From 12a3f61ea7f81ac333e846dbb2ae7306f8a31b43 Mon Sep 17 00:00:00 2001
From: moshferatu <moshferatu@moshferatu.dev>
Date: Fri, 2 Aug 2024 13:26:39 -0700
Subject: [PATCH] Add long term trend filter and opening range bias to Sonic R
 Bot in addition to modifying stop logic

---
 strategies/SonicRBot.cs | 57 +++++++++++++++++++++++++++++++----------
 1 file changed, 44 insertions(+), 13 deletions(-)

diff --git a/strategies/SonicRBot.cs b/strategies/SonicRBot.cs
index baeabaa..635dbcf 100644
--- a/strategies/SonicRBot.cs
+++ b/strategies/SonicRBot.cs
@@ -1,5 +1,6 @@
 #region Using declarations
 using NinjaTrader.Cbi;
+using NinjaTrader.Data;
 using NinjaTrader.NinjaScript.Indicators;
 using System.ComponentModel.DataAnnotations;
 #endregion
@@ -9,6 +10,8 @@ namespace NinjaTrader.NinjaScript.Strategies
     public class SonicRBot : Strategy
     {
         private ATR atr;
+        private SMA longTermTrend;
+        private OpeningRange openingRange;
         private SonicRDragon dragon;
 
         private bool lookingLong;
@@ -28,7 +31,7 @@ namespace NinjaTrader.NinjaScript.Strategies
                 Calculate = Calculate.OnBarClose;
                 EntriesPerDirection = 1;
                 EntryHandling = EntryHandling.AllEntries;
-                IsExitOnSessionCloseStrategy = true;
+                IsExitOnSessionCloseStrategy = false;
                 ExitOnSessionCloseSeconds = 30;
                 IsFillLimitOnTouch = false;
                 MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
@@ -45,26 +48,47 @@ namespace NinjaTrader.NinjaScript.Strategies
                 DragonPeriod = 34;
                 ATRPeriod = 14;
                 ATRMultiplier = 2.0;
+                LongTermTrendPeriod = 20;
+                OpeningRangePeriod = 3;
+                LongOnly = true;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries(BarsPeriodType.Day, 1);
+
+                // Data series required by the opening range indicator, must be loaded here.
+                AddDataSeries(BarsPeriodType.Minute, 1);
+                AddDataSeries(Instrument.FullName, BarsPeriod, "US Equities RTH");
             }
             else if (State == State.DataLoaded)
             {
                 atr = ATR(ATRPeriod);
+                longTermTrend = SMA(BarsArray[1], LongTermTrendPeriod);
+                openingRange = OpeningRange(OpeningRangePeriod, OpeningRangeBarType.Minutes);
                 dragon = SonicRDragon(DragonPeriod);
             }
         }
 
         protected override void OnBarUpdate()
         {
-            if (BarsInProgress != 0)
+            if (BarsInProgress != 0 || CurrentBars[1] < 0)
                 return;
             
             if (CurrentBar < BarsRequiredToTrade)
                 return;
 
             if (Position.MarketPosition != MarketPosition.Flat)
+            {
+                if (Position.MarketPosition == MarketPosition.Long && Close[0] < dragon.LowEMA[0])
+                    ExitLong();
+                else if (Position.MarketPosition == MarketPosition.Short && Close[0] > dragon.HighEMA[0])
+                    ExitShort();
+                
                 return;
+            }
 
-            if (Open[0] < dragon.HighEMA[0] && Close[0] > dragon.HighEMA[0])
+            if (Open[0] < dragon.HighEMA[0] && Close[0] > dragon.HighEMA[0] && Close[0] > longTermTrend[0] &&
+                openingRange.ORH[0] > 0.0 && Close[0] > openingRange.ORH[0])
             {
                 lookingLong = true;
 
@@ -72,7 +96,8 @@ namespace NinjaTrader.NinjaScript.Strategies
                 waitingForLongBreak = false;
                 waitingForShortBreak = false;
             }
-            else if (Open[0] > dragon.LowEMA[0] && Close[0] < dragon.LowEMA[0])
+            else if (Open[0] > dragon.LowEMA[0] && Close[0] < dragon.LowEMA[0] && Close[0] < longTermTrend[0] &&
+                openingRange.ORL[0] > 0.0 && Close[0] < openingRange.ORL[0])
             {
                 lookingShort = true;
 
@@ -94,21 +119,15 @@ namespace NinjaTrader.NinjaScript.Strategies
                 lookingShort = false;
             }
 
-            double atrValue = atr[0];
-            double stopLoss = ATRMultiplier * atrValue;
-            double profitTarget = ATRMultiplier * atrValue;
-
             if (waitingForLongBreak && Close[0] > breakPrice)
             {
-                SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
-                SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
+                SetTrailStop(CalculationMode.Ticks, (ATRMultiplier * atr[0]) / TickSize);
                 EnterLong();
                 waitingForLongBreak = false;
             }
-            else if (waitingForShortBreak && Close[0] < breakPrice)
+            else if (!LongOnly && waitingForShortBreak && Close[0] < breakPrice)
             {
-                SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
-                SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
+                SetTrailStop(CalculationMode.Ticks, (ATRMultiplier * atr[0]) / TickSize);
                 EnterShort();
                 waitingForShortBreak = false;
             }
@@ -132,6 +151,18 @@ namespace NinjaTrader.NinjaScript.Strategies
         [Range(0.1, double.MaxValue), NinjaScriptProperty]
         [Display(Name = "ATR Multiplier", GroupName = "Sonic R Bot", Order = 3)]
         public double ATRMultiplier { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Long Term Trend Period", GroupName = "Sonic R Bot", Order = 4)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Opening Range Period", GroupName = "Sonic R Bot", Order = 5)]
+        public int OpeningRangePeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long Only", GroupName = "Sonic R Bot", Order = 6)]
+        public bool LongOnly { get; set; }
         #endregion
     }
 }