ninjatrader/indicators/TRAdjEMA.cs

#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, MaximumBarsLookBack.Infinite);

                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