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Add ConnorsRSI indicator, credit to Larry Connors' Buy the Fear, Sell the Greed

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moshferatu 2024-08-12 08:31:52 -07:00
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commit 82ed1266ec
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indicators/ConnorsRSI.cs Normal file
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#region Using declarations
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using System;
using System.Collections.Generic;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Windows.Media;
#endregion
namespace NinjaTrader.NinjaScript.Indicators
{
public class ConnorsRSI : Indicator
{
private RSI rsi;
private RSI streakRsi;
private Series<double> streak;
private Series<double> returns;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Credit to Larry Connors";
Name = "ConnorsRSI";
Calculate = Calculate.OnBarClose;
IsOverlay = false;
DisplayInDataBox = true;
DrawOnPricePanel = true;
DrawHorizontalGridLines = true;
DrawVerticalGridLines = true;
PaintPriceMarkers = true;
ScaleJustification = ScaleJustification.Right;
IsSuspendedWhileInactive = true;
RSIPeriod = 3;
RSISmoothing = 1;
StreakRSIPeriod = 2;
StreakRSISmoothing = 1;
PercentRankPeriod = 100;
AddPlot(new Stroke(Brushes.Yellow, 3), PlotStyle.Line, "ConnorsRSI");
}
else if (State == State.DataLoaded)
{
rsi = RSI(RSIPeriod, RSISmoothing);
streak = new Series<double>(this);
streakRsi = RSI(streak, StreakRSIPeriod, StreakRSISmoothing);
returns = new Series<double>(this);
}
}
protected override void OnBarUpdate()
{
if (CurrentBar < Math.Max(RSIPeriod, Math.Max(StreakRSIPeriod, PercentRankPeriod)))
return;
if (Close[0] > Close[1])
{
if (streak[1] > 0)
streak[0] = streak[1] + 1;
else
streak[0] = 1;
}
else if (Close[0] < Close[1])
{
if (streak[1] < 0)
streak[0] = streak[1] - 1;
else
streak[0] = -1;
}
else
streak[0] = 0;
returns[0] = (Close[0] - Close[1]) / Close[1];
List<double> dailyReturns = new List<double>();
for (int i = PercentRankPeriod; i > 0; i--)
dailyReturns.Add(returns[i]);
int rank = dailyReturns.Count(x => x < returns[0]);
double percentRank = (double)rank / PercentRankPeriod * 100;
Value[0] = (rsi[0] + streakRsi[0] + percentRank) / 3;
}
public override string DisplayName
{
get { return Name; }
}
[NinjaScriptProperty]
[Display(Name = "RSI Period", GroupName = "ConnorsRSI", Order = 1)]
public int RSIPeriod { get; set; }
[NinjaScriptProperty]
[Display(Name = "RSI Smoothing", GroupName = "ConnorsRSI", Order = 2)]
public int RSISmoothing { get; set; }
[NinjaScriptProperty]
[Display(Name = "Streak RSI Period", GroupName = "ConnorsRSI", Order = 3)]
public int StreakRSIPeriod { get; set; }
[NinjaScriptProperty]
[Display(Name = "Streak RSI Smoothing", GroupName = "ConnorsRSI", Order = 4)]
public int StreakRSISmoothing { get; set; }
[NinjaScriptProperty]
[Display(Name = "Percent Rank Period", GroupName = "ConnorsRSI", Order = 5)]
public int PercentRankPeriod { get; set; }
}
}
#region NinjaScript generated code. Neither change nor remove.
namespace NinjaTrader.NinjaScript.Indicators
{
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private ConnorsRSI[] cacheConnorsRSI;
public ConnorsRSI ConnorsRSI(int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
{
return ConnorsRSI(Input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
}
public ConnorsRSI ConnorsRSI(ISeries<double> input, int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
{
if (cacheConnorsRSI != null)
for (int idx = 0; idx < cacheConnorsRSI.Length; idx++)
if (cacheConnorsRSI[idx] != null && cacheConnorsRSI[idx].RSIPeriod == rSIPeriod && cacheConnorsRSI[idx].RSISmoothing == rSISmoothing && cacheConnorsRSI[idx].StreakRSIPeriod == streakRSIPeriod && cacheConnorsRSI[idx].StreakRSISmoothing == streakRSISmoothing && cacheConnorsRSI[idx].PercentRankPeriod == percentRankPeriod && cacheConnorsRSI[idx].EqualsInput(input))
return cacheConnorsRSI[idx];
return CacheIndicator<ConnorsRSI>(new ConnorsRSI(){ RSIPeriod = rSIPeriod, RSISmoothing = rSISmoothing, StreakRSIPeriod = streakRSIPeriod, StreakRSISmoothing = streakRSISmoothing, PercentRankPeriod = percentRankPeriod }, input, ref cacheConnorsRSI);
}
}
}
namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.ConnorsRSI ConnorsRSI(int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
{
return indicator.ConnorsRSI(Input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
}
public Indicators.ConnorsRSI ConnorsRSI(ISeries<double> input , int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
{
return indicator.ConnorsRSI(input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
}
}
}
namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.ConnorsRSI ConnorsRSI(int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
{
return indicator.ConnorsRSI(Input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
}
public Indicators.ConnorsRSI ConnorsRSI(ISeries<double> input , int rSIPeriod, int rSISmoothing, int streakRSIPeriod, int streakRSISmoothing, int percentRankPeriod)
{
return indicator.ConnorsRSI(input, rSIPeriod, rSISmoothing, streakRSIPeriod, streakRSISmoothing, percentRankPeriod);
}
}
}
#endregion