I have been doing a fair amount of futures trading in NinjaTrader of late and have come to like the Step Moving Average indicator coded for that platform. I decided to bring it across to thinkorswim. The Step Moving Average is an indicator which is only allowed to change in discrete steps calculated based on the average true range (ATR) or a user supplied constant step size. Essentially, it acts as a filter on price not dissimilar from the mechanism used in an ATR stop calculation (See the MultiStops indicator). When price is rangebound (within the constraints of the step size), the moving average line remains flat. When price is trending, the moving average moves incrementally in the direction of the trend. Shown below is a 15 minute chart of the /ES with a fixed 20 tick step size.
Pro Members can expect an update next week including the Step MA.
Step Moving Average
I find it intriguing when a (deceptively) simple hypothesis produces such distinctively logical output. Anything using or based on Wilder’s work tends to have the “face value” — just makes sense on the face of it. His (absurdly simple) Parabolic SAR is astonishingly effective. I wonder why/how/if these giants like Wilder didn’t trade their way to fortunes while they were variously inventing and discovery the veritable DNA of the markets.
Merry Christmas to all thinkScripters!
Have you done any analysis of using different tick step sizes for different futures contracts (/ES, /YM, /GC, /ZB, …), or is 20 ticks on a 15 minute chart a good one-size-fits-all?
No analysis. I just used the settings from my other platform.
Where did you find the Step moving avg for Ninja. I execute off that but don’t have that one. Thanks.
I think I got it over at Big Mikes.
Thank you. One more question
are you aware of any auto fib tools for Ninja? I haven’t been able to find them; or even a way to expand the number of fib retracements the Ninja tool provides which is limited to 10 levels?
No.