Add trend breakout strategy taken from chapter 3 of Kaufman Constructs Trading Systems

2024-06-16 05:30:30 -07:00 · 2024-06-16 05:30:30 -07:00 · a03bde4b15
commit a03bde4b15
parent 702d7b4a95
1 changed files with 115 additions and 0 deletions
--- a/strategies/TrendBreakout.cs
+++ b/strategies/TrendBreakout.cs
@ -0,0 +1,115 @@
+#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;
+using NinjaTrader.Gui.PropertiesTest;
+#endregion
+
+//This namespace holds Strategies in this folder and is required. Do not change it. 
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class TrendBreakout : Strategy
+    {
+        private ATR atr;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Taken from Chapter 3 of Kaufman Constructs Trading Systems";
+                Name = "Trend Breakout";
+                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;
+
+                Period = 120;
+                ATRPeriod = 14;
+                ATRMultiplier = 2;
+            }
+            else if (State == State.DataLoaded)
+            {
+                atr = ATR(ATRPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < Period)
+                return;
+
+            double highestHigh = MAX(High, Period)[1];
+            double lowestLow = MIN(Low, Period)[1];
+
+            /*double atrValue = atr[0];
+            double stopLoss = ATRMultiplier * atrValue;
+            double profitTarget = ATRMultiplier * atrValue;*/
+
+            if (Close[0] > highestHigh)
+            {
+                EnterLong();
+                //SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
+                //SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
+            }
+
+            /*if (Close[0] < lowestLow)
+            {
+                EnterShort();
+                SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
+                SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
+            }*/
+
+            if (Position.MarketPosition == MarketPosition.Long && Close[0] < lowestLow)
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        #region Properties
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Period", Description = "Period for highest high and lowest low", Order = 1, GroupName = "Trend Breakout")]
+        public int Period { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Period", GroupName = "Trend Breakout", Order = 2)]
+        public int ATRPeriod { get; set; }
+
+        [Range(0.1, double.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Multiplier", GroupName = "Trend Breakout", Order = 3)]
+        public double ATRMultiplier { get; set; }
+        #endregion
+    }
+}