Range Analysis for NinjaTrader 7
Range trading is appropriate when the market lacks direction can be executed by establishing support and resistance zones. By locating a series of short term highs and lows and connecting the areas using horizontal lines, we will find areas where traders looking to buy and sell the market. Many of these indicators have now been converted to NinjaTrader 8 and are available through the Indicator Library Membership. Please refer to the volatility indicators category at LizardIndicators.com.
Initial Balance Range Bands
The indicator displays the current open, the initial balance (IB) and upper and lower range bands that are calculated by adding and subtracting fractions of the initial balance to the IB high and IB low. This indicator adds a second minute bar series to the chart (multi-timeframe - MTF) , which is used to calculate the initial balance.
The Opening Range is created at the start of each RTH trading session and is a range measured in a predefined time frame. For day-traders, this could be the first 5, 15 or 30 minutes. A number of trading systems rely on the Opening Range for clues on directional bias. They usually look for Opening Range breakouts, i.e. note the high-low range of an opening market period and breakouts above or below that range.
Range Weighted Moving Average
This is a moving average that has the close of each bar weighted with the square of the tick range. It comes close to a volume-weighted moving average, and may be used with instruments, for which no volume information is available.
Relative Volume / Range indicator
The Relative Volume indicator identifies high/low volume bars by comparing current volume against the average volume over the same period during the preceding n days/weeks. This information can be used to run breakout strategies when cumulated relative volume is above average and countertrend strategies when cumulated relative volume is low.
For example: Plot the Relative Volume on a 15 min chart with default settings - 20 weeks referenced. Lets say the current bar has a time stamp of Tuesday, 2:00 PM. The indicator will then calculate the average volume of the last 20 bars on Tuesday 1:45 - 2:00 PM, and compare the volume of the current bar to that average. The cumulated ratio compares the cumulated trading volume of the current day to the average of the cumulated trading volume of the prior 20 Tuesdays up to 2:00 PM.
The Relative Ranges indicator uses the same architecture as the Relative Volume indicator, but the logic is applied to ranges. It measures the range of a fixed period bar against the average range over the same period during the preceding n days and can be used to assess average volatility.