Initial commit of Chandelier Exit indicator

indicators/ChandelierExit.cs

@@ -0,0 +1,143 @@
+#region Using declarations
+using NinjaTrader.Gui;
+using NinjaTrader.Gui.Chart;
+using System.ComponentModel;
+using System.ComponentModel.DataAnnotations;
+using System.Windows.Media;
+using System.Xml.Serialization;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    [CategoryOrder("Chandelier Exit", 1)]
+    [CategoryOrder("Plots", 2)]
+    public class ChandelierExit : Indicator
+    {
+        private ATR atr;
+        private MAX highestHigh;
+        private MIN lowestLow;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Chandelier Exit Indicator";
+                Name = "Chandelier Exit";
+                Calculate = Calculate.OnBarClose;
+                IsOverlay = true;
+                DisplayInDataBox = true;
+                DrawOnPricePanel = true;
+                PaintPriceMarkers = true;
+                ScaleJustification = ScaleJustification.Right;
+                IsSuspendedWhileInactive = true;
+
+                Period = 22;
+                ATRMultiplier = 3.0;
+
+                AddPlot(new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3), PlotStyle.Line, "Long Exit");
+                AddPlot(new Stroke(Brushes.Red, DashStyleHelper.Solid, 3), PlotStyle.Line, "Short Exit");
+            }
+            else if (State == State.DataLoaded)
+            {
+                atr = ATR(Period);
+                highestHigh = MAX(High, Period);
+                lowestLow = MIN(Low, Period);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < Period)
+                return;
+
+            LongExit[0] = highestHigh[0] - atr[0] * ATRMultiplier;
+            ShortExit[0] = lowestLow[0] + atr[0] * ATRMultiplier;
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [Browsable(false)]
+        [XmlIgnore]
+        public Series<double> LongExit
+        {
+            get { return Values[0]; }
+        }
+
+        [Browsable(false)]
+        [XmlIgnore]
+        public Series<double> ShortExit
+        {
+            get { return Values[1]; }
+        }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Period", GroupName = "Chandelier Exit", Order = 1)]
+        public int Period
+        { get; set; }
+
+        [Range(0.1, double.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Multiplier", GroupName = "Chandelier Exit", Order = 2)]
+        public double ATRMultiplier
+        { get; set; }
+    }
+}
+
+#region NinjaScript generated code. Neither change nor remove.
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
+    {
+        private ChandelierExit[] cacheChandelierExit;
+        public ChandelierExit ChandelierExit(int period, double aTRMultiplier)
+        {
+            return ChandelierExit(Input, period, aTRMultiplier);
+        }
+
+        public ChandelierExit ChandelierExit(ISeries<double> input, int period, double aTRMultiplier)
+        {
+            if (cacheChandelierExit != null)
+                for (int idx = 0; idx < cacheChandelierExit.Length; idx++)
+                    if (cacheChandelierExit[idx] != null && cacheChandelierExit[idx].Period == period && cacheChandelierExit[idx].ATRMultiplier == aTRMultiplier && cacheChandelierExit[idx].EqualsInput(input))
+                        return cacheChandelierExit[idx];
+            return CacheIndicator<ChandelierExit>(new ChandelierExit(){ Period = period, ATRMultiplier = aTRMultiplier }, input, ref cacheChandelierExit);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
+{
+    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
+    {
+        public Indicators.ChandelierExit ChandelierExit(int period, double aTRMultiplier)
+        {
+            return indicator.ChandelierExit(Input, period, aTRMultiplier);
+        }
+
+        public Indicators.ChandelierExit ChandelierExit(ISeries<double> input , int period, double aTRMultiplier)
+        {
+            return indicator.ChandelierExit(input, period, aTRMultiplier);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
+    {
+        public Indicators.ChandelierExit ChandelierExit(int period, double aTRMultiplier)
+        {
+            return indicator.ChandelierExit(Input, period, aTRMultiplier);
+        }
+
+        public Indicators.ChandelierExit ChandelierExit(ISeries<double> input , int period, double aTRMultiplier)
+        {
+            return indicator.ChandelierExit(input, period, aTRMultiplier);
+        }
+    }
+}
+
+#endregion