TRIN as an Indicator

[alfie]

I am on the IB feed which supports TRIN and want to make it an indicator for use across a number of instruments. Because in NT TRIN is an Instrument, does this mean I will have to program in Multi-Instruments for EACH Instrument I want to apply a TRIN strategy?

Is there a more simple way of getting TRIN arranged as an Indicator?

[NinjaTrader_JoshP]

A multi-instrument approach will work. Unfortunately I cannot comment on the viability of TRIN as an indicator since I am not familiar with it.

[Elliott Wave]

This would be a great tool to have for NT since its one of the few indicators that have nothing to do with price.

A Better TRIN (Trading Index) Indicator

The TRIN (Trading Index), also known as the Arms Index, was developed by Richard Arms in 1967 and since then has become a well-known indicator used to measure market strength.
At the time, the idea was revolutionary. By combining two non-price variables in a very simple formula, the result was a single number that indicated whether market internals were bullish or bearish. Today, TRIN data is available for both the NASDAQ and NYSE markets.
The formula for the TRIN is as follows:

TRIN = (Advancing Issues / Declining Issues)
(Advancing Volume / Declining Volume)

Issues: The number of stocks rising or declining in price.
Volume: The total volume traded of rising or declining stocks.

A Better TRIN (Trading Index) Indicator

It’s been 40 years since investors first began using the Trading Index as a market indicator. Can we do better? Yes! By making some simple mathematical adjustments in your charting software, the result is an adjusted TRIN value that is easier to interpret and more accurate when averaged. Here's what to do:

• Step 1: Take the Log of the NYSE TRIN value.
• Step 2: Invert this value so negative values are positive and vice versa.
• Step 3: Multiply the inverted Log value by 100.
• Step 4 (optional): Repeat the previous steps for the NASDAQ TRIN data and average the two values.

Here's some more information on trade setups:

http://emini-watch.com/category/trin-indicator/

[NinjaTrader_JoshP]

Thanks for the suggestion, but even coding this would require pulling multi-instruments which isn't supported right now for indicators. You will just have to pull the TRIN symbol and use it accordingly in a strategy.

[Elliott Wave]

Yeah that should work, as long as people make sure they are getting the Trade Index and not 'Thomson Reuters PLC' which also has the symbol TRIN.

Luckily this is already in NT and mapped accordingly.

I still think a 'TRINdicator' would be a good idea using the steps below:

Step 1: Take the Log of the NYSE TRIN value.
Step 2: Invert this value so negative values are positive and vice versa.
Step 3: Multiply the inverted Log value by 100.

It doesn't sound too difficult, I might even be able to tackle it.

If I were able to code such and indicator is there a way that an indicator using TRIN as input series could be plotted on a panel below a regular instrument?

I'm thinking the answer is no, but that its planned for NT7.



I have an idea that could overcome this limitation, but is likely beyond my ability to code at the moment. This could possibly be applied in other ways as well.

1) Create a basic 'data dumping' indicator that does nothing other than write the TRIN, or any other instruments 'Close' value to a text file.

2) Have a separate 'data reading' indicator that is able to read the data from the file and then can plot it on any instruments chart window.

This would allow a user to have a single minimized TRIN (or VIX, DJI etc) chart open and be able to access the data anywhere else. In theory it could facilitate using a networked computer to grab whatever indices you want and then plot them all in different panels on one chart of the main computer.

Does this make any sense?

[NinjaTrader_JoshP]

Multi-instrument indicators will be available for NT7. Your idea will work. Some people found success in just using a NinjaScript Strategy to do plotting as shown in this reference sample: http://www.ninjatrader-support.com/v...ead.php?t=6651

[Elliott Wave]

Multi-instrument indicators will be available for NT7. Your idea will work. Some people found success in just using a NinjaScript Strategy to do plotting as shown in this reference sample: http://www.ninjatrader-support.com/v...ead.php?t=6651

Awesome, stick me on the alphatester list lol!

When I think about it I should be able to figure it out.

The StreamReader/StreamWriter examples you posted should be easily adaptable for this purpose...

[alfie]

Thanks for the comments. Good ideas. I will go along the individual Multi-Instrument strategy path for the mean time. In the future, it would be nice to have non-price dependent macro momentum indicators callable across strategies.

Alfie

[NinjaTrader_JoshP]

Hi Alfie,

If you don't mind could you elaborate a little bit more on what requirements you need for a macro momentum indicator?

[alfie]

Sure Josh, thanks for your interest and Elliot Wave also, I view both your threads alot and appreciate your comments on various NT matters.

The more common macro momentum indices that are available to most feeds are NYSE-TRIN, NASDAQ-TRIN and VIX, I also would like to see NYSE-TICK and NASDAQ-TICK. In my view, minimally these should be stand alone indicators in NT (there are others that could be considered but they are more exotic and exchange and instrument specific).

I am not that good a programmer so I cannot speak to the particulars of the data capture but the above instruments should be available to be called across any strategy as a complement to the existing battery of price based indicators. NYSE-TRIN and NASDAQ-TRIN are quoted at values above/below 1 in increments of .01, ( daily ranges vary from .6, very bullish to 1.4, very bearish) NYSE-TICK and NASDAQ-TICK are quoted in values above 1, below -1 in incements of 1/-1, VIX is quoted like a traditional index.

The ability to get these in NT and let the NT community play around with them in strategy development I believe would yield great results.

Alfie

[NinjaTrader_JoshP]

Interesting. Thanks for the ideas. We will consider your suggestions.

[murfy]

TRIN as an indicator

Hi, i know this thread is old but since NT7 has come out, is it now possible to make a custom macd indicator from say NYSE-TRIN data and use the new TRIN macd indicator to give signals to buy and sell say SPY for example, used in an automated strategy setup.

An example of code etc.. would be very helpful thanks.

murfy

[NinjaTrader_ChristopherJ]

Hello murfy,

Thank you for your post.

Someone from our NinjaScript department will respond to your post by Monday morning.

Thank you for your patience.

[NinjaTrader_Bertrand]

murfy, correct this can be done now with NT7's MultiSeries indicator features, it's basically the same concept we had in 6.5 for strategies now extended to indicators as well - http://www.ninjatrader-support.com/H...struments.html

Unfortunately I would not have a sample handy for your custom MACD, but you can check for example into our sharing section as there's been a growing number of files posted for NT7 already containing MultiSeries examples as well.

http://www.ninjatrader-support2.com/vb/forumdisplay.php?f=37