ninjatrader/strategies/internal-bar-strength-band/InternalBarStrengthBandBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class InternalBarStrengthBandBot : Strategy
    {
        private InternalBarStrength ibs;
        private MAX highestHigh;
        private SMA highMinusLowAverage;
        private SMA sma;

        private Series<double> highMinusLow;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Long only bot which bases trades on internal bar strength and lower band condition";
                Name = "Internal Bar Strength Band Bot";
                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;

                LowerBandMultiplier = 2.5;
                IBSEntryThreshold = 0.3;
            }
            else if (State == State.DataLoaded)
            {
                highMinusLow = new Series<double>(this);

                ibs = InternalBarStrength();
                highestHigh = MAX(High, 10);
                highMinusLowAverage = SMA(highMinusLow, 25);
                sma = SMA(200); // Regime filter.
            }
        }

        protected override void OnBarUpdate()
        {
            highMinusLow[0] = High[0] - Low[0];

            if (CurrentBar < BarsRequiredToTrade)
                return;

            double lowerBand = highestHigh[0] - (LowerBandMultiplier * highMinusLowAverage[0]);
            if (Close[0] < lowerBand && ibs[0] < IBSEntryThreshold && Close[0] > sma[0])
                EnterLong();

            if (Close[0] > High[1])
                ExitLong();
        }

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

        [NinjaScriptProperty]
        [Display(Name = "Lower Band Multiplier", GroupName = "Internal Bar Strength Band Bot", Order = 1)]
        public double LowerBandMultiplier { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "IBS Entry Threshold", GroupName = "Internal Bar Strength Band Bot", Order = 2)]
        public double IBSEntryThreshold { get; set; }
    }
}