59 lines
1.9 KiB
C#
59 lines
1.9 KiB
C#
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#region Using declarations
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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 VWAPTrendBot : Strategy
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{
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private VWAP vwap;
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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 = @"Long Above VWAP / Short Below VWAP";
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Name = "VWAP Trend 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 = 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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}
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else if (State == State.DataLoaded)
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{
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vwap = VWAP();
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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 < BarsRequiredToTrade)
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return;
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if (Close[0] > vwap[0])
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EnterLong();
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else if (Close[0] < vwap[0])
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EnterShort();
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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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}
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}
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