92 lines
2.9 KiB
C#
92 lines
2.9 KiB
C#
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#region Using declarations
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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 AdvanceDeclineRatioBot : Strategy
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{
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private const int PrimaryBars = 0;
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private const int AdvanceBars = 1;
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private const int DeclineBars = 2;
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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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Name = "Advance / Decline Bot";
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Description = @"Based on chatper 5 (Market Breadth) of How Markets Really Work (2012) by Larry Connors";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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Advances = 1.0;
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Declines = 2.0;
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LongTermTrendPeriod = 200;
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DaysToExit = 5;
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}
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else if (State == State.Configure)
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{
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AddDataSeries("^ADV");
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AddDataSeries("^DECL");
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}
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else if (State == State.DataLoaded)
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{
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LongTermTrend = SMA(LongTermTrendPeriod);
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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 (PrimaryBars != BarsInProgress)
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return;
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if (CurrentBars[AdvanceBars] < 1 || CurrentBars[DeclineBars] < 1)
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return;
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if (Close[0] < LongTermTrend[0])
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return;
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double advances = BarsArray[AdvanceBars].GetClose(BarsArray[AdvanceBars].GetBar(Time[0]));
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double declines = BarsArray[DeclineBars].GetClose(BarsArray[DeclineBars].GetBar(Time[0]));
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if (Advances >= Declines)
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{
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if ((advances / declines) >= (Advances / Declines))
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EnterLong();
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}
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else
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{
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if ((declines / advances) >= (Declines / Advances))
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EnterLong();
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}
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if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
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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 = "Advances", GroupName = "Advance / Decline Bot", Order = 1)]
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public double Advances { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Declines", GroupName = "Advance / Decline Bot", Order = 2)]
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public double Declines { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long-Term Trend Period", GroupName = "Advance / Decline Bot", Order = 3)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Days to Exit", GroupName = "Advance / Decline Bot", Order = 4)]
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public int DaysToExit { get; set; }
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}
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}
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