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Initial commit of HILO Index Highs and HILO Index Lows strategies

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moshferatu 2024-11-19 06:40:09 -08:00
parent 5d5426e014
commit 5ddb96dccc
2 changed files with 146 additions and 0 deletions
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73
strategies/new-52-week-highs-and-lows/HILOIndexHighs.cs Normal file
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#region Using declarations
using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations;
#endregion
namespace NinjaTrader.NinjaScript.Strategies
{
public class HILOIndexHighs : Strategy
{
private const int PrimaryBars = 0;
private HILOIndex HILO;
private MAX HILOHighs;
private SMA LongTermTrend;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "HILO Index Highs";
Description = @"Based on chatper 8 of How Markets Really Work (2012) by Larry Connors";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
HighPeriod = 5;
LongTermTrendPeriod = 200;
DaysToExit = 5;
}
else if (State == State.Configure)
{
AddDataSeries("FINH");
AddDataSeries("FINL");
BarsRequiredToTrade = HighPeriod;
}
else if (State == State.DataLoaded)
{
HILO = HILOIndex();
HILOHighs = MAX(HILO, HighPeriod);
LongTermTrend = SMA(LongTermTrendPeriod);
}
}
protected override void OnBarUpdate()
{
if (PrimaryBars != BarsInProgress || CurrentBar < HighPeriod)
return;
if (HILO[0] == HILOHighs[0] && Close[0] > LongTermTrend[0])
EnterLong();
if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
ExitLong();
}
public override string DisplayName
{
get { return Name; }
}
[NinjaScriptProperty]
[Display(Name = "High Period", GroupName = "HILO Index Highs", Order = 1)]
public int HighPeriod { get; set; }
[NinjaScriptProperty]
[Display(Name = "Long-Term Trend Period", GroupName = "HILO Index Highs", Order = 2)]
public int LongTermTrendPeriod { get; set; }
[NinjaScriptProperty]
[Display(Name = "Days to Exit", GroupName = "HILO Index Highs", Order = 3)]
public int DaysToExit { get; set; }
}
}

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strategies/new-52-week-highs-and-lows/HILOIndexLows.cs Normal file
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#region Using declarations
using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations;
#endregion
namespace NinjaTrader.NinjaScript.Strategies
{
public class HILOIndexLows : Strategy
{
private const int PrimaryBars = 0;
private HILOIndex HILO;
private MIN HILOLows;
private SMA LongTermTrend;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "HILO Index Lows";
Description = @"Based on chatper 8 of How Markets Really Work (2012) by Larry Connors";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
LowPeriod = 5;
LongTermTrendPeriod = 200;
DaysToExit = 5;
}
else if (State == State.Configure)
{
AddDataSeries("FINH");
AddDataSeries("FINL");
BarsRequiredToTrade = LowPeriod;
}
else if (State == State.DataLoaded)
{
HILO = HILOIndex();
HILOLows = MIN(HILO, LowPeriod);
LongTermTrend = SMA(LongTermTrendPeriod);
}
}
protected override void OnBarUpdate()
{
if (PrimaryBars != BarsInProgress || CurrentBar < LowPeriod)
return;
if (HILO[0] == HILOLows[0] && Close[0] > LongTermTrend[0])
EnterLong();
if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
ExitLong();
}
public override string DisplayName
{
get { return Name; }
}
[NinjaScriptProperty]
[Display(Name = "Low Period", GroupName = "HILO Index Lows", Order = 1)]
public int LowPeriod { get; set; }
[NinjaScriptProperty]
[Display(Name = "Long-Term Trend Period", GroupName = "HILO Index Lows", Order = 2)]
public int LongTermTrendPeriod { get; set; }
[NinjaScriptProperty]
[Display(Name = "Days to Exit", GroupName = "HILO Index Lows", Order = 3)]
public int DaysToExit { get; set; }
}
}