107 lines
3.6 KiB
C#
107 lines
3.6 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.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 WilliamsPercentRBot : Strategy
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{
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private WilliamsR williamsR;
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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 = @"Williams %R Bot";
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Name = "Williams %R 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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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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WilliamsPercentRPeriod = 2;
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EntryThreshold = -90;
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ExitThreshold = -30;
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UseNewHighExit = false;
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UseTrendFilter = false;
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TrendFilterPeriod = 20;
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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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williamsR = WilliamsR(WilliamsPercentRPeriod);
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longTermTrend = SMA(BarsArray[1], TrendFilterPeriod);
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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 < WilliamsPercentRPeriod)
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return;
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if (UseTrendFilter && CurrentBars[1] < TrendFilterPeriod)
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return;
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if (williamsR[0] < EntryThreshold)
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{
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if (UseTrendFilter && Close[0] < longTermTrend[0])
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return;
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EnterLong();
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}
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else if (williamsR[0] > ExitThreshold || (UseNewHighExit && Close[0] > High[1]))
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ExitLong();
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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 = "Williams %R Period", GroupName = "Williams %R Bot", Order = 1)]
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public int WilliamsPercentRPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Entry Threshold", GroupName = "Williams %R Bot", Order = 2)]
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public int EntryThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Exit Threshold", GroupName = "Williams %R Bot", Order = 3)]
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public int ExitThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Use New High Exit", GroupName = "Williams %R Bot", Order = 4)]
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public bool UseNewHighExit { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Use Trend Filter", GroupName = "Williams %R Bot", Order = 5)]
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public bool UseTrendFilter { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Trend Filter Period", GroupName = "Williams %R Bot", Order = 6)]
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public int TrendFilterPeriod { get; set; }
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}
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}
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