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Add linear regression indicator that colors bars according to whether closes are above / below the linear regression calculated over a configurable number of bars

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moshferatu 2023-11-17 07:42:22 -08:00
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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;
#endregion
//This namespace holds Indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
public class LinearRegression : Indicator
{
private double sumX, sumY, sumXY, sumX2, averageY, slope, intercept;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Colors bars according to closes above / below a linear regression.";
Name = "Linear Regression";
Calculate = Calculate.OnPriceChange;
IsOverlay = true;
ScaleJustification = ScaleJustification.Right;
IsSuspendedWhileInactive = false;
RegressionPeriod = 20;
AboveThresholdColor = Brushes.LimeGreen;
BelowThresholdColor = Brushes.Red;
}
}
protected override void OnBarUpdate()
{
if (CurrentBar < RegressionPeriod)
return;
if (IsFirstTickOfBar)
{
CalculateLinearRegression();
double previousClose = Close[1];
double linearRegValue = intercept + slope * RegressionPeriod;
if (previousClose > linearRegValue)
{
BarBrushes[0] = AboveThresholdColor;
CandleOutlineBrushes[0] = AboveThresholdColor;
}
else if (previousClose < linearRegValue)
{
BarBrushes[0] = BelowThresholdColor;
CandleOutlineBrushes[0] = BelowThresholdColor;
}
}
}
private void CalculateLinearRegression()
{
sumX = sumY = sumXY = sumX2 = 0;
for (int i = 1; i < (RegressionPeriod + 1); i++)
{
sumX += i;
sumY += Close[i];
sumXY += i * Close[i];
sumX2 += i * i;
}
double n = RegressionPeriod;
slope = (n * sumXY - sumX * sumY) / (n * sumX2 - sumX * sumX);
averageY = sumY / n;
intercept = averageY - slope * (sumX / n);
}
public override string DisplayName
{
get { return Name; }
}
[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name = "Regression Period", GroupName = "Linear Regression", Order = 1)]
public int RegressionPeriod { get; set; }
[NinjaScriptProperty]
[XmlIgnore]
[Display(Name = "Above Regression", GroupName = "Linear Regression", Order = 2)]
public Brush AboveThresholdColor { get; set; }
[NinjaScriptProperty]
[XmlIgnore]
[Display(Name = "Below Regression", GroupName = "Linear Regression", Order = 3)]
public Brush BelowThresholdColor { get; set; }
}
}
#region NinjaScript generated code. Neither change nor remove.
namespace NinjaTrader.NinjaScript.Indicators
{
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private LinearRegression[] cacheLinearRegression;
public LinearRegression LinearRegression(int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
{
return LinearRegression(Input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
}
public LinearRegression LinearRegression(ISeries<double> input, int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
{
if (cacheLinearRegression != null)
for (int idx = 0; idx < cacheLinearRegression.Length; idx++)
if (cacheLinearRegression[idx] != null && cacheLinearRegression[idx].RegressionPeriod == regressionPeriod && cacheLinearRegression[idx].AboveThresholdColor == aboveThresholdColor && cacheLinearRegression[idx].BelowThresholdColor == belowThresholdColor && cacheLinearRegression[idx].EqualsInput(input))
return cacheLinearRegression[idx];
return CacheIndicator<LinearRegression>(new LinearRegression(){ RegressionPeriod = regressionPeriod, AboveThresholdColor = aboveThresholdColor, BelowThresholdColor = belowThresholdColor }, input, ref cacheLinearRegression);
}
}
}
namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.LinearRegression LinearRegression(int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
{
return indicator.LinearRegression(Input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
}
public Indicators.LinearRegression LinearRegression(ISeries<double> input , int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
{
return indicator.LinearRegression(input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
}
}
}
namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.LinearRegression LinearRegression(int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
{
return indicator.LinearRegression(Input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
}
public Indicators.LinearRegression LinearRegression(ISeries<double> input , int regressionPeriod, Brush aboveThresholdColor, Brush belowThresholdColor)
{
return indicator.LinearRegression(input, regressionPeriod, aboveThresholdColor, belowThresholdColor);
}
}
}
#endregion