ninjatrader/strategies/ThreeCandleReversalBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class ThreeCandleReversalBot : Strategy
    {
        private ThreeCandleReversal threeCandleReversal;
        private ATR atr;
        private OpeningRange openingRange;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Credit to @BestForexMethod";
                Name = "3CR 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;

                ThreeCandleReversalLookback = 5;
                ATRPeriod = 10;
                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)
            {
                threeCandleReversal = ThreeCandleReversal(ThreeCandleReversalLookback);
                atr = ATR(ATRPeriod);
                openingRange = OpeningRange(5, OpeningRangeBarType.Minutes);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0)
                return;

            if (CurrentBar < BarsRequiredToTrade)
                return;

            if (threeCandleReversal.DetectedPatterns[0] != null)
            {
                double atrValue = atr[0];
                double stopLoss = ATRMultiplier * atrValue;
                double profitTarget = ATRMultiplier * atrValue;

                SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
                SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);

                if (threeCandleReversal.DetectedPatterns[0].IsSwingHigh &&
                    openingRange.ORL[0] > 0.0 && Close[0] < openingRange.ORL[0])
                {
                    EnterShort();
                }
                else if (threeCandleReversal.DetectedPatterns[0].IsSwingLow &&
                    openingRange.ORH[0] > 0.0 && Close[0] > openingRange.ORH[0])
                {
                    EnterLong();
                }
            }
        }

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

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "3CR Lookback", GroupName = "3CR Bot", Order = 1)]
        public int ThreeCandleReversalLookback { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Period", GroupName = "3CR Bot", Order = 2)]
        public int ATRPeriod { get; set; }

        [Range(0.1, double.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Multiplier", GroupName = "3CR Bot", Order = 3)]
        public double ATRMultiplier { get; set; }
    }
}