I would like to change the standard NT RSI smoothing from a simple to weighted MA. I have tried substituting "WMA" for "Average" in the code, but this will not compile, having named the indicator "RSIWMA". Here's the code, for which I would be grateful for any assistance :
//
// Copyright (C) 2006, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
//
#region Using declarations
using System;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.ComponentModel;
using System.Xml.Serialization;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
[Description("The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.")]
public class RSI : Indicator
{
#region Variables
private DataSeries avgUp;
private DataSeries avgDown;
private DataSeries down;
private int period = 14;
private int smooth = 3;
private DataSeries up;
#endregion
/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Add(new Plot(Color.Green, "RSI"));
Add(new Plot(Color.Orange, "WMA"));
Add(new Line(System.Drawing.Color.DarkViolet, 30, "Lower"));
Add(new Line(System.Drawing.Color.YellowGreen, 70, "Upper"));
avgUp = new DataSeries(this);
avgDown = new DataSeries(this);
down = new DataSeries(this);
up = new DataSeries(this);
PriceTypeSupported = true;
}
/// <summary>
/// Calculates the indicator value(s) at the current index.
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar == 0)
{
down.Set(0);
up.Set(0);
return;
}
down.Set(Math.Max(Input[1] - Input[0], 0));
up.Set(Math.Max(Input[0] - Input[1], 0));
if ((CurrentBar + 1) < Period)
{
if ((CurrentBar + 1) == (Period - 1))
Avg.Set(50);
return;
}
if ((CurrentBar + 1) == Period)
{
// First averages
avgDown.Set(SMA(down, Period)[0]);
avgUp.Set(SMA(up, Period)[0]);
}
else
{
// Rest of averages are smoothed
avgDown.Set((avgDown[1] * (Period - 1) + down[0]) / Period);
avgUp.Set((avgUp[1] * (Period - 1) + up[0]) / Period);
}
double rs = avgUp[0] / (avgDown[0] == 0 ? 1 : avgDown[0]);
double rsi = 100 - (100 / (1 + rs));
double rsiAvg = (2.0 / (1 + Smooth)) * rsi + (1 - (2.0 / (1 + Smooth))) * Avg[1];
Avg.Set(rsiAvg);
Value.Set(rsi);
}
#region Properties
/// <summary>
/// </summary>
[Browsable(false)]
[XmlIgnore()]
public DataSeries Avg
{
get { return Values[1]; }
}
/// <summary>
/// </summary>
[Browsable(false)]
[XmlIgnore()]
public DataSeries Default
{
get { return Values[0]; }
}
/// <summary>
/// </summary>
[Description("Numbers of bars used for calculations")]
[Category("Parameters")]
public int Period
{
get { return period; }
set { period = Math.Max(2, value); }
}
/// <summary>
/// </summary>
[Description("Number of bars for smoothing")]
[Category("Parameters")]
public int Smooth
{
get { return smooth; }
set { smooth = Math.Max(1, value); }
}
#endregion
}
}
#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
public partial class Indicator : IndicatorBase
{
private RSI[] cacheRSI = null;
private static RSI checkRSI = new RSI();
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
public RSI RSI(int period, int smooth)
{
return RSI(Input, period, smooth);
}
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
public RSI RSI(Data.IDataSeries input, int period, int smooth)
{
checkRSI.Period = period;
period = checkRSI.Period;
checkRSI.Smooth = smooth;
smooth = checkRSI.Smooth;
if (cacheRSI != null)
for (int idx = 0; idx < cacheRSI.Length; idx++)
if (cacheRSI[idx].Period == period && cacheRSI[idx].Smooth == smooth && cacheRSI[idx].EqualsInput(input))
return cacheRSI[idx];
RSI indicator = new RSI();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
indicator.Input = input;
indicator.Period = period;
indicator.Smooth = smooth;
indicator.SetUp();
RSI[] tmp = new RSI[cacheRSI == null ? 1 : cacheRSI.Length + 1];
if (cacheRSI != null)
cacheRSI.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheRSI = tmp;
Indicators.Add(indicator);
return indicator;
}
}
}
// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
public partial class Column : ColumnBase
{
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.RSI RSI(int period, int smooth)
{
return _indicator.RSI(Input, period, smooth);
}
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
public Indicator.RSI RSI(Data.IDataSeries input, int period, int smooth)
{
return _indicator.RSI(input, period, smooth);
}
}
}
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.RSI RSI(int period, int smooth)
{
return _indicator.RSI(Input, period, smooth);
}
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
public Indicator.RSI RSI(Data.IDataSeries input, int period, int smooth)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");
return _indicator.RSI(input, period, smooth);
}
}
}
#endregion
//
// Copyright (C) 2006, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
//
#region Using declarations
using System;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.ComponentModel;
using System.Xml.Serialization;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
[Description("The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.")]
public class RSI : Indicator
{
#region Variables
private DataSeries avgUp;
private DataSeries avgDown;
private DataSeries down;
private int period = 14;
private int smooth = 3;
private DataSeries up;
#endregion
/// <summary>
/// This method is used to configure the indicator and is called once before any bar data is loaded.
/// </summary>
protected override void Initialize()
{
Add(new Plot(Color.Green, "RSI"));
Add(new Plot(Color.Orange, "WMA"));
Add(new Line(System.Drawing.Color.DarkViolet, 30, "Lower"));
Add(new Line(System.Drawing.Color.YellowGreen, 70, "Upper"));
avgUp = new DataSeries(this);
avgDown = new DataSeries(this);
down = new DataSeries(this);
up = new DataSeries(this);
PriceTypeSupported = true;
}
/// <summary>
/// Calculates the indicator value(s) at the current index.
/// </summary>
protected override void OnBarUpdate()
{
if (CurrentBar == 0)
{
down.Set(0);
up.Set(0);
return;
}
down.Set(Math.Max(Input[1] - Input[0], 0));
up.Set(Math.Max(Input[0] - Input[1], 0));
if ((CurrentBar + 1) < Period)
{
if ((CurrentBar + 1) == (Period - 1))
Avg.Set(50);
return;
}
if ((CurrentBar + 1) == Period)
{
// First averages
avgDown.Set(SMA(down, Period)[0]);
avgUp.Set(SMA(up, Period)[0]);
}
else
{
// Rest of averages are smoothed
avgDown.Set((avgDown[1] * (Period - 1) + down[0]) / Period);
avgUp.Set((avgUp[1] * (Period - 1) + up[0]) / Period);
}
double rs = avgUp[0] / (avgDown[0] == 0 ? 1 : avgDown[0]);
double rsi = 100 - (100 / (1 + rs));
double rsiAvg = (2.0 / (1 + Smooth)) * rsi + (1 - (2.0 / (1 + Smooth))) * Avg[1];
Avg.Set(rsiAvg);
Value.Set(rsi);
}
#region Properties
/// <summary>
/// </summary>
[Browsable(false)]
[XmlIgnore()]
public DataSeries Avg
{
get { return Values[1]; }
}
/// <summary>
/// </summary>
[Browsable(false)]
[XmlIgnore()]
public DataSeries Default
{
get { return Values[0]; }
}
/// <summary>
/// </summary>
[Description("Numbers of bars used for calculations")]
[Category("Parameters")]
public int Period
{
get { return period; }
set { period = Math.Max(2, value); }
}
/// <summary>
/// </summary>
[Description("Number of bars for smoothing")]
[Category("Parameters")]
public int Smooth
{
get { return smooth; }
set { smooth = Math.Max(1, value); }
}
#endregion
}
}
#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
public partial class Indicator : IndicatorBase
{
private RSI[] cacheRSI = null;
private static RSI checkRSI = new RSI();
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
public RSI RSI(int period, int smooth)
{
return RSI(Input, period, smooth);
}
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
public RSI RSI(Data.IDataSeries input, int period, int smooth)
{
checkRSI.Period = period;
period = checkRSI.Period;
checkRSI.Smooth = smooth;
smooth = checkRSI.Smooth;
if (cacheRSI != null)
for (int idx = 0; idx < cacheRSI.Length; idx++)
if (cacheRSI[idx].Period == period && cacheRSI[idx].Smooth == smooth && cacheRSI[idx].EqualsInput(input))
return cacheRSI[idx];
RSI indicator = new RSI();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
indicator.Input = input;
indicator.Period = period;
indicator.Smooth = smooth;
indicator.SetUp();
RSI[] tmp = new RSI[cacheRSI == null ? 1 : cacheRSI.Length + 1];
if (cacheRSI != null)
cacheRSI.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheRSI = tmp;
Indicators.Add(indicator);
return indicator;
}
}
}
// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
public partial class Column : ColumnBase
{
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.RSI RSI(int period, int smooth)
{
return _indicator.RSI(Input, period, smooth);
}
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
public Indicator.RSI RSI(Data.IDataSeries input, int period, int smooth)
{
return _indicator.RSI(input, period, smooth);
}
}
}
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.RSI RSI(int period, int smooth)
{
return _indicator.RSI(Input, period, smooth);
}
/// <summary>
/// The RSI (Relative Strength Index) is a price-following oscillator that ranges between 0 and 100.
/// </summary>
/// <returns></returns>
public Indicator.RSI RSI(Data.IDataSeries input, int period, int smooth)
{
if (InInitialize && input == null)
throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");
return _indicator.RSI(input, period, smooth);
}
}
}
#endregion
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