Add True Range Adjusted EMA (TRAdj EMA) indicator

indicators/TRAdjEMA.cs

@@ -0,0 +1,149 @@
+#region Using declarations
+using NinjaTrader.Gui;
+using NinjaTrader.Gui.Chart;
+using System;
+using System.ComponentModel.DataAnnotations;
+using System.Windows.Media;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public class TRAdjEMA : Indicator
+    {
+        private MAX maxRange;
+        private MIN minRange;
+        
+        private Series<double> trueRange;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"True Range Adjusted EMA";
+                Name = "TRAdj EMA";
+                Calculate = Calculate.OnPriceChange;
+                IsOverlay = true;
+                DisplayInDataBox = true;
+                DrawOnPricePanel = true;
+                PaintPriceMarkers = true;
+                ScaleJustification = ScaleJustification.Right;
+                IsSuspendedWhileInactive = true;
+
+                Period = 40;
+                TrueRangeLookback = 40;
+                Multiplier = 10;
+
+                AddPlot(new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3), PlotStyle.Line, "TRAdj EMA");
+            }
+            else if (State == State.DataLoaded)
+            {   
+                trueRange = new Series<double>(this);
+
+                maxRange = MAX(trueRange, TrueRangeLookback);
+                minRange = MIN(trueRange, TrueRangeLookback);
+            }
+            else if (State == State.Historical)
+            {
+                SetZOrder(-1); // Display behind bars on chart.
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < 1)
+                return;
+            
+            trueRange[0] = Math.Max(High[0] - Low[0], Math.Max(Math.Abs(High[0] - Close[1]), Math.Abs(Low[0] - Close[1])));
+
+            if (CurrentBar < Math.Max(Period, TrueRangeLookback))
+                Value[0] = Close[0];
+            else
+            {
+                double trAdj = (trueRange[0] - minRange[0]) / (maxRange[0] - minRange[0]);
+                double multiplier1 = 2.0 / (Period + 1);
+                double multiplier2 = trAdj * Multiplier;
+                double rate = multiplier1 * (1.0 + multiplier2);
+
+                Value[0] = Value[1] + rate * (Close[0] - Value[1]);
+            }
+
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Period", GroupName = "TRAdj EMA", Order = 1)]
+        public int Period { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "True Range Lookback", GroupName = "TRAdj EMA", Order = 2)]
+        public int TrueRangeLookback { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Multiplier", GroupName = "TRAdj EMA", Order = 3)]
+        public int Multiplier { get; set; }
+    }
+}
+
+#region NinjaScript generated code. Neither change nor remove.
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
+    {
+        private TRAdjEMA[] cacheTRAdjEMA;
+        public TRAdjEMA TRAdjEMA(int period, int trueRangeLookback, int multiplier)
+        {
+            return TRAdjEMA(Input, period, trueRangeLookback, multiplier);
+        }
+
+        public TRAdjEMA TRAdjEMA(ISeries<double> input, int period, int trueRangeLookback, int multiplier)
+        {
+            if (cacheTRAdjEMA != null)
+                for (int idx = 0; idx < cacheTRAdjEMA.Length; idx++)
+                    if (cacheTRAdjEMA[idx] != null && cacheTRAdjEMA[idx].Period == period && cacheTRAdjEMA[idx].TrueRangeLookback == trueRangeLookback && cacheTRAdjEMA[idx].Multiplier == multiplier && cacheTRAdjEMA[idx].EqualsInput(input))
+                        return cacheTRAdjEMA[idx];
+            return CacheIndicator<TRAdjEMA>(new TRAdjEMA(){ Period = period, TrueRangeLookback = trueRangeLookback, Multiplier = multiplier }, input, ref cacheTRAdjEMA);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
+{
+    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
+    {
+        public Indicators.TRAdjEMA TRAdjEMA(int period, int trueRangeLookback, int multiplier)
+        {
+            return indicator.TRAdjEMA(Input, period, trueRangeLookback, multiplier);
+        }
+
+        public Indicators.TRAdjEMA TRAdjEMA(ISeries<double> input , int period, int trueRangeLookback, int multiplier)
+        {
+            return indicator.TRAdjEMA(input, period, trueRangeLookback, multiplier);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
+    {
+        public Indicators.TRAdjEMA TRAdjEMA(int period, int trueRangeLookback, int multiplier)
+        {
+            return indicator.TRAdjEMA(Input, period, trueRangeLookback, multiplier);
+        }
+
+        public Indicators.TRAdjEMA TRAdjEMA(ISeries<double> input , int period, int trueRangeLookback, int multiplier)
+        {
+            return indicator.TRAdjEMA(input, period, trueRangeLookback, multiplier);
+        }
+    }
+}
+
+#endregion