From 6f763721c679221e97e6e09e918783f77ca97b4e Mon Sep 17 00:00:00 2001
From: moshferatu <moshferatu@moshferatu.dev>
Date: Tue, 19 Nov 2024 08:08:17 -0800
Subject: [PATCH] Initial commit of Put / Cal Ratio Highs and Put / Call Ratio
 Lows strategies

---
 .../PutCallRatioHighs.cs                      | 71 +++++++++++++++++++
 .../PutCallRatioLows.cs                       | 71 +++++++++++++++++++
 2 files changed, 142 insertions(+)
 create mode 100644 strategies/put-call-ratio-highs-and-lows/PutCallRatioHighs.cs
 create mode 100644 strategies/put-call-ratio-highs-and-lows/PutCallRatioLows.cs

diff --git a/strategies/put-call-ratio-highs-and-lows/PutCallRatioHighs.cs b/strategies/put-call-ratio-highs-and-lows/PutCallRatioHighs.cs
new file mode 100644
index 0000000..24d6ac7
--- /dev/null
+++ b/strategies/put-call-ratio-highs-and-lows/PutCallRatioHighs.cs
@@ -0,0 +1,71 @@
+#region Using declarations
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class PutCallRatioHighs : Strategy
+    {
+        private const int PrimaryBars = 0;
+
+        private PutCallRatio PCR;
+        private MAX PCRHighs;
+        private SMA LongTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "Put / Call Ratio Highs";
+                Description = @"Based on chatper 9 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("VPOT");
+                AddDataSeries("VCOT");
+            }
+            else if (State == State.DataLoaded)
+            {
+                PCR = PutCallRatio();
+                PCRHighs = MAX(PCR, HighPeriod);
+                LongTermTrend = SMA(LongTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (PrimaryBars != BarsInProgress)
+                return;
+
+            if (PCR[0] == PCRHighs[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 = "Put / Call Ratio Highs", Order = 1)]
+        public int HighPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long-Term Trend Period", GroupName = "Put / Call Ratio Highs", Order = 2)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Days to Exit", GroupName = "Put / Call Ratio Highs", Order = 3)]
+        public int DaysToExit { get; set; }
+    }
+}
diff --git a/strategies/put-call-ratio-highs-and-lows/PutCallRatioLows.cs b/strategies/put-call-ratio-highs-and-lows/PutCallRatioLows.cs
new file mode 100644
index 0000000..40d917b
--- /dev/null
+++ b/strategies/put-call-ratio-highs-and-lows/PutCallRatioLows.cs
@@ -0,0 +1,71 @@
+#region Using declarations
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class PutCallRatioLows : Strategy
+    {
+        private const int PrimaryBars = 0;
+
+        private PutCallRatio PCR;
+        private MIN PCRLows;
+        private SMA LongTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "Put / Call Ratio Lows";
+                Description = @"Based on chatper 9 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("VPOT");
+                AddDataSeries("VCOT");
+            }
+            else if (State == State.DataLoaded)
+            {
+                PCR = PutCallRatio();
+                PCRLows = MIN(PCR, LowPeriod);
+                LongTermTrend = SMA(LongTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (PrimaryBars != BarsInProgress)
+                return;
+
+            if (PCR[0] == PCRLows[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 = "Put / Call Ratio Lows", Order = 1)]
+        public int LowPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long-Term Trend Period", GroupName = "Put / Call Ratio Lows", Order = 2)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Days to Exit", GroupName = "Put / Call Ratio Lows", Order = 3)]
+        public int DaysToExit { get; set; }
+    }
+}