ATR in NinjaTrader — NinjaScript (C#) Source

ATR in NinjaScript combines a per-bar True Range with Wilder’s recurrence — a good template for any Wilder-smoothed indicator. See the explainer for why the gap terms matter.

What you’ll need

• NinjaTrader 8
• New → NinjaScript Editor → Indicators → New Indicator, name it AlgoGenATR

The source

#region Using declarations
using System;
using System.Windows.Media;
using NinjaTrader.NinjaScript;
using NinjaTrader.NinjaScript.Indicators;
#endregion

namespace NinjaTrader.NinjaScript.Indicators
{
    public class AlgoGenATR : Indicator
    {
        private Series<double> tr;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name        = "AlgoGen ATR";
                Description = "Average True Range (Wilder)";
                Period      = 14;
                IsOverlay   = false;

                AddPlot(new Stroke(Brushes.OrangeRed, 2), PlotStyle.Line, "ATR");
            }
            else if (State == State.DataLoaded)
            {
                tr = new Series<double>(this);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar == 0)
            {
                tr[0]    = High[0] - Low[0];
                Value[0] = tr[0];
                return;
            }

            double hl = High[0] - Low[0];
            double hc = Math.Abs(High[0] - Close[1]);
            double lc = Math.Abs(Low[0]  - Close[1]);
            tr[0] = Math.Max(hl, Math.Max(hc, lc));

            if (CurrentBar < Period)
            {
                // Simple average of TR until the window fills (the Wilder seed).
                double sum = 0;
                for (int i = 0; i < CurrentBar + 1; i++) sum += tr[i];
                Value[0] = sum / (CurrentBar + 1);
            }
            else
            {
                Value[0] = (Value[1] * (Period - 1) + tr[0]) / Period;   // Wilder
            }
        }

        #region Properties
        [NinjaScriptProperty]
        [System.ComponentModel.DataAnnotations.Range(1, int.MaxValue)]
        [System.ComponentModel.Display(Name = "Period", GroupName = "Parameters", Order = 0)]
        public int Period { get; set; }
        #endregion
    }
}

Compile & apply

1. Press F5 to compile.
2. Add AlgoGen ATR to a chart; it draws in its own panel, matching the output chart.

Gotchas

• Close[1] gap terms. The hc/lc terms compare to the prior close — that’s what makes it True Range rather than plain high−low.
• tr as a Series. Storing True Range in a Series<double> lets the seed loop look back over tr[i] and survives reloads.
• Wilder recurrence. (Value[1] * (Period-1) + tr[0]) / Period is Wilder’s smoothing; using a simple rolling mean instead gives a different ATR variant.
• Bar-0 seed. On the very first bar there’s no Close[1], so True Range is just High[0] - Low[0]; the early-return handles it before the gap terms run.
• Using it in a strategy. Read Value[0] for the current ATR and size with DollarRisk / (mult * Value[0]), mirroring the sizing rule in the EasyLanguage post — the whole reason to compute ATR at all.

That’s the five-language set: Python, MQL5, Pine Script, EasyLanguage, and this one. Now use ATR for stops and sizing in AlgoGen.

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This post is educational, not financial advice. Indicators describe the past; they don’t predict the future. Backtest anything before you risk real money on it.