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Add the ability to use closing prices when detecting pivots instead of highs / lows

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moshferatu 2024-07-23 09:01:50 -07:00
parent 624b3eb6f4
commit 596045f74d
1 changed files with 37 additions and 21 deletions
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58
indicators/PivotPoints.cs
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@ -47,6 +47,7 @@ namespace NinjaTrader.NinjaScript.Indicators
RollingWindow = 10; RollingWindow = 10;
PivotHighStroke = new Stroke(Brushes.LimeGreen, 3); PivotHighStroke = new Stroke(Brushes.LimeGreen, 3);
PivotLowStroke = new Stroke(Brushes.Red, 3); PivotLowStroke = new Stroke(Brushes.Red, 3);
UseClosePrice = false;
// For use during backtesting in order to limit the number of pivots processed. // For use during backtesting in order to limit the number of pivots processed.
MaxPivots = 0; MaxPivots = 0;
@ -89,26 +90,26 @@ namespace NinjaTrader.NinjaScript.Indicators
{ {
if (i == centerBarIndex) continue; // The center bar is the potential pivot, skip it. if (i == centerBarIndex) continue; // The center bar is the potential pivot, skip it.
if (High[centerBarIndex] < High[i]) isPivotHigh = false; if (GetHigh(centerBarIndex) < GetHigh(i)) isPivotHigh = false;
if (Low[centerBarIndex] > Low[i]) isPivotLow = false; if (GetLow(centerBarIndex) > GetLow(i)) isPivotLow = false;
} }
// Check if there's any pivot high without an end bar index and at the same price level as the current potential pivot high. // Check if there's any pivot high without an end bar index and at the same price level as the current potential pivot high.
bool existsConflictingPivotHigh = pivots.Any(p => p.IsPivotHigh && p.EndBarIndex == 0 && p.Level == High[centerBarIndex]); bool existsConflictingPivotHigh = pivots.Any(p => p.IsPivotHigh && p.EndBarIndex == 0 && p.Level == GetHigh(centerBarIndex));
// Check if there's any pivot low without an end bar index and at the same price level as the current potential pivot low. // Check if there's any pivot low without an end bar index and at the same price level as the current potential pivot low.
bool existsConflictingPivotLow = pivots.Any(p => p.IsPivotLow && p.EndBarIndex == 0 && p.Level == Low[centerBarIndex]); bool existsConflictingPivotLow = pivots.Any(p => p.IsPivotLow && p.EndBarIndex == 0 && p.Level == GetLow(centerBarIndex));
if (isPivotHigh && !existsConflictingPivotHigh) if (isPivotHigh && !existsConflictingPivotHigh)
{ {
PivotPoint pivot = new PivotPoint { IsPivotHigh = true, Level = High[centerBarIndex], StartBarIndex = CurrentBar - centerBarIndex }; PivotPoint pivot = new PivotPoint { IsPivotHigh = true, Level = GetHigh(centerBarIndex), StartBarIndex = CurrentBar - centerBarIndex };
pivots.Add(pivot); pivots.Add(pivot);
Pivot[0] = pivot; Pivot[0] = pivot;
} }
if (isPivotLow && !existsConflictingPivotLow) if (isPivotLow && !existsConflictingPivotLow)
{ {
PivotPoint pivot = new PivotPoint { IsPivotLow = true, Level = Low[centerBarIndex], StartBarIndex = CurrentBar - centerBarIndex }; PivotPoint pivot = new PivotPoint { IsPivotLow = true, Level = GetLow(centerBarIndex), StartBarIndex = CurrentBar - centerBarIndex };
pivots.Add(pivot); pivots.Add(pivot);
Pivot[0] = pivot; Pivot[0] = pivot;
} }
@ -117,6 +118,16 @@ namespace NinjaTrader.NinjaScript.Indicators
pivots.RemoveAt(0); pivots.RemoveAt(0);
} }
private double GetHigh(int barsAgo)
{
return UseClosePrice ? Close[barsAgo] : High[barsAgo];
}
private double GetLow(int barsAgo)
{
return UseClosePrice ? Close[barsAgo] : Low[barsAgo];
}
protected override void OnRender(ChartControl chartControl, ChartScale chartScale) protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
{ {
base.OnRender(chartControl, chartScale); base.OnRender(chartControl, chartScale);
@ -153,10 +164,15 @@ namespace NinjaTrader.NinjaScript.Indicators
public int RollingWindow public int RollingWindow
{ get; set; } { get; set; }
[Display(Name = "Pivot High Stroke", Order = 2, GroupName = "Pivot")] [NinjaScriptProperty]
[Display(Name = "Use Close Price", Order = 2, GroupName = "Pivot")]
public bool UseClosePrice
{ get; set; }
[Display(Name = "Pivot High Stroke", Order = 3, GroupName = "Pivot")]
public Stroke PivotHighStroke { get; set; } public Stroke PivotHighStroke { get; set; }
[Display(Name = "Pivot Low Stroke", Order = 3, GroupName = "Pivot")] [Display(Name = "Pivot Low Stroke", Order = 4, GroupName = "Pivot")]
public Stroke PivotLowStroke { get; set; } public Stroke PivotLowStroke { get; set; }
[Browsable(false)] [Browsable(false)]
@ -171,18 +187,18 @@ namespace NinjaTrader.NinjaScript.Indicators
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{ {
private PivotPoints[] cachePivotPoints; private PivotPoints[] cachePivotPoints;
public PivotPoints PivotPoints(int rollingWindow) public PivotPoints PivotPoints(int rollingWindow, bool useClosePrice)
{ {
return PivotPoints(Input, rollingWindow); return PivotPoints(Input, rollingWindow, useClosePrice);
} }
public PivotPoints PivotPoints(ISeries<double> input, int rollingWindow) public PivotPoints PivotPoints(ISeries<double> input, int rollingWindow, bool useClosePrice)
{ {
if (cachePivotPoints != null) if (cachePivotPoints != null)
for (int idx = 0; idx < cachePivotPoints.Length; idx++) for (int idx = 0; idx < cachePivotPoints.Length; idx++)
if (cachePivotPoints[idx] != null && cachePivotPoints[idx].RollingWindow == rollingWindow && cachePivotPoints[idx].EqualsInput(input)) if (cachePivotPoints[idx] != null && cachePivotPoints[idx].RollingWindow == rollingWindow && cachePivotPoints[idx].UseClosePrice == useClosePrice && cachePivotPoints[idx].EqualsInput(input))
return cachePivotPoints[idx]; return cachePivotPoints[idx];
return CacheIndicator<PivotPoints>(new PivotPoints(){ RollingWindow = rollingWindow }, input, ref cachePivotPoints); return CacheIndicator<PivotPoints>(new PivotPoints(){ RollingWindow = rollingWindow, UseClosePrice = useClosePrice }, input, ref cachePivotPoints);
} }
} }
} }
@ -191,14 +207,14 @@ namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{ {
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{ {
public Indicators.PivotPoints PivotPoints(int rollingWindow) public Indicators.PivotPoints PivotPoints(int rollingWindow, bool useClosePrice)
{ {
return indicator.PivotPoints(Input, rollingWindow); return indicator.PivotPoints(Input, rollingWindow, useClosePrice);
} }
public Indicators.PivotPoints PivotPoints(ISeries<double> input , int rollingWindow) public Indicators.PivotPoints PivotPoints(ISeries<double> input , int rollingWindow, bool useClosePrice)
{ {
return indicator.PivotPoints(input, rollingWindow); return indicator.PivotPoints(input, rollingWindow, useClosePrice);
} }
} }
} }
@ -207,14 +223,14 @@ namespace NinjaTrader.NinjaScript.Strategies
{ {
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{ {
public Indicators.PivotPoints PivotPoints(int rollingWindow) public Indicators.PivotPoints PivotPoints(int rollingWindow, bool useClosePrice)
{ {
return indicator.PivotPoints(Input, rollingWindow); return indicator.PivotPoints(Input, rollingWindow, useClosePrice);
} }
public Indicators.PivotPoints PivotPoints(ISeries<double> input , int rollingWindow) public Indicators.PivotPoints PivotPoints(ISeries<double> input , int rollingWindow, bool useClosePrice)
{ {
return indicator.PivotPoints(input, rollingWindow); return indicator.PivotPoints(input, rollingWindow, useClosePrice);
} }
} }
} }