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Initial commit of Volatility indicator

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moshferatu 2024-06-15 05:29:34 -07:00
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#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