ninjatrader/indicators/ATRRegime.cs

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

namespace NinjaTrader.NinjaScript.Indicators
{
    public class ATRRegime : Indicator
    {
        private const int PrimaryBars = 0;
        private const int ADRBars = 1;

        private ATR atr;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"";
                Name = "ATR Regime";
                Calculate = Calculate.OnBarClose;
                IsOverlay = false;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                ATRPeriod = 5;
                RankPeriod = 252; // Approximately 1 year in trading days.

                AddPlot(new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3), PlotStyle.Line, "ATR Regime");
            }
            else if (State == State.Configure)
            {
                AddDataSeries(Instrument.FullName, new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 },
                    RankPeriod * 2, Instrument.MasterInstrument.TradingHours.Name, Bars.IsResetOnNewTradingDay);
            }
            else if (State == State.DataLoaded)
            {
                atr = ATR(BarsArray[ADRBars], ATRPeriod);
            }
        }

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

            if (CurrentBars[ADRBars] < 0 || CurrentBars[ADRBars] < RankPeriod)
                return;

            List<double> atrValues = new List<double>();
            for (int i = RankPeriod; i > 0; i--)
                atrValues.Add(atr[i]);

            double currentAtrValue = atr[0];
            int rank = atrValues.Count(x => x <= currentAtrValue);
            PercentRank[0] = (double)rank / RankPeriod;
        }

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

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

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "ATR Period", Description = "Period for the ATR calculation", GroupName = "ATR Regime", Order = 1)]
        public int ATRPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Rank Period", Description = "Period for the percent rank lookback", GroupName = "ATR Regime", Order = 2)]
        public int RankPeriod { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private ATRRegime[] cacheATRRegime;
        public ATRRegime ATRRegime(int aTRPeriod, int rankPeriod)
        {
            return ATRRegime(Input, aTRPeriod, rankPeriod);
        }

        public ATRRegime ATRRegime(ISeries<double> input, int aTRPeriod, int rankPeriod)
        {
            if (cacheATRRegime != null)
                for (int idx = 0; idx < cacheATRRegime.Length; idx++)
                    if (cacheATRRegime[idx] != null && cacheATRRegime[idx].ATRPeriod == aTRPeriod && cacheATRRegime[idx].RankPeriod == rankPeriod && cacheATRRegime[idx].EqualsInput(input))
                        return cacheATRRegime[idx];
            return CacheIndicator<ATRRegime>(new ATRRegime(){ ATRPeriod = aTRPeriod, RankPeriod = rankPeriod }, input, ref cacheATRRegime);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.ATRRegime ATRRegime(int aTRPeriod, int rankPeriod)
        {
            return indicator.ATRRegime(Input, aTRPeriod, rankPeriod);
        }

        public Indicators.ATRRegime ATRRegime(ISeries<double> input , int aTRPeriod, int rankPeriod)
        {
            return indicator.ATRRegime(input, aTRPeriod, rankPeriod);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.ATRRegime ATRRegime(int aTRPeriod, int rankPeriod)
        {
            return indicator.ATRRegime(Input, aTRPeriod, rankPeriod);
        }

        public Indicators.ATRRegime ATRRegime(ISeries<double> input , int aTRPeriod, int rankPeriod)
        {
            return indicator.ATRRegime(input, aTRPeriod, rankPeriod);
        }
    }
}

#endregion