moshferatu/ninjatrader
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Initial commit of Advance / Decline Ratio strategy

Browse Source
This commit is contained in:
moshferatu 2024-11-15 06:07:34 -08:00
parent abf6bf3a7b
commit 94fcc058ee
1 changed files with 91 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

91
strategies/advances-and-declines/AdvanceDeclineRatioBot.cs Normal file
View File

@ -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; }
}
}