ninjatrader/indicators/ATRTrailingStop.cs

#region Using declarations
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using System.ComponentModel.DataAnnotations;
using System.Windows.Media;
#endregion

namespace NinjaTrader.NinjaScript.Indicators
{
    public class ATRTrailingStop : Indicator
    {
        private ATR atr;

        private Series<double> atrHighs;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"ATR Trailing Stop";
                Name = "ATR Trailing Stop";
                Calculate = Calculate.OnPriceChange;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                AtrPeriod = 5;
                HighestHighPeriod = 9;
                Multiplier = 2.0;

                AddPlot(new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3), PlotStyle.Line, "ATR Trailing Stop");
            }
            else if (State == State.DataLoaded)
            {
                atr = ATR(AtrPeriod);

                atrHighs = new Series<double>(this);
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < AtrPeriod) return;

            atrHighs[0] = High[0] - atr[0] * Multiplier;

            Value[0] = MAX(atrHighs, HighestHighPeriod)[0];

            if (Close[0] > Value[0])
                PlotBrushes[0][0] = Brushes.LimeGreen;
            else if (Close[0] < Value[0])
                PlotBrushes[0][0] = Brushes.Red;
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Period", Order = 1, GroupName = "ATR Trailing Stop")]
        public int AtrPeriod { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Highest High Period", Order = 2, GroupName = "ATR Trailing Stop")]
        public int HighestHighPeriod { get; set; }

        [Range(1, double.MaxValue), NinjaScriptProperty]
        [Display(Name = "Multiplier", Order = 3, GroupName = "ATR Trailing Stop")]
        public double Multiplier { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private ATRTrailingStop[] cacheATRTrailingStop;
        public ATRTrailingStop ATRTrailingStop(int atrPeriod, int highestHighPeriod, double multiplier)
        {
            return ATRTrailingStop(Input, atrPeriod, highestHighPeriod, multiplier);
        }

        public ATRTrailingStop ATRTrailingStop(ISeries<double> input, int atrPeriod, int highestHighPeriod, double multiplier)
        {
            if (cacheATRTrailingStop != null)
                for (int idx = 0; idx < cacheATRTrailingStop.Length; idx++)
                    if (cacheATRTrailingStop[idx] != null && cacheATRTrailingStop[idx].AtrPeriod == atrPeriod && cacheATRTrailingStop[idx].HighestHighPeriod == highestHighPeriod && cacheATRTrailingStop[idx].Multiplier == multiplier && cacheATRTrailingStop[idx].EqualsInput(input))
                        return cacheATRTrailingStop[idx];
            return CacheIndicator<ATRTrailingStop>(new ATRTrailingStop(){ AtrPeriod = atrPeriod, HighestHighPeriod = highestHighPeriod, Multiplier = multiplier }, input, ref cacheATRTrailingStop);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.ATRTrailingStop ATRTrailingStop(int atrPeriod, int highestHighPeriod, double multiplier)
        {
            return indicator.ATRTrailingStop(Input, atrPeriod, highestHighPeriod, multiplier);
        }

        public Indicators.ATRTrailingStop ATRTrailingStop(ISeries<double> input , int atrPeriod, int highestHighPeriod, double multiplier)
        {
            return indicator.ATRTrailingStop(input, atrPeriod, highestHighPeriod, multiplier);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.ATRTrailingStop ATRTrailingStop(int atrPeriod, int highestHighPeriod, double multiplier)
        {
            return indicator.ATRTrailingStop(Input, atrPeriod, highestHighPeriod, multiplier);
        }

        public Indicators.ATRTrailingStop ATRTrailingStop(ISeries<double> input , int atrPeriod, int highestHighPeriod, double multiplier)
        {
            return indicator.ATRTrailingStop(input, atrPeriod, highestHighPeriod, multiplier);
        }
    }
}

#endregion