NRTR_WATR

Modified on 2010/09/13 15:32 by Eugene — Categorized as: Community Indicators

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" ); 
				}
			}
		} 
	}
}