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" );
}
}
}
}
}