Add Opening Range Breakout strategy

2023-03-09 13:00:02 -08:00 · 2023-03-09 13:00:02 -08:00 · 89042c2e5b
commit 89042c2e5b
parent 4a0344b756
1 changed files with 144 additions and 0 deletions
--- a/strategies/OpeningRangeBreakout.cs
+++ b/strategies/OpeningRangeBreakout.cs
@ -0,0 +1,144 @@
+#region Using declarations
+using System;
+using System.Collections.Generic;
+using System.ComponentModel;
+using System.ComponentModel.DataAnnotations;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using System.Windows;
+using System.Windows.Input;
+using System.Windows.Media;
+using System.Xml.Serialization;
+using NinjaTrader.Cbi;
+using NinjaTrader.Gui;
+using NinjaTrader.Gui.Chart;
+using NinjaTrader.Gui.SuperDom;
+using NinjaTrader.Gui.Tools;
+using NinjaTrader.Data;
+using NinjaTrader.NinjaScript;
+using NinjaTrader.Core.FloatingPoint;
+using NinjaTrader.NinjaScript.Indicators;
+using NinjaTrader.NinjaScript.DrawingTools;
+#endregion
+
+//This namespace holds Strategies in this folder and is required. Do not change it. 
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class OpeningRangeBreakout : Strategy
+    {
+        private OpeningRange OR;
+        private PivotHighLow Pivots;
+
+        private DateTime TradeDate = DateTime.MinValue;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Opening range breakout strategy";
+                Name = "OpeningRangeBreakout";
+                Calculate = Calculate.OnPriceChange;
+                EntriesPerDirection = 2;
+                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;
+                // Disable this property for performance gains in Strategy Analyzer optimizations
+                // See the Help Guide for additional information
+                IsInstantiatedOnEachOptimizationIteration = true;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries(BarsPeriodType.Tick, 1);
+                AddDataSeries(Instrument.FullName, new BarsPeriod
+                {
+                    BarsPeriodType = BarsPeriodType.Minute,
+                    Value = 30
+                }, "US Equities RTH");
+            }
+            else if (State == State.DataLoaded)
+            {
+                OR = OpeningRange(
+                    30,
+                    OpeningRangeBarType.Minutes,
+                    new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3),
+                    new Stroke(Brushes.Yellow, DashStyleHelper.Solid, 3),
+                    new Stroke(Brushes.Gray, DashStyleHelper.Dot, 1)
+                );
+                Pivots = PivotHighLow(10, 10, 3,
+                    new Stroke(Brushes.LimeGreen, DashStyleHelper.Solid, 3), 
+                    new Stroke(Brushes.Red, DashStyleHelper.Solid, 3));
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar <= BarsRequiredToTrade)
+                return;
+
+            // Ignore tick bars. They are used only for entering trades.
+            // Also ignore data series used for opening range calculation.
+            if (BarsInProgress == 1 || BarsInProgress == 2)
+                return;
+
+            if (Position.MarketPosition != MarketPosition.Flat)
+            {
+                if (Position.MarketPosition == MarketPosition.Long)
+                {
+                    SetStopLoss("Long", CalculationMode.Price, Math.Max(OR.ORM[0], Pivots.PivotLow[0]), false);
+                    SetStopLoss("LongRunner", CalculationMode.Price, Math.Max(OR.ORM[0], Pivots.PivotLow[0]), false);
+                }
+                else
+                {
+                    SetStopLoss("Short", CalculationMode.Price, Math.Min(OR.ORM[0], Pivots.PivotHigh[0]), false);
+                    SetStopLoss("ShortRunner", CalculationMode.Price, Math.Min(OR.ORM[0], Pivots.PivotHigh[0]), false);
+                }
+                return;
+            }
+
+            if (TradeDate == Time[0].Date)
+                return;
+
+            if (!IsFirstTickOfBar)
+                return;
+
+            // TODO: Change opening range end time to be timezone-agnostic.
+            if (ToTime(Time[0]) <= 70000)
+                return;
+
+            if (Close[1] > OR.ORH[0])
+            {
+                SetStopLoss("Long", CalculationMode.Price, Math.Max(OR.ORM[0], Pivots.PivotLow[0]), false);
+                SetProfitTarget("Long", CalculationMode.Ticks, (OR.ORH[0] - OR.ORM[0]) / TickSize * 1.5);
+                EnterLong(1, DefaultQuantity, "Long");
+
+                SetStopLoss("LongRunner", CalculationMode.Price, OR.ORM[0], false);
+                EnterLong(1, DefaultQuantity, "LongRunner");
+
+                TradeDate = Time[0].Date;
+            }
+
+            if (Close[1] < OR.ORL[0])
+            {
+                SetStopLoss("Short", CalculationMode.Price, Math.Min(OR.ORM[0], Pivots.PivotHigh[0]), false);
+                SetProfitTarget("Short", CalculationMode.Ticks, (OR.ORM[0] - OR.ORL[0]) / TickSize * 1.5);
+                EnterShort(1, DefaultQuantity, "Short");
+
+                SetStopLoss("ShortRunner", CalculationMode.Price, OR.ORM[0], false);
+                EnterShort(1, DefaultQuantity, "ShortRunner");
+
+                TradeDate = Time[0].Date;
+            }
+        }
+    }
+}