ninjatrader/strategies/MovingAverageCrossoverBot.cs

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

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
    public class MovingAverageCrossoverBot : Strategy
    {
        private MovingAverage ma1;
        private MovingAverage ma2;
        private MovingAverage ma3;
        private ATR atr;
        private OpeningRange openingRange;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"";
                Name = "Moving Average Crossover 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 = 100;
                IsInstantiatedOnEachOptimizationIteration = true;

                MovingAveragePeriod1 = 3;
                MovingAveragePeriod2 = 17;
                MovingAveragePeriod3 = 50;
                ATRPeriod = 14;
                ATRMultiplier = 2;
            }
            else if (State == State.Configure)
            {
                // Data series required by the opening range indicator, must be loaded here.
                AddDataSeries(BarsPeriodType.Minute, 1);
                AddDataSeries(Instrument.FullName, BarsPeriod, "US Equities RTH");
            }
            else if (State == State.DataLoaded)
            {
                atr = ATR(ATRPeriod);
                ma1 = MovingAverage(MovingAveragePeriod1);
                ma2 = MovingAverage(MovingAveragePeriod2);
                ma3 = MovingAverage(MovingAveragePeriod3);
                openingRange = OpeningRange(30, OpeningRangeBarType.Minutes);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 1)
                return;

            if (CurrentBar < BarsRequiredToTrade)
                return;

            if (Position.MarketPosition != MarketPosition.Flat)
                return;

            DateTime now = Time[0];
            if (now <= openingRange.GetOpeningRangeEndTime(now))
                return;

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

            if (CrossAbove(ma1, ma2, 1) &&
                //ma2[0] > ma3[0] &&
                openingRange.ORH[0] > 0.0 &&
                Close[0] > openingRange.ORH[0])
            {
                EnterLong();
                SetTrailStop(CalculationMode.Ticks, stopLoss / TickSize);
            }
            else if (CrossBelow(ma1, ma2, 1) &&
                //ma2[0] < ma3[0] &&
                openingRange.ORL[0] > 0.0 &&
                Close[0] < openingRange.ORL[0])
            {
                EnterShort();
                SetTrailStop(CalculationMode.Ticks, stopLoss / TickSize);
            }
        }

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

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Moving Average Period 1", GroupName = "Moving Average Crossover Bot", Order = 1)]
        public int MovingAveragePeriod1 { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Moving Average Period 2", GroupName = "Moving Average Crossover Bot", Order = 2)]
        public int MovingAveragePeriod2 { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Moving Average Period 3", GroupName = "Moving Average Crossover Bot", Order = 3)]
        public int MovingAveragePeriod3 { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Period", GroupName = "Moving Average Crossover Bot", Order = 4)]
        public int ATRPeriod { get; set; }

        [Range(0.1, double.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Multiplier", GroupName = "Moving Average Crossover Bot", Order = 5)]
        public double ATRMultiplier { get; set; }
    }
}