111 lines
3.9 KiB
C#
111 lines
3.9 KiB
C#
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#region Using declarations
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using NinjaTrader.Cbi;
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using NinjaTrader.Data;
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using NinjaTrader.NinjaScript.Indicators;
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using System;
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using System.ComponentModel.DataAnnotations;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class TripleMovingAverageSlopeBot : Strategy
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{
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private EMA fastMA;
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private EMA mediumMA;
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private EMA slowMA;
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private SMA longTermTrend;
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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 = @"";
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Name = "Triple Moving Average Slope Bot";
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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 = false;
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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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IsInstantiatedOnEachOptimizationIteration = true;
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FastMAPeriod = 100;
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MediumMAPeriod = 200;
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SlowMAPeriod = 300;
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LongTermTrendPeriod = 20;
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LongOnly = false;
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}
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else if (State == State.Configure)
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{
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AddDataSeries(BarsPeriodType.Day, 1);
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}
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else if (State == State.DataLoaded)
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{
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fastMA = EMA(FastMAPeriod);
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mediumMA = EMA(MediumMAPeriod);
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slowMA = EMA(SlowMAPeriod);
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longTermTrend = SMA(BarsArray[1], LongTermTrendPeriod);
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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 (BarsInProgress != 0)
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return;
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if (CurrentBar < Math.Max(FastMAPeriod, Math.Max(MediumMAPeriod, SlowMAPeriod)))
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return;
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if (CurrentBars[1] < 0)
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return;
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if (fastMA[0] > fastMA[1] && mediumMA[0] > mediumMA[1] && slowMA[0] > slowMA[1] && Close[0] > longTermTrend[0])
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EnterLong();
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else if (fastMA[0] < fastMA[1] && mediumMA[0] < mediumMA[1])
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ExitLong();
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if (!LongOnly)
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{
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if (fastMA[0] < fastMA[1] && mediumMA[0] < mediumMA[1] && slowMA[0] < slowMA[1] && Close[0] < longTermTrend[0])
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EnterShort();
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else if (fastMA[0] > fastMA[1] && mediumMA[0] > mediumMA[1])
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ExitShort();
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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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[NinjaScriptProperty]
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[Display(Name = "Fast MA Period", GroupName = "Triple Moving Average Slope Bot", Order = 1)]
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public int FastMAPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Medium MA Period", GroupName = "Triple Moving Average Slope Bot", Order = 2)]
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public int MediumMAPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Slow MA Period", GroupName = "Triple Moving Average Slope Bot", Order = 3)]
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public int SlowMAPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long Term Trend Period", GroupName = "Triple Moving Average Slope Bot", Order = 4)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long Only", GroupName = "Triple Moving Average Slope Bot", Order = 5)]
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public bool LongOnly { get; set; }
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}
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}
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