Initial commit of Turnaround strategy

2024-11-14 05:53:22 -08:00 · 2024-11-14 05:53:22 -08:00 · 92a6c244f1
commit 92a6c244f1
parent 95c5750718
1 changed files with 49 additions and 0 deletions
--- a/strategies/turnaround/TurnaroundBot.cs
+++ b/strategies/turnaround/TurnaroundBot.cs
@ -0,0 +1,49 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using System;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class TurnaroundBot : Strategy
+    {
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Turnaround Tuesday / Wednesday";
+                Name = "Turnaround Bot";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+                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;
+                IsInstantiatedOnEachOptimizationIteration = true;
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < BarsRequiredToTrade) return;
+
+            // Entry
+            if ((Time[0].DayOfWeek == DayOfWeek.Monday || Time[0].DayOfWeek == DayOfWeek.Tuesday) &&
+                Close[0] < Close[1] && Close[1] < Close[2])
+                EnterLong();
+
+            // Exit
+            if (Position.MarketPosition == MarketPosition.Long && Close[0] > High[1])
+                ExitLong();
+        }
+    }
+}