Adding a Daily Indicator Filter

[birdog]

Hey there @PatrickH

I was just checking in with you on the last 2 posts...let me know when you can chime in.

Thanks...smile

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your response.

Unfortunately, there is no method around this. We have to have the primary series load enough days for the Daily bars, if the Daily bars are the secondary series.

[birdog]

@PatrickH

Hmm...ok, but can we revisit the logic behind the idea of loading 365 days?

I am unsure it that is really needed. I think 3 days is all that is needed (if that) to get a accurate reading with the ZScore. When I put it on a regular daily chart and only look back 3 days, then Zscore works perfectly on COBC False and True.

However, when I put it on another bar type like Renko, Line Break, Range etc. it seems like it pulls data from the new primary chart and not the Daily Chart that it is instructed to in the indicator for BarsinProgress for Day like we setup before?

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your response.

Loading 365 days is not a necessity. However, you need to load the amount of bars that are needed for the calculations. Usually 20 or more bars as BarsRequired is set to 20 by default, but if you need more than set the DaysToLoad to a larger value.

[birdog]

Hey @PatrickH

Are you able to get it to work on your end to where the ZScore is the same on a Primary Bars set to, say Daily/Min and then on Renko and Range? It should be the exact same no matter what Primary Bars types are set to right?

If so, could you please let me know the steps you took?

I am, unfortunately, still not able to get the Zscore to show the same value on different primary bar types.

Thanks so much Patrick!

Hello birdog,

Thank you for your response.

Loading 365 days is not a necessity. However, you need to load the amount of bars that are needed for the calculations. Usually 20 or more bars as BarsRequired is set to 20 by default, but if you need more than set the DaysToLoad to a larger value.

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your response.

It is working on my end. Can you provide a screenshot of what you are seeing on your chart?

[birdog]

Hey PatrickH

Sure. Yea. Please see the attached.

To the left is a Renko Primary bars and that one does not show up at all, the middle is a 60 min Primary bar chart and that one registers but I think it is still calculating it based on a 60 min chart (primary) and not the daily as it should because the last one to the right is a actual Daily primary chart and I assume it is showing the results for the Daily primary bars.

I am trying to be able to see and calculate the ZScore Daily COBC = False no matter what the Primary bar type is that is selected.

It is, also, different every time I switch to any other type of bar chart for primary when the Zscore should remain constant no matter what primary type bars or time frame that is selected.

One note, the edited version of the Zscore you sent me I renamed to LogReturnsZScoreDAILY (so I hope that is not a issue...don't think so though).

Do you see what I mean now?

Hello birdog,

Thank you for your response.

It is working on my end. Can you provide a screenshot of what you are seeing on your chart?

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your response.

I only tested the Renko bars, but I do not have Add(PeriodType.Day, 1); in my code. Can you provide me with your LogReturnsZScoreDAILY indicator?

[birdog]

@PatrickH

I just emailed it to your attention.

Hello birdog,

Thank you for your response.

I only tested the Renko bars, but I do not have Add(PeriodType.Day, 1); in my code. Can you provide me with your LogReturnsZScoreDAILY indicator?

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your response.

We would need to have the same DaysToLoad as needed for the zPeriod in this indicator. So set your Minute or Renko charts to 365 for example as the zPeriod default value is 252. The reason this is necessary is because the SMA and StdDev input series is based on the Daily bars and we need enough bars to calculated the SMA and StdDev on the Daily bars.

[birdog]

Hi PatrickH

Did you get it to work on different primary chart types and time frames where the Zscore shows the same?

I am sorry...I don't think we are thinking of the same thing...

Would you please show screenshots of what you are doing to get this effect and/or steps?

Hello birdog,

Thank you for your response.

We would need to have the same DaysToLoad as needed for the zPeriod in this indicator. So set your Minute or Renko charts to 365 for example as the zPeriod default value is 252. The reason this is necessary is because the SMA and StdDev input series is based on the Daily bars and we need enough bars to calculated the SMA and StdDev on the Daily bars.

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your response.

I sent you a video via e-mail regarding this item.

[birdog]

Hi PatrickH

I studied your video. It is clearer now.

Perhaps just having it look at Hourly instead of by the Day in the Zscore is really what we need?

My goal is to get as close to this as possible:

http://finviz.com/futures_performance.ashx (1 day relative performance) for use as a intraday general directional filter for my other conditions. I am looking for it to be as near real-time as possible but taking into consideration the current day's action.

That being said with what the goal is, what do you think?

[NinjaTrader_PatrickH]

Hello birdog,

Thank you for your response.

Is the 1 Day Relative Performance calculated on the current day? Or does it in fact need 252 days worth of data to calculate today's value?

If it only needs the intra-day data for the day then a one hour chart may be feasible. If it needs past days data then we would need to use either daily data as you have or load enough bars back for the secondary bar series to calculate the appropriate data.

[birdog]

I don't think it needs 252 full days data...I will look into it more and get back...thanks Patrick.