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Much as been said about leading indicators, but there’s really only one and that’s price action. Price action is simply historical price data plotted on a chart, as opposed to lagging indicators that can be used to confirm trends or reversals.
Below you'll find our proprietary indicators for NinjaTrader 7 and 8, namely our leading indicator package, i.e. the Session Tools (the multi time-frame Opening Range, Pivot and VWAP packages), along with the LizardRenko bars. You will also find information on our tools for entry timing; the Auction Bars, the Ichimoku Kinko Hyo and the Zerolag Oscillator. The tools can be used as add-ons to improve any system you currently trade, alternatively you may use them as stand-alone trading tools.
Auction Bars
That the trend is your friend, is probably the single most used line in the trading community. Of course, one may identify trends that last for extended periods of time in higher timeframes, such as daily or weekly charts. This is however rarely the case in intraday trading. Typically there are temporary imbalances that lead to a sudden increase or decrease in price. For a brief moment the market will know where it is heading. But then the sudden move stops and the market returns back to a bipolar mode. The new price levels are now being tested until there’s a new sudden move with a breakout from the trading range.
More Information The main idea of the Auction Bars is to identify these sudden shifts in value and to show reversal and breakout bars. Accordingly, the indicator identifies possible reversals patterns, i.e. reversal or spike bar candidates, and what we call Auction Bars that break a current trading range. For reversal and spike bar, they only get labeled as such once confirmed. The default confirmation requires a price one tick above the high of a key reversal or spike bar up candidate. Opposite, it requires a trade which is priced at least one tick below the low of a key reversal or spike bar for a down candidate. For Auction Bars, the concept is derived from thrust bars. However, the close of a bullish Auction Bar is compared to the high of the current auction range instead of the high of the prior bar. A bearish Auction Bar will compare to the low of the current auction range, not the low of the prior bar. In order to improve the expectancy for trade entries based on key reversal and spike bars, the Auction Bars indicator comes with certain filters. For example a key reversal or spike must also be a preliminary swing high or low. Also, the reversal bar must have a significant range or volume (narrow range and low volume key reversal and spike bars are eliminated). Furthermore, one may also specify that key reversal or spike bars should only appear outside the auction range, or touch the congestion zone. It is recommended to apply additional price benchmarks as as filters for the Auction Bars. Tests have shown that support and resistance indicators, such as VWAPs, SessionPivots or SupplyDemandZones can be easily combined with reversal bars to improve results. The indicator comes with a detailed user manual and you may review a blog post for further details on Spike Bars and Reversal Bars.
Available for NinjaTrader 7 and 8
Each license is valid for 2 PCs
Candlestick Pattern
Candlestick patterns are price movements which can be shown on a candlestick chart. A candlestick pattern typically consists of one or several candlesticks. The different patterns can be used to predict price reversals or price continuation. The Candlestick Pattern indicator identifies 30 bullish and bearish pattern which have been adapted for intraday charts.
More Information The Candlestick Pattern indicator identifies the following pattern: Bullish / Bearish Reversal Pattern and Continuation Pattern A bullish reversal pattern alerts to a potential change from a downtrend to an uptrend. Therefore bullish reversal patterns are only valid when they occur during a downtrend. Likewise, bearish reversal patterns precede a potential change from an uptrend to a downtrend and therefore require that the market is in an uptrend. For a bullish continuation pattern the market should already be in an uptrend, while a bearish continuation pattern requires that the market is already in a downtrend. Most of the candlestick pattern are reversal pattern. A reversal pattern is reinforced by support and resistance. The predictive power of reversal pattern increases when there are several reversal patterns in a row. The Candlestick Pattern indicator comes with an integrated, customizable zigzag indicator which is based on the basic features of our SwingTrend indicator. All patterns may be selectively detected during uptrends or downtrends alone. Statistical Analysis Candlestick pattern were originally developed in Japan around 1850 for daily, weekly and monthly charts. The concept has been developed for time based charts and can be extended to intraday charts for many of the pattern. Gap pattern are not suited for intraday charts. However, not all markets are equal. Some patterns may work on equity markets but perform worse on commodity or FOREX markets. They may work on daily charts but not be suited for faster charts. Therefore, it is important to perform a statistical evaluation of the validity of each of the pattern for the market to which it shall be applied. The Candlestick Pattern indicator facilitates the statistical evaluation in two ways. First the indicator already performs an analysis of price moves after the pattern has been detected. The analysis is displayed in a separate data box for the last candlestick pattern visible on the chart. Second the indicator has all the pattern exposed as public data series such that they can be accessed by a strategy for performing a portfolio backtest for each of the pattern across an asset class. The indicator is compatible with the NinjaTrader strategy builder and Bloodhound / Blackbird. The indicator comes with a detailed programming guide and you may review a blog post for further details on Candlestick Pattern Trend Reversals and Trend Continuations here.
Available for NinjaTrader 8
Each license is valid for 2 PCs
Ichimoku Kinko Hyo
The Ichimoku Kinko Hyo, also known as the Ichimoku Cloud, is a versatile indicator that defines support / resistance, trend direction, momentum and trade signals. The indicator was developed by Goichi Hosoda who published a book about it in 1969.
More Information The most characteristic feature of the Ichimoku indicator is the cloud (Kumo). It is comprised of two lines, the Senkou Span A (green) and the Senkou Span B (red). A trend can be found by determining whether prices are trading above or below the the cloud. If prices are trading within the cloud, it indicates a sideways market. Furthermore, an uptrend is considered strong if the Senkou Span A (green line) has crossed above the Senkou Span B (red line), plotting a green cloud. A strong downtrend has a falling Senkou Span A (green line), crossing below the Senkou Span B (red line) and plotting a red cloud. Because the cloud is displaced 26 bars forwards, it can also provide a forecast of future support / resistance. The Tenkan-sen (blue) and the Kijun-sen (red) lines are used to identify faster and more frequent market moves. The Tenkan-sen is calculated using a 9-period high adding a 9-period low and dividing by two (9-period high + 9-period low)/2)). The Kijun-sen applies the same formula on a 26 period (26-period high + 26-period low)/2)). The relationship between the two is similar to that of a 9 and 26 period moving average. The 9-perid is faster and follows the price plot relatively closely whereas the 26-period is slower. The 9 and 26 are the same periods used to calculate MACD. The classic signal is to wait for the Tenkan-sen to cross the Kijun-sen. However, although effective, the signal will occur infrequently in strong trends. Therefore, additional signals may be located when price crosses the Tenkan-sen, alternatively the Kijun-sen. The most favorable setups are aligned with the cloud and the major trend (above green cloud = bullish / below red cloud = bearish). The cloud can also be used as support for retracement entries in an uptrend. Conversely, it can be used as resistance for retracement entries in a bigger downtrend. Finally, the Chikou Span is the close displaced 26 bars back, showing the current momentum. The premium version identifies eight (8) different conditions: The above conditions can be read directly from the current price information whereas the following are projected 26 bars forward or backwards: 26 bars forward: 26 bars backwards: Based on these conditions, one may define a composite trend to be displayed as paintbars. A bullish/bearish trend will see at least one bullish/bearish condition and allow neutral states from other conditions. A composite trend reading with contradictory readings, i.e. both bullish and bearish conditions will be interpreted and display as neutral. Apart from a composite trend reading displayed as paintbars, the indicator also offers: The premium version is available for NinjaTrader 7 and 8. You may compare the Premium features with the library version here.
Available for NinjaTrader 7 and 8
Each license is valid for 2 PCs
LizardRenko Bars
The LizardRenko Bar package come with four (4) bar types and a specific indicator for this bar type; a low market liquidity detection tool and the projected high low level for the next bar.
More Information The LizardRenko has dynamic parameters for determining trending vs. reversal bars. A standard 1:2 ratio is available as D-Renko, The T-Renko and Q-Renkos deliver 1:3 and 1:4 ratios respectively. All our Renko bars are based on true price action, have genuine timestamps and are fully backtestable in all modes and settings. Finally, they do not produce “fake bars” with zero volume. They can therefore be synchronized with multiple bar series scripts. LT_Renko_Tools: Market Liquidity: Detects low liquidity scenarios where thin market conditions cause one or several order book levels to be skipped. The situation occurs when there is a gap of more than 1 tick between the closing of a renko bar and the opening price of the next renko bar. Alternatively, when a renko bar closes above the projected high / low, thus skipping one of those levels. Such Illiquid market situations may be displayed via paintbars and signalled via sound alerts. The Renko Tool comes with a public property “MarketLiquidity “which can be accessed via an indicator or strategy. Projected Renko High/Low: The Renko Tool can be used to reduce slippage as it calculates the projected high and low for the next renko bar. These levels can be used to enter stop orders before the new bar has actually closed. Sound alerts may be activated and triggered when one of the projection levels is reached thus closing the current renko bar. Two public properties “ProjectedHigh” and “ProjectedLow“ can be accessed through an indicator or strategy. The indicator is available for NinjaTrader 8 and is compatible with the tools found in our Indicator Library. Additional information on why we developed our own NinjaTrader Renko Bars was discussed in this blog post.
Available for NinjaTrader 8
Each license is valid for 2 PCs
Opening Range
The Opening Range is also a leading indicator and displays the range obtained from the highest and lowest price of a security during the first minutes of daily trading activity. The Opening Range indicator displays the range and the current open of the RTH session. The premium version is a multi-timeframe (MTF) version of our standard library version. Specifically, a secondary minute bar series is added to the chart and calculates the opening range.
More Information This is important when applying the indicator to tick, range and volume charts as standard Opening Range indicators often plot incorrectly when using those bar types. If the last bar expands beyond the opening period, closing after after the specified time, you will not have a correct plot. However, the multi time-frame Opening Range will plot a correct range even if the primary bars do not contain the necessary information for its calculation. Furthermore, if using minute charts, you will want to use the premium version if the opening period is not an integer multiple of the bar period. For example: If you trade a 3 min chart and use an opening period of 10 minutes, it is not an integer multiple of the bar period. The opening period can be selected via indicator dialogue box. Furthermore, the regular open and the range of the first minute of trading after the open may also be displayed. The premium version also includes a separate indicator designed to calculate the opening range in seconds. In addition, you may also display the night session or pre-session range. This is different for each instrument and refers to the electronic session prior to the session selected for the opening range. By default the indicator pulls the instrument trading times, regular open as well as pre-session times from it’s own databank (applies for the following exchanges: CME, NYMEX, CBOT, EUREX, ICE). The premium version may also be used with e-micros and cryptocurrencies. You may furthermore add your own additional exchange trading hours. Finally, the premium version comes with a market analyzer column. Specifically, the Market Analyzer returns information on how far prices have moved outside the range. The premium version is available for NinjaTrader 8. The Premium version can be compared to our standard Library indicator here.
Available for NinjaTrader 8
Each license is valid for 2 PCs
Session Pivots
Session Pivots are a well known trading technique used by market makers and were frequently used by local pit traders to calculate intraday support and resistance points. The technique has been around for decades, and because of its simplicity and efficiency, it is still in use today. Pivots are calculated from the high, low and close of the previous day’s session. This information is available prior to the start of the current day’s session and does not change throughout the day. The Session Pivots are leading indicators and can be used to display Floor Pivots, GLOBEX Pivots or JacksonZones.
More Information Floor Pivots are calculated from high, low and close of the regular trading hours. GLOBEX Pivots are based on full session data. Jackson Zones are a symmetrical variation of pivots with the zones based on Fibonacci numbers. JacksonZones can be calculated from both regular and full session data. The indicators should only be used with session templates that reflect the contractual trading times of the instruments. In the event that your data provider supplies the settlement price for futures, the indicators have an option to use the settlement price instead of the regular close. The Session Pivots indicator package comes with 6 different indicators: The daily, weekly and monthly pivots can be used to display main pivot, central pivot, directional pivot and 3 major support and resistance levels, all based on the selected period. The JacksonZones will show the main pivot and two major support and resistance levels with the adjacent Fibonacci zones. All indicators have an option to add rolling pivots or zones, which are calculated from high, low and close of the prior n days, weeks or months. When the rolling period of the daily pivot indicator is set to 3, the 3-day central pivot or balance point can be displayed. Furthermore, all indicators allow you to plot pivot projections for the next day, week or month prior to the completion of the current period. The projections are based on the current period high, low and the last traded price. For futures contracts that are traded on CME or NYMEX, the indicators allow to calculate correct pivots for extended trading days and take into account current holiday schedules. The indicator comes with a detailed user manual.
Available for NinjaTrader 7 and 8
Each license is valid for 2 PCs
Session VWAPs
Many institutional traders have their trade execution measured by volume weighted average price (VWAP). The VWAP is a benchmark that tells us the average price for all transaction executed during a day. Because institutional investors have their execution measured as good or bad by how far away they were from the average price, they will try to buy as close as possible to the VWAP. Accordingly, there are two ways of using the VWAP, namely as trend filter or as support and resistance indicator.
More Information The indicator package contains a total of 15 different indicators including 5 VWAPs, 5 RWAPs and 5 TWAPs (for NinjaTrader 8 we have so far converted 4 VWAPs and 4 RWAPs, the rolling VWAPs/RWAPs are currently in the process of being updated). The VWAP indicators display the volume-weighted average price for a selected period. The daily, weekly, monthly and quarterly VWAPs are moving averages, anchored at the beginning of the period. The rolling VWAP calculates a volume-weighted average price of all trades in a moving time-window, and is not anchored at a specific starting point. All VWAPs are displayed with standard deviation bands calculated as a volume-weighted standard deviation from all trade data. The standard deviation bands may also be replaced by quartered range bands. If volume data is unavailable (or unreliable), you may choose the range-weighted average price (RWAP) as a substitute for the VWAP. The RWAP indicators have exactly the same properties as the VWAP indicator, however, the weighting is not based on volume data but the squared ranges of the price bars. RWAPs work particularly well for FOREX instruments. The package contains a daily, weekly, monthly, quarterly and a rolling RWAP. The remaining 5 indicators calculate the time-weighted average price (TWAP). The TWAP is known as a simple order execution algorithm. The price calculation is not based on volume data, but on time lapsed. Our preference for discretionary or automated trading is however the VWAP and RWAP packages. Aside from the current selected period, all indicators allow for display the average price and the value area for the prior day, week or month. The value area is typically tested during the current period, unless there is a runaway trend. Furthermore all indicators allow for displaying several average price levels from prior periods. For example, you may display VWAP or RWAP for the prior 3 weeks, then compare them to the VWAP/RWAP of the current week and thereby define the trend. The indicators come with a detailed user manual.
Available for NinjaTrader 7 and 8
Each license is valid for 2 PCs
Swing Trend
The Swing Trend indicator is a classic tool for trend analysis and determines the general direction in which the market is moving. Swing trend analysis is furthermore used for Fibonacci analysis, pattern recognition and for detecting divergences.
More Information Rather than moving in a straight line, a trend is characterized by a series of highs and lows, resembling a series of successive waves. Specifically, the Swing Trend indicator will show series of higher highs and higher lows in an uptrend, or lower lows and lower highs in a downtrend. In an uptrend, a low which breaks below the prior swing low marks the beginning of a downtrend. Conversely, in a downtrend a high that breaks above the prior swing high is needed to start an uptrend. Consequently, swing trend and market structure analysis is a technical term for describing what the market has been doing in the past and what it needs to do in the future in order for the bulls or the bears to maintain their positions. The zigzag plot connects the alternating swing highs and lows. When new price bars are added the current leg is either extended, or a new leg is added in the opposite direction. There are two conditions required for drawing a leg in the opposite direction: The minimum deviation can be set in points, ticks, as a percentage or as a multiple of the average range or average true range. The swing strength is set as an integer larger or equal to one. A zigzag plot can be built by selecting the minimum deviation, by selecting the swing strength or by using a combination of both the minimum deviation and the swing strength. When the minimum deviation is set to 0, the zigzag is only built considering the swing strength. When the swing strength is set to 1, the zigzag is only built considering minimum deviation. The indicator allows for displaying the major and minor trend via paintbars or backflooding. The major trend refers to the breaking of the HL/LH levels, whereas the minor trend represents the direction of the current swing leg and reverts when a new swing leg is added in the opposite direction. A change of the major trend can be plotted as T-signal. Minor trend changes are shown via triangles. The indicator can also be set to plot a trailing stop representing the minor trend. Depending on the configuration of the swing trend, the trailing stop can be used to replicate a Chandelier Stop or an ATR Trailing Stop. Finally, the indicator can also be set to show the size and the cumulated volume of the swing legs. Major and minor trend, trade signals and information on leg size and volume can be programmatically accessed via NinjaScript or the strategy builder.
Available for NinjaTrader 8
Each license is valid for 2 PCs
Zerolag Oscillator
The Zerolag Oscillator is a MACD type momentum oscillator, based on two zerolagging moving averages. The raw oscillator is smoothed several times, before a histogram is calculated. The histogram is then smoothed again and normalized over twice the lookback period of the oscillator. The design of the Zerolag Oscillator follows two main ideas:
- Establish the current trend
- Identify potential low risk, high reward trade setups
More Information Establish the trend When the histogram is above the zeroline, the histogram bars are plotted in lime or green color. These colors represent an uptrend. An uptrend favors long setups. When the histogram is below the zeroline, the histogram bars are plotted in red or salmon color. These colors represent a downtrend. A downtrend favors short setups. The oscillator uses a particularly long lookback period (default setting 144 bars) to display the current trend. This makes it easier to find valid trade setups. Trade Setups Counter traders enter new trends early. Those trades are typically high reward & high risk trades. The win rate of counter trades is low, as the old trend may resume and take out the stop. Also, the stop should be set wide, as volatility often peaks during trend reversals. However, the reward can be large, when the counter trend trade is successful. Although the Zerolag Oscillator can be used to identify counter trend trades by drawing divergences, this is not what it is designed for. The indicator is primarily designed for finding retracement entries. The idea is to find the middle chunk of a larger trend. This is also referred to as a wave 3 when using the terminology of Elliot wave patterns. Therefore the task is to find the sweet spot, where a new position can be built and held during the major part of the trend. To find a valid entry... This is what can be considered a sweet spot. A young trend has just imposed itself. New traders will jump on the band wagon while traders from the other side will close out their positions.
Available for NinjaTrader 7 and 8
Each license is valid for 2 PCs