ninjatrader/indicators/NYSECumulativeNewHighsNewLows.cs

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

namespace NinjaTrader.NinjaScript.Indicators
{
    public class NYSECumulativeNewHighsNewLows : Indicator
    {
        private const int NewHighsBars = 1;
        private const int NewLowsBars = 2;
        
        private double cumulativeNewHighsLows = 0.0;

        private Series<double> newHighsLows;

        private SMA mean;
        private StdDev stdev;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"NYSE Cumulative New Highs New Lows";
                Name = "NYSE Cumulative New Highs New Lows";
                Calculate = Calculate.OnBarClose;
                IsOverlay = false;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                AddPlot(new Stroke(Brushes.Yellow, 3), PlotStyle.Line, "Z-Score");
            }
            else if (State == State.Configure)
            {
                AddDataSeries("FINH", BarsPeriodType.Day, 1);
                AddDataSeries("FINL", BarsPeriodType.Day, 1);
            }
            else if (State == State.DataLoaded)
            {
                newHighsLows = new Series<double>(this);

                mean = SMA(newHighsLows, 252);
                stdev = StdDev(newHighsLows, 252);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0)
                return;

            int newHighsBar = BarsArray[NewHighsBars].GetBar(Time[0]);
            double newHighs = BarsArray[NewHighsBars].GetClose(newHighsBar);

            int newLowsBar = BarsArray[NewLowsBars].GetBar(Time[0]);
            double newLows = BarsArray[NewLowsBars].GetClose(newLowsBar);

            cumulativeNewHighsLows = cumulativeNewHighsLows + (newHighs - newLows);
            newHighsLows[0] = cumulativeNewHighsLows;

            double zScore = (cumulativeNewHighsLows - mean[0]) / stdev[0];
            Value[0] = zScore;

            if (zScore > 0)
                BackBrush = Brushes.LimeGreen;
            else
                BackBrush = Brushes.Red;
        }

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

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private NYSECumulativeNewHighsNewLows[] cacheNYSECumulativeNewHighsNewLows;
        public NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows()
        {
            return NYSECumulativeNewHighsNewLows(Input);
        }

        public NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows(ISeries<double> input)
        {
            if (cacheNYSECumulativeNewHighsNewLows != null)
                for (int idx = 0; idx < cacheNYSECumulativeNewHighsNewLows.Length; idx++)
                    if (cacheNYSECumulativeNewHighsNewLows[idx] != null &&  cacheNYSECumulativeNewHighsNewLows[idx].EqualsInput(input))
                        return cacheNYSECumulativeNewHighsNewLows[idx];
            return CacheIndicator<NYSECumulativeNewHighsNewLows>(new NYSECumulativeNewHighsNewLows(), input, ref cacheNYSECumulativeNewHighsNewLows);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows()
        {
            return indicator.NYSECumulativeNewHighsNewLows(Input);
        }

        public Indicators.NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows(ISeries<double> input )
        {
            return indicator.NYSECumulativeNewHighsNewLows(input);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows()
        {
            return indicator.NYSECumulativeNewHighsNewLows(Input);
        }

        public Indicators.NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows(ISeries<double> input )
        {
            return indicator.NYSECumulativeNewHighsNewLows(input);
        }
    }
}

#endregion