Initial commit of Advance / Decline Ratio strategy

strategies/advances-and-declines/AdvanceDeclineRatioBot.cs

@@ -0,0 +1,91 @@
+#region Using declarations
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class AdvanceDeclineRatioBot : Strategy
+    {
+        private const int PrimaryBars = 0;
+        private const int AdvanceBars = 1;
+        private const int DeclineBars = 2;
+
+        private SMA LongTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "Advance / Decline Bot";
+                Description = @"Based on chatper 5 (Market Breadth) of How Markets Really Work (2012) by Larry Connors";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+
+                Advances = 1.0;
+                Declines = 2.0;
+                LongTermTrendPeriod = 200;
+                DaysToExit = 5;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries("^ADV");
+                AddDataSeries("^DECL");
+            }
+            else if (State == State.DataLoaded)
+            {
+                LongTermTrend = SMA(LongTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (PrimaryBars != BarsInProgress)
+                return;
+
+            if (CurrentBars[AdvanceBars] < 1 || CurrentBars[DeclineBars] < 1)
+                return;
+
+            if (Close[0] < LongTermTrend[0])
+                return;
+
+            double advances = BarsArray[AdvanceBars].GetClose(BarsArray[AdvanceBars].GetBar(Time[0]));
+            double declines = BarsArray[DeclineBars].GetClose(BarsArray[DeclineBars].GetBar(Time[0]));
+
+            if (Advances >= Declines)
+            {
+                if ((advances / declines) >= (Advances / Declines))
+                    EnterLong();
+            }
+            else
+            {
+                if ((declines / advances) >= (Declines / Advances))
+                    EnterLong();
+            }
+
+            if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Advances", GroupName = "Advance / Decline Bot", Order = 1)]
+        public double Advances { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Declines", GroupName = "Advance / Decline Bot", Order = 2)]
+        public double Declines { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long-Term Trend Period", GroupName = "Advance / Decline Bot", Order = 3)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Days to Exit", GroupName = "Advance / Decline Bot", Order = 4)]
+        public int DaysToExit { get; set; }
+    }
+}