diff --git a/strategies/large-moves/LargeMovesDown.cs b/strategies/large-moves/LargeMovesDown.cs new file mode 100644 index 0000000..27e20f0 --- /dev/null +++ b/strategies/large-moves/LargeMovesDown.cs @@ -0,0 +1,46 @@ +#region Using declarations +using System.ComponentModel.DataAnnotations; +#endregion + +namespace NinjaTrader.NinjaScript.Strategies +{ + public class LargeMovesDown : Strategy + { + protected override void OnStateChange() + { + if (State == State.SetDefaults) + { + Name = "Large Moves Down"; + Description = @"Based on chatper 7 of How Markets Really Work (2012) by Larry Connors"; + Calculate = Calculate.OnBarClose; + EntriesPerDirection = 1; + + PercentDeclineThreshold = 1.0; + DaysToExit = 5; + } + } + + protected override void OnBarUpdate() + { + double percent_decline = (Open[0] - Close[0]) / Open[0] * 100; + if (percent_decline >= PercentDeclineThreshold) + EnterLong(); + + if (BarsSinceEntryExecution() >= DaysToExit) + ExitLong(); + } + + public override string DisplayName + { + get { return Name; } + } + + [NinjaScriptProperty] + [Display(Name = "Percent Decline", GroupName = "Large Moves Down", Order = 1)] + public double PercentDeclineThreshold { get; set; } + + [NinjaScriptProperty] + [Display(Name = "Days to Exit", GroupName = "Large Moves Down", Order = 2)] + public int DaysToExit { get; set; } + } +}