I utilise an indicator that ignores the bias of opening gaps often found in futures data, ie preserves the direction of the prices relative to many traditional indicators such as the True Strength Index. This indicator was developed by William Blau and is called a Candlestick Indicator. The formula is:
100 * (EMA(EMA(Close-Open,r),s)) / (EMA(EMA(High-Low,r),s))
I am sure you already know of it but it may be useful to other users of NS DayTrader…
I have included an image of futures data to highlight this point for your consideration…note the price gap on Aug 3rd and the indicator called BlauCSI.
Here is an image with additional indicators inclusive of buy/sell points…(manually overlaid in place of the normal bar type signals).
The trading strategy for generating the signals is very mechanical and only allows trading in the direction of a confirmed trend… which I am sure the optimiser can improve… but it works in a conservative yet very reliable way.
Daniel Lyons