit was $9.53 over two weeks which is not bad for a $44 stock. If you will notice that there were five trades, with four long trades in this market. The market has been wild so this strategy has been making long trades after some of these selloffs.

You can download the Gap Trade Strategy here. You need to run NinjaTrader 6.5 which pretty much everyone runs. You do have to register it, but it is mainly so you can read the legal mumbo jumbo that my legal guy wants. You just have to read the license and click ok.

DOWNLOAD Gap Trade Strategy

HOW TO USE THE STRATEGY
[1] The strategy only works on intraday data, not daily data.
[2] There is also only one parameter and that is the percentage of the gap for the trade to occur. So a setting of 2 would be a 2% gap.
[3] The strategy closes all trades at the end of the day.

This is a pretty good indicator. It looks for exhaustion bars and users those for reversals. The theory is that an exhaustion bar will form on higher volume, then the price will reverse.

This indicator is not designed to be used by itself. If fact, if you use it alone for trading, I think ….. well you know…. you would get taken to the cleaners.

So pair this with Stochastics or MACD , or whatever you wish.

    Well I am finally doing it. I am going to rename all the indicators from TraderWerks…. to TW…..  Personally , I like using the full long name better. It is clearer, but it is also long and annoying. In case you haven’t noticed, the new indicators I have written , have used TW instead of the long name.

     Such is life. All the old indicators that you have downloaded will still work, so no worries. But if you do have any problems, email me or leave a message in the support forum.

I have had these laying around on my hard drive for a while. I have too many things sitting around on my computer sometimes. For strategy development, that are a much easier way to include Bollinger bands into a Ninja Trader Strategy. Well, I decided to release them in source.

• %b, pronounced ‘percent b’, is derived from the formula for Stochastics and tells you where you are in relation to the bands.
• BandWidth tells you how wide the Bollinger Bands are on a normalized basis.

You can read more at the VIX and more blog. I don’t trade VIX options, but I do enjoy Bill Luby’s blog.

DOWNLOAD

TW %b Indicator