ninjatrader/strategies/CaptainBacktestModel.cs

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#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
public class CaptainBacktestModel : Strategy
{
private const int LongBias = 1;
private const int NeutralBias = 0;
private const int ShortBias = -1;
private Series<double> RangeHigh;
private Series<double> RangeLow;
private Series<int> Bias;
private Series<bool> OppositeCandleClose;
private Series<bool> NewHighOrLow;
private Series<bool> IsLong;
private Series<bool> IsShort;
private Series<bool> InPriceRangeWindow;
private Series<bool> InBiasWindow;
private Series<bool> InTradeWindow;
private int NumberOfTradesAtSessionStart = 0;
private class PriceRange
{
public double High { get; set; }
public double Low { get; set; }
}
private Dictionary<DateTime, PriceRange> PriceRanges = new Dictionary<DateTime, PriceRange>();
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "Captain Backtest Model";
Description = @"Credit to @tradeforopp";
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;
PriceRangeWindowStart = 030000;
PriceRangeWindowEnd = 070000;
BiasWindowStart = 070000;
BiasWindowEnd = 081500;
TradeWindowStart = 070000;
TradeWindowEnd = 130000;
WaitForOppositeCandleClose = true;
WaitForNewHighOrLow = true;
UseStopOrders = false;
UseFixedRiskReward = true;
Risk = 25.0;
Reward = 75.0;
}
else if (State == State.Configure)
{
RangeHigh = new Series<double>(this);
RangeLow = new Series<double>(this);
Bias = new Series<int>(this);
OppositeCandleClose = new Series<bool>(this);
NewHighOrLow = new Series<bool>(this);
IsLong = new Series<bool>(this);
IsShort = new Series<bool>(this);
InPriceRangeWindow = new Series<bool>(this);
InBiasWindow = new Series<bool>(this);
InTradeWindow = new Series<bool>(this);
}
else if (State == State.Historical)
{
SetZOrder(-1); // Display behind bars on chart.
}
}
protected override void OnBarUpdate()
{
if (CurrentBar < 3)
return;
SetProfitTarget(Name, CalculationMode.Ticks, Reward / TickSize);
SetStopLoss(Name, CalculationMode.Ticks, Risk / TickSize, false);
RangeHigh[0] = RangeHigh[1];
RangeLow[0] = RangeLow[1];
Bias[0] = Bias[1];
OppositeCandleClose[0] = OppositeCandleClose[1];
NewHighOrLow[0] = NewHighOrLow[1];
IsLong[0] = IsLong[1];
IsShort[0] = IsShort[1];
InPriceRangeWindow[0] = CurrentlyInWindow(PriceRangeWindowStart, PriceRangeWindowEnd);
if (InPriceRangeWindow[0])
ProcessPriceRangeWindow();
else if (InPriceRangeWindow[1])
ResetTradeConditions(); // On exit of price range window.
InBiasWindow[0] = CurrentlyInWindow(BiasWindowStart, BiasWindowEnd);
if (InBiasWindow[0])
ProcessBiasWindow();
else if (InBiasWindow[1])
{
if (NeutralBias == Bias[0])
Draw.Text(this, CurrentBar + " No Trade", "No Trade Taken", 0, High[0]);
}
InTradeWindow[0] = CurrentlyInWindow(TradeWindowStart, TradeWindowEnd);
if (!TradeTaken() && InTradeWindow[0])
ProcessTradeWindow();
else if (!InTradeWindow[0] && InTradeWindow[1])
{
ExitLong();
ExitShort();
}
}
private bool CurrentlyInWindow(int windowStart, int windowEnd)
{
int currentTime = ToTime(Time[0]);
if (windowStart > windowEnd)
return (currentTime >= windowStart) || (currentTime <= windowEnd);
else
return (currentTime >= windowStart) && (currentTime <= windowEnd);
}
private bool TradeTaken()
{
int totalTradesTaken = SystemPerformance.AllTrades.Count;
if (Bars.IsFirstBarOfSession && IsFirstTickOfBar)
NumberOfTradesAtSessionStart = totalTradesTaken;
// Have any trades been taken since the start of the session?
if (totalTradesTaken - NumberOfTradesAtSessionStart > 0)
return true;
return false;
}
private void ProcessPriceRangeWindow()
{
if (CurrentBar > 3)
{
DateTime currentDate = Time[0].Date;
if (!InPriceRangeWindow[1])
{
// First bar in price range window.
RangeHigh[0] = High[0];
RangeLow[0] = Low[0];
PriceRanges[currentDate] = new PriceRange();
}
else
{
RangeHigh[0] = Math.Max(RangeHigh[1], High[0]);
RangeLow[0] = Math.Min(RangeLow[1], Low[0]);
}
PriceRanges[currentDate].High = RangeHigh[0];
PriceRanges[currentDate].Low = RangeLow[0];
}
}
private void ResetTradeConditions()
{
if (CurrentBar > 3)
{
Bias[0] = NeutralBias;
IsLong[0] = false;
IsShort[0] = false;
OppositeCandleClose[0] = false;
NewHighOrLow[0] = false;
}
}
private void ProcessBiasWindow()
{
if (CurrentBar > 3)
{
if ((High[0] > RangeHigh[0]) && (NeutralBias == Bias[0]))
{
Bias[0] = LongBias;
Draw.ArrowUp(this, CurrentBar + " Long Bias", true, 0, Low[0], Brushes.LimeGreen);
}
if ((Low[0] < RangeLow[0]) && (NeutralBias == Bias[0]))
{
Bias[0] = ShortBias;
Draw.ArrowDown(this, CurrentBar + " Short Bias", true, 0, High[0], Brushes.Red);
}
}
}
private void ProcessTradeWindow()
{
if (WaitForOppositeCandleClose)
{
if ((LongBias == Bias[0]) && (Close[0] < Open[0]))
OppositeCandleClose[0] = true;
if ((ShortBias == Bias[0]) && (Close[0] > Open[0]))
OppositeCandleClose[0] = true;
}
else
{
OppositeCandleClose[0] = true;
}
if (WaitForNewHighOrLow)
{
if ((LongBias == Bias[0]) && (Low[0] < Low[1]))
NewHighOrLow[0] = true;
if ((ShortBias == Bias[0]) && (High[0] > High[1]))
NewHighOrLow[0] = true;
}
else
{
NewHighOrLow[0] = true;
}
if (CurrentBar > 3)
{
if ((LongBias == Bias[0]) && (Close[0] > High[1]) && OppositeCandleClose[0] && NewHighOrLow[0] && !IsLong[1])
{
IsLong[0] = true;
if (UseStopOrders)
EnterLongStopMarket(DefaultQuantity, High[0], Name);
else
EnterLong(DefaultQuantity, Name);
}
if ((ShortBias == Bias[0]) && (Close[0] < Low[1]) && OppositeCandleClose[0] && NewHighOrLow[0] && !IsShort[1])
{
IsShort[0] = true;
if (UseStopOrders)
EnterShortStopMarket(DefaultQuantity, Low[0], Name);
else
EnterShort(DefaultQuantity, Name);
}
}
}
protected override void OnRender(ChartControl chartControl, ChartScale chartScale)
{
base.OnRender(chartControl, chartScale);
foreach (var priceRange in PriceRanges)
{
if (priceRange.Value.High == double.MinValue || priceRange.Value.Low == double.MinValue)
continue;
TimeSpan rangeStartTime = ConvertIntToTimeSpan(PriceRangeWindowStart);
TimeSpan rangeEndTime = ConvertIntToTimeSpan(BiasWindowEnd);
int startX = chartControl.GetXByTime(priceRange.Key + rangeStartTime);
int endX = chartControl.GetXByTime(priceRange.Key + rangeEndTime);
int highY = chartScale.GetYByValue(priceRange.Value.High);
RenderTarget.DrawLine(new SharpDX.Vector2(startX, highY), new SharpDX.Vector2(endX, highY),
Brushes.LimeGreen.ToDxBrush(RenderTarget), 3);
int lowY = chartScale.GetYByValue(priceRange.Value.Low);
RenderTarget.DrawLine(new SharpDX.Vector2(startX, lowY), new SharpDX.Vector2(endX, lowY),
Brushes.Red.ToDxBrush(RenderTarget), 3);
}
}
private TimeSpan ConvertIntToTimeSpan(int time)
{
int hours = time / 10000;
int minutes = (time % 10000) / 100;
int seconds = time % 100;
return new TimeSpan(hours, minutes, seconds);
}
public override string DisplayName
{
get { return Name; }
}
#region Properties
[NinjaScriptProperty]
[Range(0, int.MaxValue)]
[Display(Name = "Price Range Window Start", GroupName = "Time", Order = 1)]
public int PriceRangeWindowStart
{ get; set; }
[NinjaScriptProperty]
[Range(0, int.MaxValue)]
[Display(Name = "Price Range Window End", GroupName = "Time", Order = 2)]
public int PriceRangeWindowEnd
{ get; set; }
[NinjaScriptProperty]
[Range(0, int.MaxValue)]
[Display(Name = "Bias Window Start", GroupName = "Time", Order = 3)]
public int BiasWindowStart
{ get; set; }
[NinjaScriptProperty]
[Range(0, int.MaxValue)]
[Display(Name = "Bias Window End", GroupName = "Time", Order = 4)]
public int BiasWindowEnd
{ get; set; }
[NinjaScriptProperty]
[Range(0, int.MaxValue)]
[Display(Name = "Trade Window Start", GroupName = "Time", Order = 5)]
public int TradeWindowStart
{ get; set; }
[NinjaScriptProperty]
[Range(0, int.MaxValue)]
[Display(Name = "Trade Window End", GroupName = "Time", Order = 5)]
public int TradeWindowEnd
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Wait for Opposite Candle Close", GroupName = "Retracement", Order = 1)]
public bool WaitForOppositeCandleClose
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Wait for New High / Low", GroupName = "Retracement", Order = 2)]
public bool WaitForNewHighOrLow
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Use Stop Orders", GroupName = "Risk Management", Order = 1)]
public bool UseStopOrders
{ get; set; }
[NinjaScriptProperty]
[Display(Name = "Use Fixed R:R", GroupName = "Risk Management", Order = 2)]
public bool UseFixedRiskReward
{ get; set; }
[NinjaScriptProperty]
[Range(0, double.MaxValue)]
[Display(Name = "Risk (Points)", GroupName = "Risk Management", Order = 3)]
public double Risk
{ get; set; }
[NinjaScriptProperty]
[Range(0, double.MaxValue)]
[Display(Name = "Reward (Points)", GroupName = "Risk Management", Order = 4)]
public double Reward
{ get; set; }
#endregion
}
}