ninjatrader/strategies/TrendBreakout.cs

#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;
using NinjaTrader.Gui.PropertiesTest;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
    public class TrendBreakout : Strategy
    {
        private ATR atr;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Taken from Chapter 3 of Kaufman Constructs Trading Systems";
                Name = "Trend Breakout";
                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;

                Period = 120;
                ATRPeriod = 14;
                ATRMultiplier = 2;
            }
            else if (State == State.DataLoaded)
            {
                atr = ATR(ATRPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Period)
                return;

            double highestHigh = MAX(High, Period)[1];
            double lowestLow = MIN(Low, Period)[1];

            /*double atrValue = atr[0];
            double stopLoss = ATRMultiplier * atrValue;
            double profitTarget = ATRMultiplier * atrValue;*/

            if (Close[0] > highestHigh)
            {
                EnterLong();
                //SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
                //SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
            }

            /*if (Close[0] < lowestLow)
            {
                EnterShort();
                SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
                SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
            }*/

            if (Position.MarketPosition == MarketPosition.Long && Close[0] < lowestLow)
                ExitLong();
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        #region Properties
        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Period", Description = "Period for highest high and lowest low", Order = 1, GroupName = "Trend Breakout")]
        public int Period { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Period", GroupName = "Trend Breakout", Order = 2)]
        public int ATRPeriod { get; set; }

        [Range(0.1, double.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Multiplier", GroupName = "Trend Breakout", Order = 3)]
        public double ATRMultiplier { get; set; }
        #endregion
    }
}