Add long-term strategy based on NYSE 52 week new highs and new lows

2024-07-05 05:28:52 -07:00 · 2024-07-05 05:28:52 -07:00 · 1cdeb40610
commit 1cdeb40610
parent e635c21eca
1 changed files with 64 additions and 0 deletions
--- a/strategies/new-highs-new-lows/NYSENewHighsNewLowsBot.cs
+++ b/strategies/new-highs-new-lows/NYSENewHighsNewLowsBot.cs
@ -0,0 +1,64 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+using NinjaTrader.NinjaScript.Indicators;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+	public class NYSENewHighsNewLowsBot : Strategy
+	{
+		private NYSECumulativeNewHighsNewLows newHighsNewLows;
+		
+		protected override void OnStateChange()
+		{
+			if (State == State.SetDefaults)
+			{
+                Description = @"Strategy based on NYSE Cumulative New Highs New Lows";
+                Name = "NYSE New Highs New Lows Bot";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+                EntryHandling = EntryHandling.AllEntries;
+                IsExitOnSessionCloseStrategy = false;
+                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;
+			}
+			else if (State == State.Configure)
+			{
+                AddDataSeries("FINH", BarsPeriodType.Day, 1);
+                AddDataSeries("FINL", BarsPeriodType.Day, 1);
+            }
+			else if (State == State.DataLoaded)
+			{
+                newHighsNewLows = NYSECumulativeNewHighsNewLows();
+            }
+		}
+
+		protected override void OnBarUpdate()
+		{
+            if (BarsInProgress != 0)
+                return;
+
+            if (newHighsNewLows[0] > 0)
+                EnterLong();
+
+            if (Position.MarketPosition == MarketPosition.Long && newHighsNewLows[0] < 0)
+                ExitLong();
+		}
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+    }
+}