Add basic moving average crossover strategy

2023-11-15 06:28:52 -08:00 · 2023-11-15 06:28:52 -08:00 · b0eb691e72
commit b0eb691e72
parent f0580212fa
1 changed files with 79 additions and 0 deletions
--- a/strategies/MovingAverageCrossover.cs
+++ b/strategies/MovingAverageCrossover.cs
@ -0,0 +1,79 @@
+#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 MovingAverageCrossover : Strategy
+    {
+        private EMA fastMA;
+        private EMA slowMA;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Moving Average Crossover";
+                Name = "Moving Average Crossover";
+                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;
+            }
+            else if (State == State.Configure)
+            {
+                fastMA = EMA(3);
+                slowMA = EMA(17);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < BarsRequiredToTrade)
+                return;
+
+            if (CrossAbove(fastMA, slowMA, 1))
+            {
+                if (Position.MarketPosition != MarketPosition.Long)
+                    EnterLong();
+            }
+            else if (CrossBelow(fastMA, slowMA, 1))
+            {
+                if (Position.MarketPosition != MarketPosition.Short)
+                    EnterShort();
+            }
+        }
+    }
+}