Log in to see Cloud of Tags

Wealth-Lab Wiki

NRTR_WATR: Indicator Documentation

Syntax

DataSeries NRTR_WATR( Bars bars, int lookback, double multiple );

Parameter Description

bars A Bars object
lookback Period lookback for trailing price extremes
multiple The Weighted ATR multiplier

Description

The NRTR_WATR indicator was created by Russian trader Konstantin Kopyrkin: an adaptive variation of the trailing reverse technique (see NRTR%.)

To gauge current volatility, the true range value is smoothed by Weighted Moving Average, thus the trailing reverse level becomes adaptive to the market conditions. Crossovers and crossunders of the NRTR_WATR line can be used to trigger trend trades, as in this example, or as the basis of a stop-and-reverse (SAR) strategy.

Original article (in Russian)

Example

This simple trading system illustrates how to trade on crossings of the closing price with the NRTR_WATR:


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using Community.Indicators;

namespace WealthLab.Strategies { public class Demo : WealthScript { private StrategyParameter paramLookback; private StrategyParameter paramMultiple;

public Demo() { paramLookback = CreateParameter("Lookback", 20, 5, 50, 1); paramMultiple = CreateParameter("Multiple", 3, 1, 5, 1); } protected override void Execute() { int Lookback = paramLookback.ValueInt; double Mult = paramMultiple.Value; NRTR_WATR nrtr = NRTR_WATR.Series( Bars, Lookback, Mult ); // Display the resulting NRTR_WATR data series PlotSeries( PricePane, nrtr, Color.Teal, LineStyle.Dotted, 2 ); // A simple strategy for(int bar = nrtr.FirstValidValue+1; bar < Bars.Count; bar++) { if (IsLastPositionActive) { if( CrossUnder( bar, Close, nrtr ) ) SellAtMarket( bar+1, LastPosition, "NRTR Exit" ); } else { if( CrossOver( bar, Close, nrtr ) ) BuyAtMarket( bar+1, "NRTR Entry" ); } } } } }

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.


ScrewTurn Wiki. Some of the icons created by FamFamFam.