Add ATR Trailing Stop indicator

indicators/ATRTrailingStop.cs

@@ -0,0 +1,142 @@
+#region Using declarations
+using NinjaTrader.Gui;
+using NinjaTrader.Gui.Chart;
+using System.ComponentModel.DataAnnotations;
+using System.Windows.Media;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public class ATRTrailingStop : Indicator
+    {
+        private ATR atr;
+
+        private Series<double> atrHighs;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"ATR Trailing Stop";
+                Name = "ATR Trailing Stop";
+                Calculate = Calculate.OnPriceChange;
+                IsOverlay = true;
+                DisplayInDataBox = true;
+                DrawOnPricePanel = true;
+                DrawHorizontalGridLines = true;
+                DrawVerticalGridLines = true;
+                PaintPriceMarkers = true;
+                ScaleJustification = ScaleJustification.Right;
+                IsSuspendedWhileInactive = true;
+
+                AtrPeriod = 5;
+                HighestHighPeriod = 9;
+                Multiplier = 2.0;
+
+                AddPlot(new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3), PlotStyle.Line, "ATR Trailing Stop");
+            }
+            else if (State == State.DataLoaded)
+            {
+                atr = ATR(AtrPeriod);
+
+                atrHighs = new Series<double>(this);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < AtrPeriod) return;
+
+            atrHighs[0] = High[0] - atr[0] * Multiplier;
+
+            Value[0] = MAX(atrHighs, HighestHighPeriod)[0];
+
+            if (Close[0] > Value[0])
+            {
+                PlotBrushes[0][0] = Brushes.LimeGreen;
+                BarBrushes[0] = Brushes.LimeGreen;
+                CandleOutlineBrushes[0] = Brushes.LimeGreen;
+            }
+            else if (Close[0] < Value[0])
+            {
+                PlotBrushes[0][0] = Brushes.Red;
+                BarBrushes[0] = Brushes.Red;
+                CandleOutlineBrushes[0] = Brushes.Red;
+            }
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Period", Order = 1, GroupName = "ATR Trailing Stop")]
+        public int AtrPeriod { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Highest High Period", Order = 2, GroupName = "ATR Trailing Stop")]
+        public int HighestHighPeriod { get; set; }
+
+        [Range(1, double.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Multiplier", Order = 3, GroupName = "ATR Trailing Stop")]
+        public double Multiplier { get; set; }
+    }
+}
+
+#region NinjaScript generated code. Neither change nor remove.
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
+    {
+        private ATRTrailingStop[] cacheATRTrailingStop;
+        public ATRTrailingStop ATRTrailingStop(int atrPeriod, int highestHighPeriod, double multiplier)
+        {
+            return ATRTrailingStop(Input, atrPeriod, highestHighPeriod, multiplier);
+        }
+
+        public ATRTrailingStop ATRTrailingStop(ISeries<double> input, int atrPeriod, int highestHighPeriod, double multiplier)
+        {
+            if (cacheATRTrailingStop != null)
+                for (int idx = 0; idx < cacheATRTrailingStop.Length; idx++)
+                    if (cacheATRTrailingStop[idx] != null && cacheATRTrailingStop[idx].AtrPeriod == atrPeriod && cacheATRTrailingStop[idx].HighestHighPeriod == highestHighPeriod && cacheATRTrailingStop[idx].Multiplier == multiplier && cacheATRTrailingStop[idx].EqualsInput(input))
+                        return cacheATRTrailingStop[idx];
+            return CacheIndicator<ATRTrailingStop>(new ATRTrailingStop(){ AtrPeriod = atrPeriod, HighestHighPeriod = highestHighPeriod, Multiplier = multiplier }, input, ref cacheATRTrailingStop);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
+{
+    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
+    {
+        public Indicators.ATRTrailingStop ATRTrailingStop(int atrPeriod, int highestHighPeriod, double multiplier)
+        {
+            return indicator.ATRTrailingStop(Input, atrPeriod, highestHighPeriod, multiplier);
+        }
+
+        public Indicators.ATRTrailingStop ATRTrailingStop(ISeries<double> input , int atrPeriod, int highestHighPeriod, double multiplier)
+        {
+            return indicator.ATRTrailingStop(input, atrPeriod, highestHighPeriod, multiplier);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
+    {
+        public Indicators.ATRTrailingStop ATRTrailingStop(int atrPeriod, int highestHighPeriod, double multiplier)
+        {
+            return indicator.ATRTrailingStop(Input, atrPeriod, highestHighPeriod, multiplier);
+        }
+
+        public Indicators.ATRTrailingStop ATRTrailingStop(ISeries<double> input , int atrPeriod, int highestHighPeriod, double multiplier)
+        {
+            return indicator.ATRTrailingStop(input, atrPeriod, highestHighPeriod, multiplier);
+        }
+    }
+}
+
+#endregion