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Add long term trend filter and opening range bias to Sonic R Bot in addition to modifying stop logic

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moshferatu 2024-08-02 13:26:39 -07:00
parent 77841593e5
commit 12a3f61ea7
1 changed files with 44 additions and 13 deletions
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57
strategies/SonicRBot.cs
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@ -1,5 +1,6 @@
#region Using declarations #region Using declarations
using NinjaTrader.Cbi; using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript.Indicators; using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations; using System.ComponentModel.DataAnnotations;
#endregion #endregion
@ -9,6 +10,8 @@ namespace NinjaTrader.NinjaScript.Strategies
public class SonicRBot : Strategy public class SonicRBot : Strategy
{ {
private ATR atr; private ATR atr;
private SMA longTermTrend;
private OpeningRange openingRange;
private SonicRDragon dragon; private SonicRDragon dragon;
private bool lookingLong; private bool lookingLong;
@ -28,7 +31,7 @@ namespace NinjaTrader.NinjaScript.Strategies
Calculate = Calculate.OnBarClose; Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1; EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries; EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true; IsExitOnSessionCloseStrategy = false;
ExitOnSessionCloseSeconds = 30; ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false; IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix; MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
@ -45,26 +48,47 @@ namespace NinjaTrader.NinjaScript.Strategies
DragonPeriod = 34; DragonPeriod = 34;
ATRPeriod = 14; ATRPeriod = 14;
ATRMultiplier = 2.0; 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) else if (State == State.DataLoaded)
{ {
atr = ATR(ATRPeriod); atr = ATR(ATRPeriod);
longTermTrend = SMA(BarsArray[1], LongTermTrendPeriod);
openingRange = OpeningRange(OpeningRangePeriod, OpeningRangeBarType.Minutes);
dragon = SonicRDragon(DragonPeriod); dragon = SonicRDragon(DragonPeriod);
} }
} }
protected override void OnBarUpdate() protected override void OnBarUpdate()
{ {
if (BarsInProgress != 0) if (BarsInProgress != 0 || CurrentBars[1] < 0)
return; return;
if (CurrentBar < BarsRequiredToTrade) if (CurrentBar < BarsRequiredToTrade)
return; return;
if (Position.MarketPosition != MarketPosition.Flat) 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; 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; lookingLong = true;
@ -72,7 +96,8 @@ namespace NinjaTrader.NinjaScript.Strategies
waitingForLongBreak = false; waitingForLongBreak = false;
waitingForShortBreak = 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; lookingShort = true;
@ -94,21 +119,15 @@ namespace NinjaTrader.NinjaScript.Strategies
lookingShort = false; lookingShort = false;
} }
double atrValue = atr[0];
double stopLoss = ATRMultiplier * atrValue;
double profitTarget = ATRMultiplier * atrValue;
if (waitingForLongBreak && Close[0] > breakPrice) if (waitingForLongBreak && Close[0] > breakPrice)
{ {
SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize); SetTrailStop(CalculationMode.Ticks, (ATRMultiplier * atr[0]) / TickSize);
SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
EnterLong(); EnterLong();
waitingForLongBreak = false; waitingForLongBreak = false;
} }
else if (waitingForShortBreak && Close[0] < breakPrice) else if (!LongOnly && waitingForShortBreak && Close[0] < breakPrice)
{ {
SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize); SetTrailStop(CalculationMode.Ticks, (ATRMultiplier * atr[0]) / TickSize);
SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
EnterShort(); EnterShort();
waitingForShortBreak = false; waitingForShortBreak = false;
} }
@ -132,6 +151,18 @@ namespace NinjaTrader.NinjaScript.Strategies
[Range(0.1, double.MaxValue), NinjaScriptProperty] [Range(0.1, double.MaxValue), NinjaScriptProperty]
[Display(Name = "ATR Multiplier", GroupName = "Sonic R Bot", Order = 3)] [Display(Name = "ATR Multiplier", GroupName = "Sonic R Bot", Order = 3)]
public double ATRMultiplier { get; set; } 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 #endregion
} }
} }