ninjatrader/strategies/knife-catcher/KnifeCatcherBot.cs

#region Using declarations
using NinjaTrader.Cbi;
using System.ComponentModel.DataAnnotations;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    public class KnifeCatcherBot : Strategy
    {
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Strategy taken from chapter 3 of Short Term Trading Strategies That Work";
                Name = "Knife Catcher 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;

                DownDayStreak = 3;
                BarsToExit = 5;
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < 3)
                return;

            bool isFallingKnife = true;
            for (int i = 0; i < DownDayStreak; i++)
            {
                if (Close[i] >= Close[i + 1])
                {
                    isFallingKnife = false;
                    break;
                }
            }

            if (isFallingKnife)
                EnterLong();

            if (BarsSinceEntryExecution() >= BarsToExit)
                ExitLong();
        }

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

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Down Day Streak", GroupName = "Knife Catcher Bot", Order = 1)]
        public int DownDayStreak { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Bars to Exit", GroupName = "Knife Catcher Bot", Order = 2)]
        public int BarsToExit { get; set; }
    }
}