72 lines
2.1 KiB
C#
72 lines
2.1 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 PutCallRatioHighs : Strategy
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{
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private const int PrimaryBars = 0;
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private PutCallRatio PCR;
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private MAX PCRHighs;
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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 = "Put / Call Ratio Highs";
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Description = @"Based on chatper 9 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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HighPeriod = 5;
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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("VPOT");
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AddDataSeries("VCOT");
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}
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else if (State == State.DataLoaded)
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{
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PCR = PutCallRatio();
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PCRHighs = MAX(PCR, HighPeriod);
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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 (PCR[0] == PCRHighs[0] && Close[0] > LongTermTrend[0])
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EnterLong();
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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 = "High Period", GroupName = "Put / Call Ratio Highs", Order = 1)]
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public int HighPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long-Term Trend Period", GroupName = "Put / Call Ratio Highs", Order = 2)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Days to Exit", GroupName = "Put / Call Ratio Highs", Order = 3)]
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public int DaysToExit { get; set; }
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}
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}
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