ninjatrader/indicators/ConnorsRSI.cs

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

namespace NinjaTrader.NinjaScript.Indicators
{
    public class ConnorsRSI : Indicator
    {
        private RSI rsi;
        private RSI streakRsi;

        private Series<double> streak;
        private Series<double> returns;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Credit to Larry Connors";
                Name = "ConnorsRSI";
                Calculate = Calculate.OnBarClose;
                IsOverlay = false;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                RSIPeriod = 3;
                RSISmoothing = 1;
                StreakRSIPeriod = 2;
                StreakRSISmoothing = 1;
                PercentRankPeriod = 100;

                AddPlot(new Stroke(Brushes.Yellow, 3), PlotStyle.Line, "ConnorsRSI");
            }
            else if (State == State.DataLoaded)
            {
                rsi = RSI(RSIPeriod, RSISmoothing);

                streak = new Series<double>(this);
                streakRsi = RSI(streak, StreakRSIPeriod, StreakRSISmoothing);

                returns = new Series<double>(this);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Math.Max(RSIPeriod, Math.Max(StreakRSIPeriod, PercentRankPeriod)))
                return;

            if (Close[0] > Close[1])
            {
                if (streak[1] > 0)
                    streak[0] = streak[1] + 1;
                else
                    streak[0] = 1;
            }
            else if (Close[0] < Close[1])
            {
                if (streak[1] < 0)
                    streak[0] = streak[1] - 1;
                else
                    streak[0] = -1;
            }
            else
                streak[0] = 0;

            returns[0] = (Close[0] - Close[1]) / Close[1];

            List<double> dailyReturns = new List<double>();
            for (int i = PercentRankPeriod; i > 0; i--)
                dailyReturns.Add(returns[i]);

            int rank = dailyReturns.Count(x => x < returns[0]);
            double percentRank = (double)rank / PercentRankPeriod * 100;

            Value[0] = (rsi[0] + streakRsi[0] + percentRank) / 3;
        }

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

        [NinjaScriptProperty]
        [Display(Name = "RSI Period", GroupName = "ConnorsRSI", Order = 1)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Smoothing", GroupName = "ConnorsRSI", Order = 2)]
        public int RSISmoothing { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Streak RSI Period", GroupName = "ConnorsRSI", Order = 3)]
        public int StreakRSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Streak RSI Smoothing", GroupName = "ConnorsRSI", Order = 4)]
        public int StreakRSISmoothing { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Percent Rank Period", GroupName = "ConnorsRSI", Order = 5)]
        public int PercentRankPeriod { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private ConnorsRSI[] cacheConnorsRSI;
        public ConnorsRSI ConnorsRSI(int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
        {
            return ConnorsRSI(Input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
        }

        public ConnorsRSI ConnorsRSI(ISeries<double> input, int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
        {
            if (cacheConnorsRSI != null)
                for (int idx = 0; idx < cacheConnorsRSI.Length; idx++)
                    if (cacheConnorsRSI[idx] != null && cacheConnorsRSI[idx].RSIPeriod == rSIPeriod && cacheConnorsRSI[idx].RSISmoothing == rSISmoothing && cacheConnorsRSI[idx].StreakRSIPeriod == streakRSIPeriod && cacheConnorsRSI[idx].StreakRSISmoothing == streakRSISmoothing && cacheConnorsRSI[idx].PercentRankPeriod == percentRankPeriod && cacheConnorsRSI[idx].EqualsInput(input))
                        return cacheConnorsRSI[idx];
            return CacheIndicator<ConnorsRSI>(new ConnorsRSI(){ RSIPeriod = rSIPeriod, RSISmoothing = rSISmoothing, StreakRSIPeriod = streakRSIPeriod, StreakRSISmoothing = streakRSISmoothing, PercentRankPeriod = percentRankPeriod }, input, ref cacheConnorsRSI);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.ConnorsRSI ConnorsRSI(int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
        {
            return indicator.ConnorsRSI(Input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
        }

        public Indicators.ConnorsRSI ConnorsRSI(ISeries<double> input , int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
        {
            return indicator.ConnorsRSI(input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.ConnorsRSI ConnorsRSI(int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
        {
            return indicator.ConnorsRSI(Input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
        }

        public Indicators.ConnorsRSI ConnorsRSI(ISeries<double> input , int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
        {
            return indicator.ConnorsRSI(input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
        }
    }
}

#endregion