102 lines
3.6 KiB
C#
102 lines
3.6 KiB
C#
|
#region Using declarations
|
||
|
|
using NinjaTrader.Cbi;
|
||
|
|
using NinjaTrader.NinjaScript.Indicators;
|
||
|
|
using System;
|
||
|
|
using System.ComponentModel.DataAnnotations;
|
||
|
|
#endregion
|
||
|
|
|
||
|
|
namespace NinjaTrader.NinjaScript.Strategies
|
||
|
|
{
|
||
|
|
public class FirstCrossBot : Strategy
|
||
|
|
{
|
||
|
|
private SMA fastMA;
|
||
|
|
private SMA slowMA;
|
||
|
|
private SMA oscillatorMA;
|
||
|
|
|
||
|
|
private Series<double> oscillator;
|
||
|
|
|
||
|
|
protected override void OnStateChange()
|
||
|
|
{
|
||
|
|
if (State == State.SetDefaults)
|
||
|
|
{
|
||
|
|
Description = @"Taken from chapter 24 of Kaufman Constructs Trading Systems";
|
||
|
|
Name = "1st Cross Bot";
|
||
|
|
Calculate = Calculate.OnBarClose;
|
||
|
|
EntriesPerDirection = 1;
|
||
|
|
EntryHandling = EntryHandling.AllEntries;
|
||
|
|
IsExitOnSessionCloseStrategy = true;
|
||
|
|
ExitOnSessionCloseSeconds = 30;
|
||
|
|
IsFillLimitOnTouch = false;
|
||
|
|
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
|
||
|
|
OrderFillResolution = OrderFillResolution.Standard;
|
||
|
|
Slippage = 0;
|
||
|
|
StartBehavior = StartBehavior.WaitUntilFlat;
|
||
|
|
TimeInForce = TimeInForce.Gtc;
|
||
|
|
TraceOrders = false;
|
||
|
|
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
|
||
|
|
StopTargetHandling = StopTargetHandling.PerEntryExecution;
|
||
|
|
BarsRequiredToTrade = 20;
|
||
|
|
IsInstantiatedOnEachOptimizationIteration = true;
|
||
|
|
|
||
|
|
FastPeriod = 17;
|
||
|
|
SlowPeriod = 45;
|
||
|
|
OscillatorPeriod = 5;
|
||
|
|
LongOnly = true;
|
||
|
|
}
|
||
|
|
else if (State == State.Configure)
|
||
|
|
{
|
||
|
|
}
|
||
|
|
else if (State == State.DataLoaded)
|
||
|
|
{
|
||
|
|
fastMA = SMA(FastPeriod);
|
||
|
|
slowMA = SMA(SlowPeriod);
|
||
|
|
|
||
|
|
oscillator = new Series<double>(this);
|
||
|
|
oscillatorMA = SMA(oscillator, OscillatorPeriod);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
protected override void OnBarUpdate()
|
||
|
|
{
|
||
|
|
if (CurrentBar < Math.Max(FastPeriod, Math.Max(SlowPeriod, OscillatorPeriod)))
|
||
|
|
return;
|
||
|
|
|
||
|
|
oscillator[0] = fastMA[0] - slowMA[0];
|
||
|
|
|
||
|
|
bool isCrossAbove = CrossAbove(oscillator, oscillatorMA, 1);
|
||
|
|
bool isCrossBelow = CrossBelow(oscillator, oscillatorMA, 1);
|
||
|
|
|
||
|
|
if (isCrossAbove && Low[0] > Low[1])
|
||
|
|
EnterLong();
|
||
|
|
else if (isCrossBelow && High[0] < High[1] && !LongOnly)
|
||
|
|
EnterShort();
|
||
|
|
|
||
|
|
if (Position.MarketPosition == MarketPosition.Long && isCrossBelow)
|
||
|
|
ExitLong();
|
||
|
|
else if (Position.MarketPosition == MarketPosition.Short && isCrossAbove)
|
||
|
|
ExitShort();
|
||
|
|
}
|
||
|
|
|
||
|
|
public override string DisplayName
|
||
|
|
{
|
||
|
|
get { return Name; }
|
||
|
|
}
|
||
|
|
|
||
|
|
[Range(1, int.MaxValue), NinjaScriptProperty]
|
||
|
|
[Display(Name = "Fast Period", GroupName = "1st Cross Bot", Order = 1)]
|
||
|
|
public int FastPeriod { get; set; }
|
||
|
|
|
||
|
|
[Range(1, int.MaxValue), NinjaScriptProperty]
|
||
|
|
[Display(Name = "Slow Period", GroupName = "1st Cross Bot", Order = 2)]
|
||
|
|
public int SlowPeriod { get; set; }
|
||
|
|
|
||
|
|
[Range(1, int.MaxValue), NinjaScriptProperty]
|
||
|
|
[Display(Name = "Oscillator Period", GroupName = "1st Cross Bot", Order = 3)]
|
||
|
|
public int OscillatorPeriod { get; set; }
|
||
|
|
|
||
|
|
[NinjaScriptProperty]
|
||
|
|
[Display(Name = "Long Only", GroupName = "1st Cross Bot", Order = 4)]
|
||
|
|
public bool LongOnly { get; set; }
|
||
|
|
}
|
||
|
|
}
|