Initial commit of Short strategy

2024-09-20 05:51:42 -07:00 · 2024-09-20 05:51:42 -07:00 · 652d9eac3f
commit 652d9eac3f
parent bfa9070a48
1 changed files with 86 additions and 0 deletions
--- a/strategies/short/ShortBot.cs
+++ 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; }
+    }
+}