Initial commit of High Volume Down Days strategy

strategies/high-volume-days/HighVolumeDownDays.cs

@@ -0,0 +1,62 @@
+#region Using declarations
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class HighVolumeDownDays : Strategy
+    {
+        private MAX HighestVolume;
+        private SMA LongTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "High Volume Down Days";
+                Description = @"Based on chatper 6 of How Markets Really Work (2012) by Larry Connors";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+
+                HighVolumePeriod = 5;
+                LongTermTrendPeriod = 200;
+                DaysToExit = 5;
+            }
+            else if (State == State.DataLoaded)
+            {
+                HighestVolume = MAX(Volume, HighVolumePeriod);
+                LongTermTrend = SMA(LongTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < HighVolumePeriod)
+                return;
+
+            if (Volume[0] == HighestVolume[0] && Close[0] > LongTermTrend[0] && Close[0] < Open[0])
+                EnterLong();
+
+            if (BarsSinceEntryExecution() >= DaysToExit)
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "High Volume Period", GroupName = "High Volume Down Days", Order = 1)]
+        public int HighVolumePeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long-Term Trend Period", GroupName = "High Volume Down Days", Order = 2)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Days to Exit", GroupName = "High Volume Down Days", Order = 3)]
+        public int DaysToExit { get; set; }
+    }
+}