diff --git a/strategies/ThreeCandleReversalBot.cs b/strategies/ThreeCandleReversalBot.cs index e69de29..81351d2 100644 --- a/strategies/ThreeCandleReversalBot.cs +++ b/strategies/ThreeCandleReversalBot.cs @@ -0,0 +1,104 @@ +#region Using declarations +using NinjaTrader.Cbi; +using NinjaTrader.Data; +using NinjaTrader.NinjaScript.Indicators; +using System.ComponentModel.DataAnnotations; +#endregion + +namespace NinjaTrader.NinjaScript.Strategies +{ + public class ThreeCandleReversalBot : Strategy + { + private ThreeCandleReversal threeCandleReversal; + private ATR atr; + private OpeningRange openingRange; + + protected override void OnStateChange() + { + if (State == State.SetDefaults) + { + Description = @"Credit to @BestForexMethod"; + Name = "3CR Bot"; + 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; + + ThreeCandleReversalLookback = 5; + ATRPeriod = 10; + ATRMultiplier = 2; + } + else if (State == State.Configure) + { + // Data series required by the opening range indicator, must be loaded here. + AddDataSeries(BarsPeriodType.Minute, 1); + AddDataSeries(Instrument.FullName, BarsPeriod, "US Equities RTH"); + } + else if (State == State.DataLoaded) + { + threeCandleReversal = ThreeCandleReversal(ThreeCandleReversalLookback); + atr = ATR(ATRPeriod); + openingRange = OpeningRange(5, OpeningRangeBarType.Minutes); + } + } + + protected override void OnBarUpdate() + { + if (BarsInProgress != 0) + return; + + if (CurrentBar < BarsRequiredToTrade) + return; + + if (threeCandleReversal.DetectedPatterns[0] != null) + { + double atrValue = atr[0]; + double stopLoss = ATRMultiplier * atrValue; + double profitTarget = ATRMultiplier * atrValue; + + SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize); + SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize); + + if (threeCandleReversal.DetectedPatterns[0].IsSwingHigh && + openingRange.ORL[0] > 0.0 && Close[0] < openingRange.ORL[0]) + { + EnterShort(); + } + else if (threeCandleReversal.DetectedPatterns[0].IsSwingLow && + openingRange.ORH[0] > 0.0 && Close[0] > openingRange.ORH[0]) + { + EnterLong(); + } + } + } + + public override string DisplayName + { + get { return Name; } + } + + [Range(1, int.MaxValue), NinjaScriptProperty] + [Display(Name = "3CR Lookback", GroupName = "3CR Bot", Order = 1)] + public int ThreeCandleReversalLookback { get; set; } + + [Range(1, int.MaxValue), NinjaScriptProperty] + [Display(Name = "ATR Period", GroupName = "3CR Bot", Order = 2)] + public int ATRPeriod { get; set; } + + [Range(0.1, double.MaxValue), NinjaScriptProperty] + [Display(Name = "ATR Multiplier", GroupName = "3CR Bot", Order = 3)] + public double ATRMultiplier { get; set; } + } +}