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Note: This download requires NinjaTrader 8 release 8.1.3 or newer.

What is the Recursive Median Oscillator?

The Recursive Median Oscillator for NinjaTrader is a sophisticated data analysis technique that merges the Recursive Median Filter and the Highpass Filter. This combination aims to:

• Smooth Price Data: Initially, it reduces impulsive value spikes by applying the Recursive Median Filter, rejecting data wavelengths greater than a critical value.
• Eliminate Long-Term Noise: Subsequently, it uses the Highpass Filter to remove constant and very long-wavelength components from the data.

The result is an oscillator that lags less and responds faster to significant price movements, providing traders with timely and reliable signals.

How Does It Work?

1. Recursive Median Filter

The first step involves processing the price data through the Recursive Median Filter:

• Median Calculation: It calculates the median of recent price data over a specified Median Length, reducing the impact of outliers and sudden spikes.
• Exponential Smoothing: The median values are then smoothed using an exponential moving average, with a smoothing factor derived from a trigonometric function based on the Low Pass Period.
• Noise Reduction: This process effectively filters out data wavelengths longer than the critical value, smoothing the data while preserving significant trends.

2. Highpass Filter

After smoothing, the output is passed through the Highpass Filter:

• Frequency Filtering: The Highpass Filter removes constant components and very long-wavelength data, focusing on shorter-term fluctuations.
• Enhanced Responsiveness: By eliminating long-term trends, the oscillator becomes more sensitive to recent price changes, reducing lag.

Key Features of the Recursive Median Oscillator

• Reduced Lag: The RMO is designed to respond quickly to market changes, providing timely signals with minimal delay.
• Noise Elimination: It effectively filters out market noise and irrelevant data, enhancing signal clarity.
• Customizable Parameters: Traders can adjust the following settings to tailor the oscillator to their strategies:
  • Low Pass Period: Defines the critical value for the Recursive Median Filter. Data wavelengths longer than this period are rejected.
  • High Pass Period: Sets the cutoff for the Highpass Filter, removing long-term components.
  • Median Length: Determines the number of data points used in the median calculation.
• Visual Shading: The oscillator can include visual cues, such as shading areas on the chart to indicate bullish or bearish conditions, aiding quick decision-making.

Review the screenshots for setup options.

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