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Initial commit of Put / Cal Ratio Highs and Put / Call Ratio Lows strategies

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moshferatu 2024-11-19 08:08:17 -08:00
parent 6a908c108b
commit 6f763721c6
2 changed files with 142 additions and 0 deletions
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71
strategies/put-call-ratio-highs-and-lows/PutCallRatioHighs.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 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; }
}
}

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strategies/put-call-ratio-highs-and-lows/PutCallRatioLows.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 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; }
}
}