145 lines
4.8 KiB
C#
145 lines
4.8 KiB
C#
#region Using declarations
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using System.Collections.Generic;
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using System.ComponentModel;
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using System.ComponentModel.DataAnnotations;
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using System.Linq;
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using System.Xml.Serialization;
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using NinjaTrader.Gui.Chart;
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using NinjaTrader.Data;
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#endregion
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//This namespace holds Indicators in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Indicators
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{
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public class VolatilityRegime : Indicator
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{
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private const int VIXBars = 1;
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Description = @"";
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Name = "Volatility Regime";
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Calculate = Calculate.OnBarClose;
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IsOverlay = true;
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DisplayInDataBox = true;
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DrawOnPricePanel = true;
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ScaleJustification = ScaleJustification.Right;
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IsSuspendedWhileInactive = true;
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RankPeriod = 252; // Approximately 1 year in trading days.
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}
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else if (State == State.Configure)
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{
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// TODO: Base number of days to request on a configurable date range.
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AddDataSeries("^VIX", new BarsPeriod { BarsPeriodType = BarsPeriodType.Day, Value = 1 },
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2000, "US Equities RTH", Bars.IsResetOnNewTradingDay);
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}
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else if (State == State.DataLoaded)
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{
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PercentRank = new Series<double>(this);
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}
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else if (State == State.Historical)
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{
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SetZOrder(-1); // Display behind bars on chart.
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}
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}
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protected override void OnBarUpdate()
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{
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if (VIXBars != BarsInProgress)
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return;
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// Calculate percent rank of VIX closing prices over lookback period.
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if (CurrentBar >= RankPeriod)
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{
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List<double> vixCloses = new List<double>();
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for (int i = RankPeriod; i > 0; i--)
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vixCloses.Add(Closes[VIXBars][i]);
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double currentVixClose = Closes[VIXBars][0];
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int rank = vixCloses.Count(x => x <= currentVixClose); // # of closes <= current price.
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PercentRank[0] = (double)rank / RankPeriod;
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}
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else
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{
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PercentRank[0] = 0; // Insufficient data.
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}
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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[Browsable(false)]
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[XmlIgnore]
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public Series<double> PercentRank { get; set; }
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#region Properties
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Rank Period", Description = "Period for the percent rank lookback", Order = 1, GroupName = "Volatility Regime")]
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public int RankPeriod { get; set; }
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#endregion
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}
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}
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#region NinjaScript generated code. Neither change nor remove.
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namespace NinjaTrader.NinjaScript.Indicators
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{
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public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
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{
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private VolatilityRegime[] cacheVolatilityRegime;
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public VolatilityRegime VolatilityRegime(int rankPeriod)
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{
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return VolatilityRegime(Input, rankPeriod);
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}
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public VolatilityRegime VolatilityRegime(ISeries<double> input, int rankPeriod)
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{
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if (cacheVolatilityRegime != null)
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for (int idx = 0; idx < cacheVolatilityRegime.Length; idx++)
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if (cacheVolatilityRegime[idx] != null && cacheVolatilityRegime[idx].RankPeriod == rankPeriod && cacheVolatilityRegime[idx].EqualsInput(input))
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return cacheVolatilityRegime[idx];
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return CacheIndicator<VolatilityRegime>(new VolatilityRegime(){ RankPeriod = rankPeriod }, input, ref cacheVolatilityRegime);
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}
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}
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}
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namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
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{
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public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
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{
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public Indicators.VolatilityRegime VolatilityRegime(int rankPeriod)
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{
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return indicator.VolatilityRegime(Input, rankPeriod);
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}
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public Indicators.VolatilityRegime VolatilityRegime(ISeries<double> input , int rankPeriod)
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{
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return indicator.VolatilityRegime(input, rankPeriod);
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}
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}
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}
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
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{
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public Indicators.VolatilityRegime VolatilityRegime(int rankPeriod)
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{
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return indicator.VolatilityRegime(Input, rankPeriod);
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}
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public Indicators.VolatilityRegime VolatilityRegime(ISeries<double> input , int rankPeriod)
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{
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return indicator.VolatilityRegime(input, rankPeriod);
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}
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}
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}
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#endregion
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