This is the release of the Wayne Whaley ADT/UDT version 1.0  indicator for NinjaTrader.  This release includes the indicator with source code and a sample worksheet to get you started.

 

If you are not familiar with Wayne Whaley’s breadth work, you should be.  Built upon the work of Dr. Martin Zweig, Wayne has developed a market model using several breadth patterns which include 52 week new highs/lows, Advancing/Declining strength and up/down volume and seasonals.  For his work, Wayne received the coveted Charles H. Dow award in 2010.  You can read Wayne’s initial Plane,Trains and Automobiles using this link. 

Each night, Wayne publishes the best signals from his market model, which often include ADT and UDT or Advance/Decline Thrust or Up/Down Volume Thrust.  These are appended with the look back length, ie. an ADT3 would be a 3 day average of advancing/declining issues (number of symbols advancing as opposed to declining in price).

July 1st, 2011 Wayne wrote a piece on the double barrel 9:1 thrust: and his work often includes tables like this:

          Double Barreled Lopsided Volume Reversal Days
When the Price Trend is 0-2
                   FORWARD S&P 500 PERFORMANCE
DATE  UDT1 UDT2 UDT3 UDT4  XMA0.01    1MT     3MT     6MT    12MT
19750127  1.1  5.2 91.7 92.6    0.01    7.16   14.93   18.47   31.44
19750409  8.2  2.9 91.2 91.6    1.03    9.28   14.44    6.68   21.14
19750919  8.9  6.6 97.0 93.7    0.25    3.47    3.40   17.12   23.74
19760105  5.2  3.7 91.9 93.4    1.05    8.44   11.81   12.45   13.16
19790103  7.3  3.4 90.2 91.5    0.11    1.74    4.70    4.39    7.59
19790327  9.1  5.7 90.0 90.4    0.70   -0.66   -0.20    7.54   -4.16
19791112  0.6  2.4 91.4 94.9    0.12    3.87   13.90    1.23   30.03
19860826  2.5  3.7 92.7 93.2    1.74   -8.15   -1.61   11.91   32.32
19870102  0.4  2.0 94.3 93.7    0.70   12.17   19.14   24.01    0.26
19880902  5.3  7.3 95.3 97.6    0.11    2.81    2.77    9.63   33.75
19890512  8.9  9.0 93.9 94.2    1.54    3.95    9.85    8.05   12.16
19970505  9.4  7.5 92.8 91.5    1.94    1.58   14.70   13.55   34.37
19971103  9.9  0.4 93.7 94.7    1.40    4.02    7.14   19.38   18.30
19981015  4.0  3.5 95.7 91.3    0.28    7.47   18.69   26.29   19.09
20040328  6.8  9.8 93.4 94.0    0.75    1.30    2.30    0.18    5.98
20040902  7.9  8.0 93.5 90.6    0.41    1.18    6.44    8.21    8.92
20060629  4.6  9.6 96.6 94.1    0.20    0.45    4.95   11.43   18.11
20090803  5.4  3.8 97.1 92.1    1.59    0.06    4.27    9.44   11.75
20100305  9.7  4.5 91.7 93.0    1.42    4.28   -6.48   -3.00   16.02
20100713  5.0  0.1 97.9 93.6    0.22   -1.47    7.56   17.20   22.31*
20101201  4.6  7.0 94.1 96.7    1.17    4.28    8.31    8.96   11.08*
20110701  8.4  3.7 91.6 96.3    0.99     ?       ?       ?       ?

                                #UP-DN =   18- 3   18- 3   20- 1   20- 1
AVG%CHG=    3.20    7.67   11.10   17.49
MED%CHG=    3.47    7.14    9.63   18.1

The table above is a statistical historic performance of 9:1 up volume days using a UDT1.  I am more visual and would like to see these thrusts visually on the charts, hence the Whaley ADT/UDT indicator.

image

This is how it looked on the charts. You did get a couple of days to the upside and then August came and the indicator started throwing in double barrel sells, that is 2 9:1 down days with out an intervening 9:1 up day.

 

The last 4 days on the chart are signaling market indecision, alternating between 9:1 up and and down.  The last hit was an up 9:1.  Should a second 9:1 up happen without an intervening 9:1 down (a reading below 10), that will be another 9:1 double barrel buy signal, indicting that buy volume momentum has moved to the upside.

 

You can create ADTs and UDTs of any length with our indicator.  We are providing a sample workspace (Wayne Whaley 2)  that shows ADTs 1,2,3,5,8,13 and 21 for your research.

 

image

How to format the Indicator:

image

Where:

Input

Description

ADV The symbol name for advancing  or up volume issues
DECL The symbol name for declining or down volume issues
Len The length of the ADT or UDT you want to see
OB The value you consider overbought
OBColor The color you want the background painted for Overbought condition
OS The value you consider as oversold
OSColor The color you want the background painted for Oversold condition
Thrust Length The amount of time a signal needs to move from oversold or overbought (or vice versa) to be considered a thrust. ie. A Zweig reversal thrust is considered as a move from oversold (40) to overbought (61.5) in any 10 day period.  An unusually strong market reversal.
ZBTColor The color you want the background painted when a thrust is detected

 

The sample above is looking at an 8 day NYSE ADT (ADT8) and considers 61.5 as overbought and 40 as oversold.  Should the indicator move from one extreme to the other, it will paint a hot pink background.

image

This is the resulting chart.

 

Note: This indicator requires instrument mapping to work.  You must map the following symbols, the Kinetick mapping values are supplied below.

Metric

Kinetic Symbol

Indicator Symbol

NYSE Advancing Issues

IINA.Z

^ADV

NYSE Declining Issues

IIND.Z

^DECL

NYSE Up Volume

VINA.Z

^UVOL

NYSE Down Volume

VIND.Z

^DVOL

SP500 Advancing Issues

II6A.Z

^ADVSP

SP500 Declining Issues

II6D.Z

^DECLSP

SP500 Up Volume

VI6A.Z

^UVOLSP

SP500 Down Volume

VI6D.Z

^DVOLSP

RUT 2000 Advancing Issues

IIRA.Z

^ADVRL

RUT 2000 Declining Issues

IIRD.Z

^DECLRL

RUT 2000 Up Volume

VIRA.Z

^UVOLRL

RUT 2000 Down Volume

VIRD.Z

^DVOLRL

Nasdaq Comp Advancing Issues

IIQA.Z

^ADVQ

Nasdaq Comp Declining Issues

IIQD.Z

^DECLQ

Nasdaq Comp Up Volume

VIQA.Z

^UVOLQ

Nasdaq Comp Down Volume

VIQD.Z

^DVOLQ

 

The indicators use the last column as inputs for the symbols.  You can either change the inputs in the indicators to map to your service (Kinetick.com provided as an example) or use the instrument manager and map the indicator symbol name to your service’s symbol name (recommended).

 

To do the mapping read this handy little tutorial: Using Instrument Manager in NinjaTrader

 

Download Indicator:

These indicators are provided free, but you must be registered in order to download.  Please register here:

 

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To import these indicators use the import NinjaScript from the File –> Utilities menu selection:

If you are not sure how on install a custom indicator here is a short tutorial 

Workspaces:

We have  2 workspaces for you testing below.  Put these files in your ninja workspace directory.  Where is that?  It is in MyDocuments –> Ninja 7 –> workspaces.  Drop it in there and if you have mapped your symbols (instruments) correctly all should be good.

NOTE: These are XML files.  You might need to right click and chose your SAVE AS option in your browser in order to download correctly.