Add 1st Cross Bot, taken from chapter 24 of Kaufman Constructs Trading Systems

2024-08-07 06:01:48 -07:00 · 2024-08-07 06:01:48 -07:00 · 0909bee23c
commit 0909bee23c
parent 3c0661b4bb
1 changed files with 101 additions and 0 deletions
--- a/strategies/FirstCrossBot.cs
+++ b/strategies/FirstCrossBot.cs
@ -0,0 +1,101 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class FirstCrossBot : Strategy
+    {
+        private SMA fastMA;
+        private SMA slowMA;
+        private SMA oscillatorMA;
+
+        private Series<double> oscillator;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Taken from chapter 24 of Kaufman Constructs Trading Systems";
+                Name = "1st Cross 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;
+
+                FastPeriod = 17;
+                SlowPeriod = 45;
+                OscillatorPeriod = 5;
+                LongOnly = true;
+            }
+            else if (State == State.Configure)
+            {
+            }
+            else if (State == State.DataLoaded)
+            {
+                fastMA = SMA(FastPeriod);
+                slowMA = SMA(SlowPeriod);
+
+                oscillator = new Series<double>(this);
+                oscillatorMA = SMA(oscillator, OscillatorPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < Math.Max(FastPeriod, Math.Max(SlowPeriod, OscillatorPeriod)))
+                return;
+
+            oscillator[0] = fastMA[0] - slowMA[0];
+
+            bool isCrossAbove = CrossAbove(oscillator, oscillatorMA, 1);
+            bool isCrossBelow = CrossBelow(oscillator, oscillatorMA, 1);
+
+            if (isCrossAbove && Low[0] > Low[1])
+                EnterLong();
+            else if (isCrossBelow && High[0] < High[1] && !LongOnly)
+                EnterShort();
+
+            if (Position.MarketPosition == MarketPosition.Long && isCrossBelow)
+                ExitLong();
+            else if (Position.MarketPosition == MarketPosition.Short && isCrossAbove)
+                ExitShort();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Fast Period", GroupName = "1st Cross Bot", Order = 1)]
+        public int FastPeriod { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Slow Period", GroupName = "1st Cross Bot", Order = 2)]
+        public int SlowPeriod { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Oscillator Period", GroupName = "1st Cross Bot", Order = 3)]
+        public int OscillatorPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long Only", GroupName = "1st Cross Bot", Order = 4)]
+        public bool LongOnly { get; set; }
+    }
+}