Initial commit of TRIN Thrusts strategy

2024-11-11 06:48:56 -08:00 · 2024-11-11 06:48:56 -08:00 · 4f266c731b
commit 4f266c731b
parent a922c8a714
1 changed files with 70 additions and 0 deletions
--- a/strategies/trin-thrusts/TRINThrusts.cs
+++ b/strategies/trin-thrusts/TRINThrusts.cs
@ -0,0 +1,70 @@
+#region Using declarations
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class TRINThrusts : Strategy
+    {
+        private const int PrimaryBars = 0;
+        private const int TRINBars = 1;
+
+        private SMA LongTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "TRIN Thrusts";
+                Description = @"Take from Chapter 3 of Connors on Advanced Trading Strategies (1998) by Larry Connors";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+
+                LongTermTrendPeriod = 200;
+                PercentBelow = 40.0;
+                DaysToExit = 2;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries("^TRIN");
+            }
+            else if (State == State.DataLoaded)
+            {
+                LongTermTrend = SMA(LongTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (PrimaryBars != BarsInProgress)
+                return;
+
+            if (CurrentBar < LongTermTrendPeriod || CurrentBars[TRINBars] < 1)
+                return;
+
+            if (Close[0] > LongTermTrend[0] && Closes[TRINBars][0] < Closes[TRINBars][1] * (1 - PercentBelow / 100))
+                EnterLong();
+
+            if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long-Term Trend Period", GroupName = "TRIN Thrusts", Order = 1)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Percent Below", GroupName = "TRIN Thrusts", Order = 2)]
+        public double PercentBelow { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Days to Exit", GroupName = "TRIN Thrusts", Order = 3)]
+        public int DaysToExit { get; set; }
+    }
+}