80 lines
2.6 KiB
C#
80 lines
2.6 KiB
C#
|
#region Using declarations
|
||
|
|
using System;
|
||
|
|
using System.Collections.Generic;
|
||
|
|
using System.ComponentModel;
|
||
|
|
using System.ComponentModel.DataAnnotations;
|
||
|
|
using System.Linq;
|
||
|
|
using System.Text;
|
||
|
|
using System.Threading.Tasks;
|
||
|
|
using System.Windows;
|
||
|
|
using System.Windows.Input;
|
||
|
|
using System.Windows.Media;
|
||
|
|
using System.Xml.Serialization;
|
||
|
|
using NinjaTrader.Cbi;
|
||
|
|
using NinjaTrader.Gui;
|
||
|
|
using NinjaTrader.Gui.Chart;
|
||
|
|
using NinjaTrader.Gui.SuperDom;
|
||
|
|
using NinjaTrader.Gui.Tools;
|
||
|
|
using NinjaTrader.Data;
|
||
|
|
using NinjaTrader.NinjaScript;
|
||
|
|
using NinjaTrader.Core.FloatingPoint;
|
||
|
|
using NinjaTrader.NinjaScript.Indicators;
|
||
|
|
using NinjaTrader.NinjaScript.DrawingTools;
|
||
|
|
#endregion
|
||
|
|
|
||
|
|
//This namespace holds Strategies in this folder and is required. Do not change it.
|
||
|
|
namespace NinjaTrader.NinjaScript.Strategies
|
||
|
|
{
|
||
|
|
public class MovingAverageCrossover : Strategy
|
||
|
|
{
|
||
|
|
private EMA fastMA;
|
||
|
|
private EMA slowMA;
|
||
|
|
|
||
|
|
protected override void OnStateChange()
|
||
|
|
{
|
||
|
|
if (State == State.SetDefaults)
|
||
|
|
{
|
||
|
|
Description = @"Moving Average Crossover";
|
||
|
|
Name = "Moving Average Crossover";
|
||
|
|
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;
|
||
|
|
}
|
||
|
|
else if (State == State.Configure)
|
||
|
|
{
|
||
|
|
fastMA = EMA(3);
|
||
|
|
slowMA = EMA(17);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
protected override void OnBarUpdate()
|
||
|
|
{
|
||
|
|
if (CurrentBar < BarsRequiredToTrade)
|
||
|
|
return;
|
||
|
|
|
||
|
|
if (CrossAbove(fastMA, slowMA, 1))
|
||
|
|
{
|
||
|
|
if (Position.MarketPosition != MarketPosition.Long)
|
||
|
|
EnterLong();
|
||
|
|
}
|
||
|
|
else if (CrossBelow(fastMA, slowMA, 1))
|
||
|
|
{
|
||
|
|
if (Position.MarketPosition != MarketPosition.Short)
|
||
|
|
EnterShort();
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|
||
|
|
}
|