Nadaraya Watson Indicator for NinjaTrader 8
Created 17 Aug 2024
·
Updated 20 Aug 2024
The Nadaraya-Watson indicator is a Premium smoothing indicator for the NinjaTrader 8 platform that uses a simple Gaussian Kernel regression method as a weighting function to smooth the price.
Prerequisites
To properly use this indicator you should have the following prerequisites available.
- NinjaTrader 8, with any license type. Click here to download
- Order Flow data is not required to use this indicator.
- An automated-trading.ch account with an active Premium Subscription
Description
The indicator can be switched between non-Repainting and Repainting modes, and can also be run on a higher timeframe and calculate price smoothing there instead. The indicator exposes Buy/Sell signals that can be used from within a strategy, and can thus be easily integrated with the NinjaTrader Strategy Builder.
The Nadaraya-Watson smoother can be described as a series of weighted averages using a specific normalized kernel as a weighting function. For each point of the estimator at time t, the peak of the kernel is located at time t, so the highest weights are attributed to values neighboring the price located at time t.
Examples
Non-Repainting Mode
On ES on the 5-minute timeframe with non-repainting mode, using a Window Size of 500 and a Bandwidth of 8, the Nadaraya-Watson smoother tracks the price without repainting past values.
Repainting Mode
The same ES 5-minute region with Repainting mode enabled, and the same parameters (Window Size 500, Bandwidth 8), shows how the smoother continues to adjust its past values as new price data arrives.
Features
The Nadaraya-Watson indicator has a set of unique features:
- Can be run in two modes: Non-Repainting or Repainting mode
- Can be run on a higher timeframe
- Easy integration in a custom Strategy or from the NinjaTrader Strategy Builder Wizard Tool
- Highly customizable, lightweight, and fast to calculate compared to the same indicator from other vendors
Parameters
We always try to keep the parameters to a minimum.
| General | |
| Run On Higher TimeFrame | Enables/disables running the smoothing algorithm on a higher timeframe and displaying the result on the active chart. |
| Higher TimeFrame | Selects the higher timeframe on which the smoothing engine runs. Make sure to select a timeframe higher than the active chart's — for example if the chart is on 15 Minutes, select something like 1 Hour, not 1 Minute, or the indicator won't work. |
| Higher TimeFrame Period | Sets the period of the higher timeframe. |
| Window Size | Sets the window size of the Nadaraya-Watson smoothing function. |
| Bandwidth | Controls the bandwidth of the Gaussian kernel — higher values return smoother results, while a lower bandwidth weights the price at a precise point more heavily and produces less smoothed results. |
| Allow Repaint | Enables/disables repainting of the smoother. If repaint isn't enabled, the endpoint of the smoother is returned for each point. |
| Rendering | |
| Bearish Color | Draw color of bearish items. |
| Bullish Color | Draw color of bullish items. |
Download & Installation Instructions
License Requirements
At automated-trading.ch you can choose to either purchase a monthly subscription to use our premium products, or use our free products without subscribing.
In both cases, you need to create an account so you can get a License you can use for both premium and free products.
To obtain your license, simply sign up and then get your license on the billing page.
Download
You can also download this strategy — and every other automated-trading.ch strategy or indicator — anytime from your centralized Downloads page.
Installation Steps
Frequently Asked Questions
General
Release Notes
- Fix issue with reading License info
- First Release of the indicator