ninjatrader/strategies/3-day-high-low/ThreeDayHighLowBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class ThreeDayHighLowBot : Strategy
    {
        private SMA longTermTrend;
        private SMA shortTermTrend;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "3-Day High / Low Bot";
                Description = @"Taken from chapter 2 of High Probability ETF Trading (2009) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 2;
                IsInstantiatedOnEachOptimizationIteration = false;

                ConsecutiveDays = 3;
                LongTermTrendPeriod = 200;
                ShortTermTrendPeriod = 5;
                EnableLongTrades = true;
                EnableShortTrades = true;
                EnableAggressiveEntries = false;
            }
            else if (State == State.DataLoaded)
            {
                longTermTrend = SMA(LongTermTrendPeriod);
                shortTermTrend = SMA(ShortTermTrendPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Math.Max(LongTermTrendPeriod, ConsecutiveDays + 1))
                return;

            if (EnableLongTrades)
            {
                if (Close[0] > longTermTrend[0] && Close[0] < shortTermTrend[0])
                {
                    if (IsConsecutiveLowerHighsAndLows(ConsecutiveDays))
                    {
                        if (Position.MarketPosition == MarketPosition.Flat)
                            EnterLong();
                        else if (Position.MarketPosition == MarketPosition.Long && Close[0] < Position.AveragePrice 
                            && EnableAggressiveEntries)
                            EnterLong();
                    }
                }

                if (Position.MarketPosition == MarketPosition.Long && Close[0] > shortTermTrend[0])
                    ExitLong();
            }

            if (EnableShortTrades)
            {
                if (Close[0] < longTermTrend[0] && Close[0] > shortTermTrend[0])
                {
                    if (IsConsecutiveHigherHighsAndLows(ConsecutiveDays))
                    {
                        if (Position.MarketPosition == MarketPosition.Flat)
                            EnterShort();
                        else if (Position.MarketPosition == MarketPosition.Short && Close[0] > Position.AveragePrice 
                            && EnableAggressiveEntries)
                            EnterShort();
                    }
                }

                if (Position.MarketPosition == MarketPosition.Short && Close[0] < shortTermTrend[0])
                    ExitShort();
            }
        }

        private bool IsConsecutiveLowerHighsAndLows(int days)
        {
            for (int i = 0; i < days; i++)
            {
                if (High[i] >= High[i + 1] || Low[i] >= Low[i + 1])
                    return false;
            }
            return true;
        }

        private bool IsConsecutiveHigherHighsAndLows(int days)
        {
            for (int i = 0; i < days; i++)
            {
                if (High[i] <= High[i + 1] || Low[i] <= Low[i + 1])
                    return false;
            }
            return true;
        }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Consecutive Days", GroupName = "3-Day High / Low Bot", Order = 1)]
        public int ConsecutiveDays { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Long-Term Trend Period", GroupName = "3-Day High / Low Bot", Order = 2)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Short-Term Trend Period", GroupName = "3-Day High / Low Bot", Order = 3)]
        public int ShortTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Long Trades", GroupName = "3-Day High / Low Bot", Order = 4)]
        public bool EnableLongTrades { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Short Trades", GroupName = "3-Day High / Low Bot", Order = 5)]
        public bool EnableShortTrades { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Aggressive Entries", GroupName = "3-Day High / Low Bot", Order = 6)]
        public bool EnableAggressiveEntries { get; set; }
    }
}