diff --git a/strategies/short/ShortBot.cs b/strategies/short/ShortBot.cs new file mode 100644 index 0000000..39e7307 --- /dev/null +++ b/strategies/short/ShortBot.cs @@ -0,0 +1,86 @@ +#region Using declarations +using NinjaTrader.Cbi; +using NinjaTrader.NinjaScript.Indicators; +using System; +using System.ComponentModel.DataAnnotations; +#endregion + +namespace NinjaTrader.NinjaScript.Strategies +{ + public class ShortBot : Strategy + { + private SMA longTermTrend; + private SMA shortTermTrend; + + protected override void OnStateChange() + { + if (State == State.SetDefaults) + { + Description = @""; + Name = "Short Bot"; + Calculate = Calculate.OnBarClose; + EntriesPerDirection = 1; + EntryHandling = EntryHandling.AllEntries; + IsExitOnSessionCloseStrategy = true; + 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; + + LongTermTrendPeriod = 200; + ShortTermTrendPeriod = 5; + UpStreakPeriod = 4; + } + else if (State == State.DataLoaded) + { + longTermTrend = SMA(LongTermTrendPeriod); + shortTermTrend = SMA(ShortTermTrendPeriod); + } + } + + protected override void OnBarUpdate() + { + if (CurrentBar < Math.Max(LongTermTrendPeriod, ShortTermTrendPeriod)) + return; + + if (Position.MarketPosition == MarketPosition.Short && Close[0] < shortTermTrend[0]) + ExitShort(); + + if (Close[0] < longTermTrend[0]) + { + for (int i = 0; i < UpStreakPeriod; i++) + { + if (Close[i] < Open[i]) + return; + } + + EnterShort(); + } + } + + public override string DisplayName + { + get { return Name; } + } + + [NinjaScriptProperty] + [Display(Name = "Long-Term Trend Period", GroupName = "Short Bot", Order = 1)] + public int LongTermTrendPeriod { get; set; } + + [NinjaScriptProperty] + [Display(Name = "Short-Term Trend Period", GroupName = "Short Bot", Order = 2)] + public int ShortTermTrendPeriod { get; set; } + + [NinjaScriptProperty] + [Display(Name = "Up Streak Period", GroupName = "Short Bot", Order = 3)] + public int UpStreakPeriod { get; set; } + } +}