From 46938e91b08b290277386747e40813a1bb94c2df Mon Sep 17 00:00:00 2001
From: moshferatu <moshferatu@moshferatu.dev>
Date: Tue, 3 Sep 2024 06:10:17 -0700
Subject: [PATCH] Add optional trend filter to Overnight strategy

---
 strategies/overnight/OvernightBot.cs | 23 ++++++++++++++++++++++-
 1 file changed, 22 insertions(+), 1 deletion(-)

diff --git a/strategies/overnight/OvernightBot.cs b/strategies/overnight/OvernightBot.cs
index 20d2b4c..e9c0e00 100644
--- a/strategies/overnight/OvernightBot.cs
+++ b/strategies/overnight/OvernightBot.cs
@@ -1,7 +1,9 @@
 #region Using declarations
-using System;
 using NinjaTrader.Cbi;
 using NinjaTrader.Data;
+using NinjaTrader.NinjaScript.Indicators;
+using System;
+using System.ComponentModel.DataAnnotations;
 #endregion
 
 namespace NinjaTrader.NinjaScript.Strategies
@@ -12,6 +14,8 @@ namespace NinjaTrader.NinjaScript.Strategies
         private const int MinuteBars = 1;
 
         private DateTime sessionClose;
+
+        private SMA longTermTrend;
         
         protected override void OnStateChange()
         {
@@ -34,6 +38,9 @@ namespace NinjaTrader.NinjaScript.Strategies
                 RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
                 StopTargetHandling = StopTargetHandling.PerEntryExecution;
                 IsInstantiatedOnEachOptimizationIteration = true;
+
+                UseTrendFilter = false;
+                LongTermTrendPeriod = 200;
             }
             else if (State == State.Configure)
             {
@@ -43,6 +50,8 @@ namespace NinjaTrader.NinjaScript.Strategies
             {
                 SessionIterator chartSession = new SessionIterator(BarsArray[PrimaryBars]);
                 sessionClose = chartSession.GetTradingDayEndLocal(chartSession.ActualTradingDayExchange);
+
+                longTermTrend = SMA(LongTermTrendPeriod);
             }
         }
 
@@ -51,6 +60,9 @@ namespace NinjaTrader.NinjaScript.Strategies
             if (BarsInProgress != MinuteBars)
                 return;
 
+            if (UseTrendFilter && Close[0] < longTermTrend[0])
+                return;
+
             // It's not possible to enter trades on the close of a bar, so we enter on the open of the minute bar prior to session close.
             if (ToTime(Time[0]) == ToTime(sessionClose.AddMinutes(-1)))
                 EnterLong();
@@ -62,5 +74,14 @@ namespace NinjaTrader.NinjaScript.Strategies
         {
             get { return Name; }
         }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Use Trend Filter", GroupName = "Overnight Bot", Order = 1)]
+        public bool UseTrendFilter { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Long Term Trend Period", GroupName = "Overnight Bot", Order = 2)]
+        public int LongTermTrendPeriod { get; set; }
     }
 }