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Average heikin ashi closing price

Heikin ashi, Japanese for “average bar”, is a technique using a special kind of candle stick bars for better visualizing price trends. This technique has been introduced by Dan Valcu in the February 2004 issue of Stocks & Commodities magazine.

The original calculation of the heikin ashi candle stick is as follows:
xClose = (Open+High+Low+Close)/4; or the average price of the current bar
xOpen = [xOpen(Previous Bar) + Close(Previous Bar)]/2; or the midpoint of the previous bar
xHigh = Max(High, xOpen, xClose); the highest value in the set
xLow = Min(Low, xOpen, xClose); the lowest value in the set

However, since the xClose component is always less than or equal to the High component, it is redundant within the MAX function of xHigh and a modified xHigh can be defined as: 
modified xHigh = Max(High, xOpen);
The same reasoning is valid for the xLow function:
modified xLow = Min(Low, xOpen);

Next I calculate the average heikin ashi closing price as the result of:
(xClose+xOpen+xHigh+xLow)/4

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You can use the following NinjaTrader formula to calculate
the heikin ashi closing price (SVEhaClose):

// SVEhaClose is Copyright (C) 2013, Sylvain Vervoort <stocata.org>.
// stocata.org reserves the right to modify/overwrite this NinjaScript
// with each release.
// Release V1.0 July, 2012.

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
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 average heikin-ashi closing price.
/// </summary>
[Description("The average heikin-ashi closing price")]
public class SVEhaClose : Indicator
{
    #region Variables

       private DataSeries         haOpen;       // heikin ashi open price
       private DataSeries         haC;          // heikin ashi closing price

    #endregion

    /// <summary>
    /// Configuring the indicator called once before any bar data.
    /// </summary>
    protected override void Initialize()
    { 
              Add(new Plot(Color.Black, "haC"));
              haOpen        = new DataSeries(this);
              haC           = new DataSeries(this);
             
              PaintPriceMarkers    = false;
              Overlay              = true;
    }

    /// <summary>
    /// Called on each bar update event (incoming tick)
    /// </summary>
    protected override void OnBarUpdate()
    { 
      if (CurrentBar < 1) // minimum 2 bars required
             return;
             
      // Create average heikin-ashi closing price
      haOpen.Set((((Open[1] + High[1] + Low[1] + Close[1]) / 4) + haOpen[1]) / 2);
           Value.Set(((Open[0] + High[0] + Low[0] + Close[0]) / 4 + haOpen[0] +
           Math.Max(High[0], haOpen[0]) + Math.Min(Low[0], haOpen[0])) / 4);
    }

#region Properties

#endregion
}
}

 

Download SVEhaClose

 

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The heikin ashi average closing prices (black) smoothing effect compared to the real closing prices (red).

 

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