- Accumulation Distribution Indicator
- RSI Calculation Example and Formula
- Strategy Frameworks vs Black Boxes
- Serializing Brush Parameters
- How to Add Complete Time Value Selector to NinjaTrader Parameters
- Using INotifyPropertyChanged with NinjaTrader
- How to deal with ugly plot starting from zero
- OnTick vs OnBarUpdate Execution
- The Road Map to Coding Strategies & Indicators for NinjaTrader
- How to Release Products for NinjaTrader
- Stop Orders Getting Rejected Again
- In Sample and Out of Sample Optimization Techniques
- Closing Position at End of Historical Data to Increase Optimization Speed
- Syncing Data in Multiseries Indicators and Strategies
- Using Pivot Analysis Divergence for Confirming Market Direction
- How to Add Buttons to NinjaTrader 8 Toolbar
- How to Get Bar Values using TimeStamps in NinjaTrader
- Use UVOL DVOL Market Internals for Building Effective Entries on NQ
- How to Set Stop Loss in NinjaTrader using Dollar Values
- How to Pass Parameters from Strategy into Optimization Algorithm
- Main Points to Consider with NinjaTrader UnManaged Order Processing
- DI+ DI- NinjaTrader Indicator Creation Process & Code
- Adding WPF Windows to Strategy or Indicator
- Common Multi Timeframe Strategy Initialization Issue
- IsFirstTickOfBar and OnEachTick execution Issues
- Stop Orders Above Market Order Rejected Error (Part 2)
- Stop Orders Above Market Order Rejected Error (Part 1)
Algorithmic Trading Tips & Tricks - Using UVOL & DVOL Difference Inside a Bollinger Channel to Trigger Entries
Hello guys! Yes, this blog will not only be about the boring side of it all with all this code and code and code and code and neverending bugs))). Yes!!! I will share my experience with some cool entries, exits, and trading techniques so stay tuned and, common, subscribe! This is the worst marketer calling for it so go for it right now and press subscribe!
So what is UVOL or DVOL? In NinjaTrader these ticker symbols represent the total volume of all tickers on NYSE that went up or down. There are also other ones that you can use for NASDAQ and other compilations depending on your data provider.
In this article, we will be reviewing NASDAQ and trading on NQ. The ^NUPV and ^NDNV ticker names is what you will need to look for in the NinjaTrader instrument list. The tickers themselves can be used as a pretty interesting filter. There are numerous concepts that you can come up with but in this article, I will be testing 2 main concepts.
In order to understand them here is the step by step guide of what I have done:
1) Take UVOL - DVOL to get the delta value
2) Make the delta value the input for a Bollinger channel
3) In the first case if delta is above/below the Bollinger we are going to assume that the market is overheated and will start moving in opposite direction
4) In the second case if the if delta is above/below the Bollinger we are going to assume that the market is overheated and panic movement shall occur into the further direction ie. there are so many buyers or sellers that they will convince the market to move on further
In the example, I simply enter when the delta enters back into the Bollinger channel and exit at the end of the day. This is just a simple test to try and realize whether the concept is worth trying at all and I have to say it is. Obviously more tests and techniques will be required to build a proper trading algorithm around it but overall I think it is a worthwhile concept.
You can also see that the inverse concept is also worthwhile paying attention to and it all really depends on the current market conditions.
I would say that the trick is to realize which one to use depends on the level of the delta. On the pic we can see that most of the time the delta is below 1000 for NQ and you might also realize that this is where the breakout version works better however when the delta is way overheated with very large volumes it might be best to use the other one.
