ninjatrader/strategies/%b/PercentBBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class PercentBBot : Strategy
    {
        private SMA longTermTrend;
        private PercentB percentB;

        private bool hasAggressiveLongEntry = false;
        private bool hasAggressiveShortEntry = false;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "%B Bot";
                Description = @"Taken from chapter 5 of High Probability ETF Trading (2009) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 2;

                LongTermTrendPeriod = 200;
                PercentBPeriod = 5;
                PercentBStandardDeviations = 1.0;
                ConsecutiveDays = 3;
                EnableLongTrades = true;
                LongEntry = 0.2;
                LongExit = 0.8;
                EnableShortTrades = true;
                ShortEntry = 0.8;
                ShortExit = 0.2;
                EnableAggressiveEntries = true;
            }
            else if (State == State.DataLoaded)
            {
                longTermTrend = SMA(LongTermTrendPeriod);
                percentB = PercentB(PercentBPeriod, PercentBStandardDeviations);

                AddChartIndicator(longTermTrend);
                AddChartIndicator(percentB);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Math.Max(LongTermTrendPeriod, PercentBPeriod) + ConsecutiveDays)
                return;

            if (EnableLongTrades)
            {
                if (Position.MarketPosition == MarketPosition.Long && percentB[0] > LongExit)
                    ExitLong();
                else if (Close[0] > longTermTrend[0])
                {
                    if (ConsecutiveBelow(LongEntry, ConsecutiveDays) && Position.MarketPosition == MarketPosition.Flat)
                        EnterLong();

                    if (EnableAggressiveEntries && Position.MarketPosition == MarketPosition.Long && percentB[0] < LongEntry)
                        EnterLong();
                }
            }

            if (EnableShortTrades)
            {
                if (Position.MarketPosition == MarketPosition.Short && percentB[0] < ShortExit)
                    ExitShort();
                else if (Close[0] < longTermTrend[0])
                {
                    if (ConsecutiveAbove(ShortEntry, ConsecutiveDays) && Position.MarketPosition == MarketPosition.Flat)
                        EnterShort();

                    if (EnableAggressiveEntries && Position.MarketPosition == MarketPosition.Short && percentB[0] > ShortEntry)
                        EnterShort();
                }
            }
        }

        private bool ConsecutiveBelow(double threshold, int days)
        {
            for (int i = 0; i < days; i++)
            {
                if (percentB[i] >= threshold)
                    return false;
            }
            return true;
        }

        private bool ConsecutiveAbove(double threshold, int days)
        {
            for (int i = 0; i < days; i++)
            {
                if (percentB[i] <= threshold)
                    return false;
            }
            return true;
        }

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

        #region Properties

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Long-Term Trend Period", GroupName = "%B Bot", Order = 1)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "%B Period", GroupName = "%B Bot", Order = 2)]
        public int PercentBPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name = "%B Standard Deviations", GroupName = "%B Bot", Order = 3)]
        public double PercentBStandardDeviations { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Consecutive Days", GroupName = "%B Bot", Order = 4)]
        public int ConsecutiveDays { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Long Trades", GroupName = "%B Bot", Order = 5)]
        public bool EnableLongTrades { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 1.0)]
        [Display(Name = "Long %B Entry", GroupName = "%B Bot", Order = 6)]
        public double LongEntry { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 1.0)]
        [Display(Name = "Long %B Exit", GroupName = "%B Bot", Order = 7)]
        public double LongExit { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Short Trades", GroupName = "%B Bot", Order = 8)]
        public bool EnableShortTrades { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 1.0)]
        [Display(Name = "Short %B Entry", GroupName = "%B Bot", Order = 9)]
        public double ShortEntry { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 1.0)]
        [Display(Name = "Short %B Exit", GroupName = "%B Bot", Order = 10)]
        public double ShortExit { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Aggressive Entries", GroupName = "%B Bot", Order = 11)]
        public bool EnableAggressiveEntries { get; set; }

        #endregion
    }
}