ninjatrader/indicators/Volatility.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;
using NinjaTrader.Gui.PropertiesTest;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
    public class Volatility : Indicator
    {
        private List<double> volatilities;
        private double currentVolatility;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Measures volatility based on the standard deviation of price over the defined period";
                Name = "Volatility";
                Calculate = Calculate.OnPriceChange;
                IsOverlay = false;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                StdDevPeriod = 20;
                PctRankPeriod = 252;
                EMAPeriod = 100;

                AddPlot(new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3), PlotStyle.Line, "Volatility");
                AddPlot(new Stroke(Brushes.Gray, DashStyleHelper.Solid, 3), PlotStyle.Line, "EMA");
            }
            else if (State == State.DataLoaded)
            {
                volatilities = new List<double>();
                currentVolatility = double.MinValue;
            }
        }

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

            if (IsFirstTickOfBar && currentVolatility > double.MinValue)
            {
                volatilities.Add(currentVolatility);

                if (volatilities.Count > PctRankPeriod)
                    volatilities.RemoveAt(0);
            }

            currentVolatility = StdDev(Close, StdDevPeriod)[0];

            PercentRank[0] = CalculatePercentRank(volatilities, currentVolatility);
            Average[0] = EMA(Value, EMAPeriod)[0];
        }

        private double CalculatePercentRank(List<double> values, double currentValue)
        {
            if (values.Count == 0)
                return 0;

            int rank = values.Count(v => v <= currentValue);
            return (double)rank / values.Count * 100.0;
        }

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

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> PercentRank
        {
            get { return Values[0]; }
        }

        [Browsable(false)]
        [XmlIgnore]
        public Series<double> Average
        {
            get { return Values[1]; }
        }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Std Dev Period", Description = "Period for calculating the standard deviation of price", Order = 1, GroupName = "Volatility")]
        public int StdDevPeriod { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Pct Rank Period", Description = "Period for calculating the percent rank of volatility", Order = 2, GroupName = "Volatility")]
        public int PctRankPeriod { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "EMA Period", Description = "Period for calculating the moving average of price", Order = 3, GroupName = "Volatility")]
        public int EMAPeriod { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private Volatility[] cacheVolatility;
        public Volatility Volatility(int stdDevPeriod, int pctRankPeriod, int eMAPeriod)
        {
            return Volatility(Input, stdDevPeriod, pctRankPeriod, eMAPeriod);
        }

        public Volatility Volatility(ISeries<double> input, int stdDevPeriod, int pctRankPeriod, int eMAPeriod)
        {
            if (cacheVolatility != null)
                for (int idx = 0; idx < cacheVolatility.Length; idx++)
                    if (cacheVolatility[idx] != null && cacheVolatility[idx].StdDevPeriod == stdDevPeriod && cacheVolatility[idx].PctRankPeriod == pctRankPeriod && cacheVolatility[idx].EMAPeriod == eMAPeriod && cacheVolatility[idx].EqualsInput(input))
                        return cacheVolatility[idx];
            return CacheIndicator<Volatility>(new Volatility(){ StdDevPeriod = stdDevPeriod, PctRankPeriod = pctRankPeriod, EMAPeriod = eMAPeriod }, input, ref cacheVolatility);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.Volatility Volatility(int stdDevPeriod, int pctRankPeriod, int eMAPeriod)
        {
            return indicator.Volatility(Input, stdDevPeriod, pctRankPeriod, eMAPeriod);
        }

        public Indicators.Volatility Volatility(ISeries<double> input , int stdDevPeriod, int pctRankPeriod, int eMAPeriod)
        {
            return indicator.Volatility(input, stdDevPeriod, pctRankPeriod, eMAPeriod);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.Volatility Volatility(int stdDevPeriod, int pctRankPeriod, int eMAPeriod)
        {
            return indicator.Volatility(Input, stdDevPeriod, pctRankPeriod, eMAPeriod);
        }

        public Indicators.Volatility Volatility(ISeries<double> input , int stdDevPeriod, int pctRankPeriod, int eMAPeriod)
        {
            return indicator.Volatility(input, stdDevPeriod, pctRankPeriod, eMAPeriod);
        }
    }
}

#endregion