Initial commit of NYSE Cumulative New Highs New Lows market breadth indicator

2024-07-04 06:36:29 -07:00 · 2024-07-04 06:36:29 -07:00 · ccb420e519
commit ccb420e519
parent 5ec5b2dbda
1 changed files with 135 additions and 0 deletions
--- a/indicators/NYSECumulativeNewHighsNewLows.cs
+++ b/indicators/NYSECumulativeNewHighsNewLows.cs
@ -0,0 +1,135 @@
+#region Using declarations
+using NinjaTrader.Gui;
+using NinjaTrader.Gui.Chart;
+using NinjaTrader.Data;
+using System.Windows.Media;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public class NYSECumulativeNewHighsNewLows : Indicator
+    {
+        private const int NewHighsBars = 1;
+        private const int NewLowsBars = 2;
+        
+        private double cumulativeNewHighsLows = 0.0;
+
+        private Series<double> newHighsLows;
+
+        private SMA mean;
+        private StdDev stdev;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"NYSE Cumulative New Highs New Lows";
+                Name = "NYSE Cumulative New Highs New Lows";
+                Calculate = Calculate.OnBarClose;
+                IsOverlay = false;
+                PaintPriceMarkers = true;
+                ScaleJustification = ScaleJustification.Right;
+                IsSuspendedWhileInactive = true;
+
+                AddPlot(new Stroke(Brushes.Yellow, 3), PlotStyle.Line, "Z-Score");
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries("FINH", BarsPeriodType.Day, 1);
+                AddDataSeries("FINL", BarsPeriodType.Day, 1);
+            }
+            else if (State == State.DataLoaded)
+            {
+                newHighsLows = new Series<double>(this);
+
+                mean = SMA(newHighsLows, 252);
+                stdev = StdDev(newHighsLows, 252);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != 0)
+                return;
+
+            int newHighsBar = BarsArray[NewHighsBars].GetBar(Time[0]);
+            double newHighs = BarsArray[NewHighsBars].GetClose(newHighsBar);
+
+            int newLowsBar = BarsArray[NewLowsBars].GetBar(Time[0]);
+            double newLows = BarsArray[NewLowsBars].GetClose(newLowsBar);
+
+            cumulativeNewHighsLows = cumulativeNewHighsLows + (newHighs - newLows);
+            newHighsLows[0] = cumulativeNewHighsLows;
+
+            double zScore = (cumulativeNewHighsLows - mean[0]) / stdev[0];
+            Value[0] = zScore;
+
+            if (zScore > 0)
+                BackBrush = Brushes.LimeGreen;
+            else
+                BackBrush = Brushes.Red;
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+    }
+}
+
+#region NinjaScript generated code. Neither change nor remove.
+
+namespace NinjaTrader.NinjaScript.Indicators
+{
+    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
+    {
+        private NYSECumulativeNewHighsNewLows[] cacheNYSECumulativeNewHighsNewLows;
+        public NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows()
+        {
+            return NYSECumulativeNewHighsNewLows(Input);
+        }
+
+        public NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows(ISeries<double> input)
+        {
+            if (cacheNYSECumulativeNewHighsNewLows != null)
+                for (int idx = 0; idx < cacheNYSECumulativeNewHighsNewLows.Length; idx++)
+                    if (cacheNYSECumulativeNewHighsNewLows[idx] != null &&  cacheNYSECumulativeNewHighsNewLows[idx].EqualsInput(input))
+                        return cacheNYSECumulativeNewHighsNewLows[idx];
+            return CacheIndicator<NYSECumulativeNewHighsNewLows>(new NYSECumulativeNewHighsNewLows(), input, ref cacheNYSECumulativeNewHighsNewLows);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
+{
+    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
+    {
+        public Indicators.NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows()
+        {
+            return indicator.NYSECumulativeNewHighsNewLows(Input);
+        }
+
+        public Indicators.NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows(ISeries<double> input )
+        {
+            return indicator.NYSECumulativeNewHighsNewLows(input);
+        }
+    }
+}
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
+    {
+        public Indicators.NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows()
+        {
+            return indicator.NYSECumulativeNewHighsNewLows(Input);
+        }
+
+        public Indicators.NYSECumulativeNewHighsNewLows NYSECumulativeNewHighsNewLows(ISeries<double> input )
+        {
+            return indicator.NYSECumulativeNewHighsNewLows(input);
+        }
+    }
+}
+
+#endregion