ninjatrader/indicators/LinearRegression.cs

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class LinearRegression : Indicator
    {
        private double sumX, sumY, sumXY, sumX2, averageY, slope, intercept;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Colors bars according to closes above / below a linear regression.";
                Name = "Linear Regression";
                Calculate = Calculate.OnPriceChange;
                IsOverlay = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = false;
                RegressionPeriod = 20;
                AboveThresholdColor = Brushes.LimeGreen;
                BelowThresholdColor = Brushes.Red;
            }
        }

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

            if (IsFirstTickOfBar)
            {
                CalculateLinearRegression();

                double previousClose = Close[1];
                double linearRegValue = intercept + slope * RegressionPeriod;

                if (previousClose > linearRegValue)
                {
                    BarBrushes[0] = AboveThresholdColor;
                    CandleOutlineBrushes[0] = AboveThresholdColor;
                }
                else if (previousClose < linearRegValue)
                {
                    BarBrushes[0] = BelowThresholdColor;
                    CandleOutlineBrushes[0] = BelowThresholdColor;
                }
                else
                {
                    // Handle the rare occasion where the close is equivalent to the linear regression at this bar.
                    BarBrushes[0] = BarBrushes[1];
                    CandleOutlineBrushes[0] = CandleOutlineBrushes[1];
                }
            }
        }

        private void CalculateLinearRegression()
        {
            sumX = sumY = sumXY = sumX2 = 0;

            for (int i = 1; i < (RegressionPeriod + 1); i++)
            {
                sumX += i;
                sumY += Close[i];
                sumXY += i * Close[i];
                sumX2 += i * i;
            }

            double n = RegressionPeriod;
            slope = (n * sumXY - sumX * sumY) / (n * sumX2 - sumX * sumX);
            averageY = sumY / n;
            intercept = averageY - slope * (sumX / n);
        }

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

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Regression Period", GroupName = "Linear Regression", Order = 1)]
        public int RegressionPeriod { get; set; }

        [NinjaScriptProperty]
        [XmlIgnore]
        [Display(Name = "Above Regression", GroupName = "Linear Regression", Order = 2)]
        public Brush AboveThresholdColor { get; set; }

        [Browsable(false)]
        public string AboveThresholdColorSerialization
        {
            get { return Serialize.BrushToString(AboveThresholdColor); }
            set { AboveThresholdColor = Serialize.StringToBrush(value); }
        }

        [NinjaScriptProperty]
        [XmlIgnore]
        [Display(Name = "Below Regression", GroupName = "Linear Regression", Order = 3)]
        public Brush BelowThresholdColor { get; set; }

        [Browsable(false)]
        public string BelowThresholdColorSerialization
        {
            get { return Serialize.BrushToString(BelowThresholdColor); }
            set { BelowThresholdColor = Serialize.StringToBrush(value); }
        }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private LinearRegression[] cacheLinearRegression;
        public LinearRegression LinearRegression(int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
        {
            return LinearRegression(Input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
        }

        public LinearRegression LinearRegression(ISeries<double> input, int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
        {
            if (cacheLinearRegression != null)
                for (int idx = 0; idx < cacheLinearRegression.Length; idx++)
                    if (cacheLinearRegression[idx] != null && cacheLinearRegression[idx].RegressionPeriod == regressionPeriod && cacheLinearRegression[idx].AboveThresholdColor == aboveThresholdColor && cacheLinearRegression[idx].BelowThresholdColor == belowThresholdColor && cacheLinearRegression[idx].EqualsInput(input))
                        return cacheLinearRegression[idx];
            return CacheIndicator<LinearRegression>(new LinearRegression(){ RegressionPeriod = regressionPeriod, AboveThresholdColor = aboveThresholdColor, BelowThresholdColor = belowThresholdColor }, input, ref cacheLinearRegression);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.LinearRegression LinearRegression(int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
        {
            return indicator.LinearRegression(Input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
        }

        public Indicators.LinearRegression LinearRegression(ISeries<double> input , int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
        {
            return indicator.LinearRegression(input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.LinearRegression LinearRegression(int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
        {
            return indicator.LinearRegression(Input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
        }

        public Indicators.LinearRegression LinearRegression(ISeries<double> input , int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
        {
            return indicator.LinearRegression(input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
        }
    }
}

#endregion