ninjatrader/indicators/ThreeCandleReversal.cs

#region Using declarations
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using System.Collections.Generic;
using System.ComponentModel.DataAnnotations;
using System.Windows.Media;
using System.Xml.Serialization;
#endregion

namespace NinjaTrader.NinjaScript.Indicators
{
    public class ThreeCandleReversal : Indicator
    {
        public class Pattern
        {
            public double UltimateLevel { get; set; }
            public double PenultimateLevel { get; set; }
            public int StartBarIndex { get; set; }
            public int EndBarIndex { get; set; }
            public bool IsSwingHigh { get; set; }
            public bool IsSwingLow { get; set; }
        }

        [XmlIgnore]
        public Series<Pattern> DetectedPatterns;

        private List<Pattern> detectedPatterns = new List<Pattern>();

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Credit to @BestForexMethod.";
                Name = "3CR";
                Calculate = Calculate.OnPriceChange;
                IsOverlay = true;
                DisplayInDataBox = true;
                DrawOnPricePanel = true;
                DrawHorizontalGridLines = true;
                DrawVerticalGridLines = true;
                PaintPriceMarkers = true;
                ScaleJustification = ScaleJustification.Right;
                IsSuspendedWhileInactive = true;

                BarLookback = 5;
                BullishLevelStroke = new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 2);
                BearishLevelStroke = new Stroke(Brushes.Red, DashStyleHelper.Solid, 2);

                // For use when backtesting in order to limit the number of patterns processed.
                MaxPatterns = 0;
            }
            if (State == State.DataLoaded)
            {
                DetectedPatterns = new Series<Pattern>(this);
            }
            else if (State == State.Historical)
            {
                SetZOrder(-1); // Display behind bars on chart.
            }
        }

        protected override void OnBarUpdate()
        {   
            if (CurrentBar < BarLookback + 1)
                return;

            for (int i = detectedPatterns.Count - 1; i >= 0; i--)
            {
                var pattern = detectedPatterns[i];

                if (pattern.IsSwingHigh && Closes[0][0] > pattern.UltimateLevel && pattern.EndBarIndex == 0)
                {
                    detectedPatterns.RemoveAt(i);
                }
                else if (pattern.IsSwingLow && Closes[0][0] < pattern.UltimateLevel && pattern.EndBarIndex == 0)
                {
                    detectedPatterns.RemoveAt(i);
                }
            }

            DetectedPatterns[0] = null;

            int candleIndex = (State == State.Realtime) ? 1 : 0;

            bool isSwingHigh = true, isSwingLow = true;
            for (int i = (candleIndex + 1); i <= (BarLookback + 1); i++)
            {
                if (Highs[0][candleIndex] <= Highs[0][i]) isSwingHigh = false;
                if (Lows[0][candleIndex] >= Lows[0][i]) isSwingLow = false;
            }

            // Skip inside bars and get the proper penultimate candle.
            int penultimateIndex = candleIndex + 1;
            while (Highs[0][penultimateIndex] <= Highs[0][penultimateIndex + 1] && Lows[0][penultimateIndex] >= Lows[0][penultimateIndex + 1])
            {
                penultimateIndex++;
            }

            if (isSwingHigh)
            {
                detectedPatterns.Add(new Pattern
                {
                    UltimateLevel = Highs[0][candleIndex],
                    PenultimateLevel = Lows[0][penultimateIndex],
                    StartBarIndex = CurrentBar - penultimateIndex,
                    IsSwingHigh = true
                });
            }
            else if (isSwingLow)
            {
                detectedPatterns.Add(new Pattern
                {
                    UltimateLevel = Lows[0][candleIndex],
                    PenultimateLevel = Highs[0][penultimateIndex],
                    StartBarIndex = CurrentBar - penultimateIndex,
                    IsSwingLow = true
                });
            }

            for (int i = detectedPatterns.Count - 1; i >= 0; i--)
            {
                var pattern = detectedPatterns[i];

                // Check for completed 3CRs.
                if ((pattern.IsSwingHigh && Closes[0][candleIndex] < pattern.PenultimateLevel && pattern.EndBarIndex == 0) || 
                    (pattern.IsSwingLow && Closes[0][candleIndex] > pattern.PenultimateLevel && pattern.EndBarIndex == 0))
                {
                    pattern.EndBarIndex = CurrentBar - candleIndex;
                    DetectedPatterns[0] = pattern;
                }

                // Check for invalidated 3CRs.
                if ((pattern.IsSwingHigh && Highs[0][candleIndex] > pattern.UltimateLevel && pattern.EndBarIndex == 0) || 
                    (pattern.IsSwingLow && Lows[0][candleIndex] < pattern.UltimateLevel && pattern.EndBarIndex == 0))
                {
                    detectedPatterns.RemoveAt(i);
                }
            }

            if (MaxPatterns > 0 && detectedPatterns.Count > MaxPatterns)
                detectedPatterns.RemoveAt(0);
        }

        protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
        {
            base.OnRender(chartControl, chartScale);

            foreach (var pattern in detectedPatterns.ToArray())
            {
                int startX = chartControl.GetXByBarIndex(ChartBars, pattern.StartBarIndex);
                int endX = pattern.EndBarIndex == 0 ? ChartPanel.X + ChartPanel.W : chartControl.GetXByBarIndex(ChartBars, pattern.EndBarIndex);
                var levelToDraw = pattern.PenultimateLevel;

                Stroke currentStroke = pattern.IsSwingHigh ? BearishLevelStroke : BullishLevelStroke;
                DrawHorizontalLine(startX, endX, chartScale.GetYByValue(levelToDraw), currentStroke);
            }
        }

        private void DrawHorizontalLine(int startX, int endX, int y, Stroke stroke)
        {
            SharpDX.Direct2D1.Brush dxBrush = stroke.Brush.ToDxBrush(RenderTarget);
            RenderTarget.DrawLine(
                new SharpDX.Vector2(startX, y),
                new SharpDX.Vector2(endX, y),
                dxBrush, stroke.Width, stroke.StrokeStyle
            );
            dxBrush.Dispose();
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Bar Lookback", Description = "Number of bars to compare for detecting swing highs / lows", Order = 1, GroupName = "3CR")]
        public int BarLookback { get; set; }

        [XmlIgnore]
        [Display(Name = "Bullish Level", Description = "Stroke for bullish level drawn on chart", Order = 2, GroupName = "3CR")]
        public Stroke BullishLevelStroke { get; set; }

        [XmlIgnore]
        [Display(Name = "Bearish Level", Description = "Stroke for bearish level drawn on chart", Order = 3, GroupName = "3CR")]
        public Stroke BearishLevelStroke { get; set; }

        [Range(0, int.MaxValue)]
        public int MaxPatterns { get; set; }
    }
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
    public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
    {
        private ThreeCandleReversal[] cacheThreeCandleReversal;
        public ThreeCandleReversal ThreeCandleReversal(int barLookback)
        {
            return ThreeCandleReversal(Input, barLookback);
        }

        public ThreeCandleReversal ThreeCandleReversal(ISeries<double> input, int barLookback)
        {
            if (cacheThreeCandleReversal != null)
                for (int idx = 0; idx < cacheThreeCandleReversal.Length; idx++)
                    if (cacheThreeCandleReversal[idx] != null && cacheThreeCandleReversal[idx].BarLookback == barLookback && cacheThreeCandleReversal[idx].EqualsInput(input))
                        return cacheThreeCandleReversal[idx];
            return CacheIndicator<ThreeCandleReversal>(new ThreeCandleReversal(){ BarLookback = barLookback }, input, ref cacheThreeCandleReversal);
        }
    }
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
    public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
    {
        public Indicators.ThreeCandleReversal ThreeCandleReversal(int barLookback)
        {
            return indicator.ThreeCandleReversal(Input, barLookback);
        }

        public Indicators.ThreeCandleReversal ThreeCandleReversal(ISeries<double> input , int barLookback)
        {
            return indicator.ThreeCandleReversal(input, barLookback);
        }
    }
}

namespace NinjaTrader.NinjaScript.Strategies
{
    public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
    {
        public Indicators.ThreeCandleReversal ThreeCandleReversal(int barLookback)
        {
            return indicator.ThreeCandleReversal(Input, barLookback);
        }

        public Indicators.ThreeCandleReversal ThreeCandleReversal(ISeries<double> input , int barLookback)
        {
            return indicator.ThreeCandleReversal(input, barLookback);
        }
    }
}

#endregion