Add Captain Backtest Model strategy, courtesy of @tradeforopp
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strategies/CaptainBacktestModel.cs
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357
strategies/CaptainBacktestModel.cs
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#region Using declarations
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using System;
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using System.Collections.Generic;
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using System.ComponentModel;
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using System.ComponentModel.DataAnnotations;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using System.Windows;
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using System.Windows.Input;
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using System.Windows.Media;
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using System.Xml.Serialization;
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using NinjaTrader.Cbi;
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using NinjaTrader.Gui;
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using NinjaTrader.Gui.Chart;
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using NinjaTrader.Gui.SuperDom;
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using NinjaTrader.Gui.Tools;
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using NinjaTrader.Data;
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using NinjaTrader.NinjaScript;
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using NinjaTrader.Core.FloatingPoint;
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using NinjaTrader.NinjaScript.Indicators;
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using NinjaTrader.NinjaScript.DrawingTools;
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#endregion
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//This namespace holds Strategies in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class CaptainBacktestModel : Strategy
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{
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private const int LongBias = 1;
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private const int NeutralBias = 0;
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private const int ShortBias = -1;
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private Series<double> RangeHigh;
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private Series<double> RangeLow;
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private Series<int> Bias;
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private Series<bool> OppositeCandleClose;
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private Series<bool> NewHighOrLow;
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private Series<bool> IsLong;
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private Series<bool> IsShort;
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private Series<bool> InPriceRangeWindow;
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private Series<bool> InBiasWindow;
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private Series<bool> InTradeWindow;
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private int NumberOfTradesAtSessionStart = 0;
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Name = "Captain Backtest Model";
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Description = @"Credit to @tradeforopp";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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EntryHandling = EntryHandling.AllEntries;
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IsExitOnSessionCloseStrategy = true;
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ExitOnSessionCloseSeconds = 30;
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IsFillLimitOnTouch = false;
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MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
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OrderFillResolution = OrderFillResolution.Standard;
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Slippage = 0;
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StartBehavior = StartBehavior.WaitUntilFlat;
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TimeInForce = TimeInForce.Gtc;
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TraceOrders = false;
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RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
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StopTargetHandling = StopTargetHandling.PerEntryExecution;
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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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PriceRangeWindowStart = 030000;
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PriceRangeWindowEnd = 070000;
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BiasWindowStart = 070000;
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BiasWindowEnd = 081500;
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TradeWindowStart = 070000;
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TradeWindowEnd = 130000;
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WaitForOppositeCandleClose = true;
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WaitForNewHighOrLow = true;
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UseStopOrders = false;
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UseFixedRiskReward = true;
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Risk = 25.0;
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Reward = 75.0;
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}
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else if (State == State.Configure)
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{
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RangeHigh = new Series<double>(this);
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RangeLow = new Series<double>(this);
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Bias = new Series<int>(this);
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OppositeCandleClose = new Series<bool>(this);
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NewHighOrLow = new Series<bool>(this);
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IsLong = new Series<bool>(this);
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IsShort = new Series<bool>(this);
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InPriceRangeWindow = new Series<bool>(this);
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InBiasWindow = new Series<bool>(this);
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InTradeWindow = new Series<bool>(this);
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}
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else if (State == State.Historical)
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{
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SetZOrder(-1); // Display behind bars on chart.
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}
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}
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protected override void OnBarUpdate()
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{
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if (CurrentBar < 3)
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return;
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SetProfitTarget(Name, CalculationMode.Ticks, Reward / TickSize);
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SetStopLoss(Name, CalculationMode.Ticks, Risk / TickSize, false);
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RangeHigh[0] = RangeHigh[1];
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RangeLow[0] = RangeLow[1];
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Bias[0] = Bias[1];
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OppositeCandleClose[0] = OppositeCandleClose[1];
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NewHighOrLow[0] = NewHighOrLow[1];
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IsLong[0] = IsLong[1];
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IsShort[0] = IsShort[1];
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InPriceRangeWindow[0] = CurrentlyInWindow(PriceRangeWindowStart, PriceRangeWindowEnd);
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if (InPriceRangeWindow[0])
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ProcessPriceRangeWindow();
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else if (InPriceRangeWindow[1])
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ResetTradeConditions(); // On exit of price range window.
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InBiasWindow[0] = CurrentlyInWindow(BiasWindowStart, BiasWindowEnd);
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if (InBiasWindow[0])
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ProcessBiasWindow();
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else if (InBiasWindow[1])
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{
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if (NeutralBias == Bias[0])
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Draw.Text(this, CurrentBar + " No Trade", "No Trade Taken", 0, High[0]);
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Draw.Line(this, CurrentBar + " Range High", 20, RangeHigh[0], 0, RangeHigh[0], Brushes.Yellow);
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Draw.Line(this, CurrentBar + " Range Low", 20, RangeLow[0], 0, RangeLow[0], Brushes.Yellow);
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}
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InTradeWindow[0] = CurrentlyInWindow(TradeWindowStart, TradeWindowEnd);
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if (!TradeTaken() && InTradeWindow[0])
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ProcessTradeWindow();
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else if (!InTradeWindow[0] && InTradeWindow[1])
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{
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ExitLong();
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ExitShort();
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}
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}
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private bool CurrentlyInWindow(int windowStart, int windowEnd)
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{
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int currentTime = ToTime(Time[0]);
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if (windowStart > windowEnd)
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return (currentTime >= windowStart) || (currentTime <= windowEnd);
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else
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return (currentTime >= windowStart) && (currentTime <= windowEnd);
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}
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private bool TradeTaken()
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{
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int totalTradesTaken = SystemPerformance.AllTrades.Count;
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if (Bars.IsFirstBarOfSession && IsFirstTickOfBar)
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NumberOfTradesAtSessionStart = totalTradesTaken;
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// Have any trades been taken since the start of the session?
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if (totalTradesTaken - NumberOfTradesAtSessionStart > 0)
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return true;
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return false;
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}
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private void ProcessPriceRangeWindow()
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{
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if (CurrentBar > 3)
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{
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if (!InPriceRangeWindow[1])
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{
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// First bar in price range window.
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RangeHigh[0] = High[0];
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RangeLow[0] = Low[0];
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}
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else
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{
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RangeHigh[0] = Math.Max(RangeHigh[1], High[0]);
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RangeLow[0] = Math.Min(RangeLow[1], Low[0]);
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}
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}
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}
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private void ResetTradeConditions()
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{
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if (CurrentBar > 3)
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{
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Bias[0] = NeutralBias;
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IsLong[0] = false;
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IsShort[0] = false;
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OppositeCandleClose[0] = false;
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NewHighOrLow[0] = false;
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}
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}
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private void ProcessBiasWindow()
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{
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if (CurrentBar > 3)
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{
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if ((High[0] > RangeHigh[0]) && (NeutralBias == Bias[0]))
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{
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Bias[0] = LongBias;
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Draw.ArrowUp(this, CurrentBar + " Long Bias", true, 0, Low[0], Brushes.LimeGreen);
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}
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if ((Low[0] < RangeLow[0]) && (NeutralBias == Bias[0]))
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{
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Bias[0] = ShortBias;
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Draw.ArrowDown(this, CurrentBar + " Short Bias", true, 0, High[0], Brushes.Red);
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}
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}
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}
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private void ProcessTradeWindow()
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{
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if (WaitForOppositeCandleClose)
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{
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if ((LongBias == Bias[0]) && (Close[0] < Open[0]))
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OppositeCandleClose[0] = true;
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if ((ShortBias == Bias[0]) && (Close[0] > Open[0]))
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OppositeCandleClose[0] = true;
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}
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else
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{
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OppositeCandleClose[0] = true;
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}
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if (WaitForNewHighOrLow)
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{
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if ((LongBias == Bias[0]) && (Low[0] < Low[1]))
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NewHighOrLow[0] = true;
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if ((ShortBias == Bias[0]) && (High[0] > High[1]))
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NewHighOrLow[0] = true;
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}
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else
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{
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NewHighOrLow[0] = true;
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}
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if (CurrentBar > 3)
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{
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if ((LongBias == Bias[0]) && (Close[0] > High[1]) && OppositeCandleClose[0] && NewHighOrLow[0] && !IsLong[1])
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{
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IsLong[0] = true;
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if (UseStopOrders)
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EnterLongStopMarket(DefaultQuantity, High[0], Name);
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else
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EnterLong(DefaultQuantity, Name);
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}
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if ((ShortBias == Bias[0]) && (Close[0] < Low[1]) && OppositeCandleClose[0] && NewHighOrLow[0] && !IsShort[1])
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{
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IsShort[0] = true;
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if (UseStopOrders)
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EnterShortStopMarket(DefaultQuantity, Low[0], Name);
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else
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EnterShort(DefaultQuantity, Name);
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}
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}
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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#region Properties
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[NinjaScriptProperty]
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[Range(0, int.MaxValue)]
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[Display(Name = "Price Range Window Start", GroupName = "Time", Order = 1)]
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public int PriceRangeWindowStart
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{ get; set; }
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[NinjaScriptProperty]
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[Range(0, int.MaxValue)]
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[Display(Name = "Price Range Window End", GroupName = "Time", Order = 2)]
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public int PriceRangeWindowEnd
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{ get; set; }
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[NinjaScriptProperty]
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[Range(0, int.MaxValue)]
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[Display(Name = "Bias Window Start", GroupName = "Time", Order = 3)]
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public int BiasWindowStart
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{ get; set; }
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[NinjaScriptProperty]
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[Range(0, int.MaxValue)]
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[Display(Name = "Bias Window End", GroupName = "Time", Order = 4)]
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public int BiasWindowEnd
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{ get; set; }
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[NinjaScriptProperty]
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[Range(0, int.MaxValue)]
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[Display(Name = "Trade Window Start", GroupName = "Time", Order = 5)]
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public int TradeWindowStart
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{ get; set; }
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[NinjaScriptProperty]
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[Range(0, int.MaxValue)]
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[Display(Name = "Trade Window End", GroupName = "Time", Order = 5)]
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public int TradeWindowEnd
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Wait for Opposite Candle Close", GroupName = "Retracement", Order = 1)]
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public bool WaitForOppositeCandleClose
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Wait for New High / Low", GroupName = "Retracement", Order = 2)]
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public bool WaitForNewHighOrLow
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Use Stop Orders", GroupName = "Risk Management", Order = 1)]
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public bool UseStopOrders
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{ get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Use Fixed R:R", GroupName = "Risk Management", Order = 2)]
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public bool UseFixedRiskReward
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{ get; set; }
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[NinjaScriptProperty]
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[Range(0, double.MaxValue)]
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[Display(Name = "Risk (Points)", GroupName = "Risk Management", Order = 3)]
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public double Risk
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{ get; set; }
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[NinjaScriptProperty]
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[Range(0, double.MaxValue)]
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[Display(Name = "Reward (Points)", GroupName = "Risk Management", Order = 4)]
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public double Reward
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{ get; set; }
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#endregion
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}
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}
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