Add strategy based on Williams %R

2024-08-04 07:01:14 -07:00 · 2024-08-04 07:01:14 -07:00 · b21523e6f1
commit b21523e6f1
parent 9cfcf66650
1 changed files with 106 additions and 0 deletions
--- a/strategies/WilliamsPercentRBot.cs
+++ b/strategies/WilliamsPercentRBot.cs
@ -0,0 +1,106 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{   
+    public class WilliamsPercentRBot : Strategy
+    {
+        private WilliamsR williamsR;
+
+        private SMA longTermTrend;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Williams %R Bot";
+                Name = "Williams %R Bot";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+                EntryHandling = EntryHandling.AllEntries;
+                IsExitOnSessionCloseStrategy = false;
+                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;
+
+                WilliamsPercentRPeriod = 2;
+                EntryThreshold = -90;
+                ExitThreshold = -30;
+                UseNewHighExit = false;
+                UseTrendFilter = false;
+                TrendFilterPeriod = 20;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries(BarsPeriodType.Day, 1);
+            }
+            else if (State == State.DataLoaded)
+            {
+                williamsR = WilliamsR(WilliamsPercentRPeriod);
+
+                longTermTrend = SMA(BarsArray[1], TrendFilterPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < WilliamsPercentRPeriod)
+                return;
+
+            if (UseTrendFilter && CurrentBars[1] < TrendFilterPeriod)
+                return;
+
+            if (williamsR[0] < EntryThreshold)
+            {
+                if (UseTrendFilter && Close[0] < longTermTrend[0])
+                    return;
+
+                EnterLong();
+            }
+            else if (williamsR[0] > ExitThreshold || (UseNewHighExit && Close[0] > High[1]))
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Williams %R Period", GroupName = "Williams %R Bot", Order = 1)]
+        public int WilliamsPercentRPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Entry Threshold", GroupName = "Williams %R Bot", Order = 2)]
+        public int EntryThreshold { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Exit Threshold", GroupName = "Williams %R Bot", Order = 3)]
+        public int ExitThreshold { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Use New High Exit", GroupName = "Williams %R Bot", Order = 4)]
+        public bool UseNewHighExit { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Use Trend Filter", GroupName = "Williams %R Bot", Order = 5)]
+        public bool UseTrendFilter { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Trend Filter Period", GroupName = "Williams %R Bot", Order = 6)]
+        public int TrendFilterPeriod { get; set; }
+    }
+}