93 lines
3.2 KiB
C#
93 lines
3.2 KiB
C#
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#region Using declarations
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using System;
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using System.ComponentModel.DataAnnotations;
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using NinjaTrader.Cbi;
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using NinjaTrader.NinjaScript.Indicators;
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#endregion
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//This namespace holds Strategies in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class TrendFollowing : Strategy
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{
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private ATR atr;
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private MovingAverage movingAverage;
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Description = @"Determines trend based on moving average slope, takes longs only";
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Name = "Trend Following";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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EntryHandling = EntryHandling.AllEntries;
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IsExitOnSessionCloseStrategy = true;
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ExitOnSessionCloseSeconds = 30;
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IsFillLimitOnTouch = false;
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MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
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OrderFillResolution = OrderFillResolution.Standard;
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Slippage = 0;
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StartBehavior = StartBehavior.WaitUntilFlat;
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TimeInForce = TimeInForce.Gtc;
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TraceOrders = false;
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RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
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StopTargetHandling = StopTargetHandling.PerEntryExecution;
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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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MovingAveragePeriod = 100;
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TakeProfit = false;
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ATRPeriod = 14;
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ATRMultiplier = 2;
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}
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else if (State == State.DataLoaded)
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{
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atr = ATR(ATRPeriod);
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movingAverage = MovingAverage(MovingAveragePeriod);
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}
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}
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protected override void OnBarUpdate()
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{
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if (CurrentBar < Math.Max(MovingAveragePeriod, ATRPeriod))
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return;
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double atrValue = atr[0];
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double profitTarget = ATRMultiplier * atrValue;
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if (movingAverage[0] > movingAverage[1])
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{
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EnterLong();
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if (TakeProfit)
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SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
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}
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else if (movingAverage[0] < movingAverage[1])
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{
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ExitLong();
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}
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "Moving Average Period", GroupName = "Trend Following", Order = 1)]
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public int MovingAveragePeriod { get; set; }
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[Display(Name = "Take Profit", GroupName = "Trend Following", Order = 2)]
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public bool TakeProfit { get; set; }
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "ATR Period", GroupName = "Trend Following", Order = 3)]
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public int ATRPeriod { get; set; }
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[Range(0.1, double.MaxValue), NinjaScriptProperty]
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[Display(Name = "ATR Multiplier", GroupName = "Trend Following", Order = 4)]
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public double ATRMultiplier { get; set; }
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}
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}
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