diff --git a/strategies/SonicRBot.cs b/strategies/SonicRBot.cs new file mode 100644 index 0000000..919dc31 --- /dev/null +++ b/strategies/SonicRBot.cs @@ -0,0 +1,154 @@ +#region Using declarations +using NinjaTrader.Cbi; +using NinjaTrader.Data; +using NinjaTrader.NinjaScript.Indicators; +using System.ComponentModel.DataAnnotations; +#endregion + +//This namespace holds Strategies in this folder and is required. Do not change it. +namespace NinjaTrader.NinjaScript.Strategies +{ + public class SonicRBot : Strategy + { + private ATR atr; + private OpeningRange openingRange; + private SonicRDragon dragon; + + private bool lookingLong; + private bool lookingShort; + + private bool waitingForLongBreak; + private bool waitingForShortBreak; + + private double breakPrice; + + protected override void OnStateChange() + { + if (State == State.SetDefaults) + { + Description = @"Inspired by the Sonic R System created by sonicdeejay on the Forex Factory forums"; + Name = "Sonic R 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 = 100; + IsInstantiatedOnEachOptimizationIteration = true; + + DragonPeriod = 34; + ATRPeriod = 14; + ATRMultiplier = 2.0; + OpeningRangePeriod = 30; + } + 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) + { + atr = ATR(ATRPeriod); + openingRange = OpeningRange(OpeningRangePeriod, OpeningRangeBarType.Minutes); + dragon = SonicRDragon(DragonPeriod); + } + } + + protected override void OnBarUpdate() + { + if (BarsInProgress != 0) + return; + + if (CurrentBar < BarsRequiredToTrade) + return; + + if (Position.MarketPosition != MarketPosition.Flat) + return; + + if (Open[0] < dragon.HighEMA[0] && Close[0] > dragon.HighEMA[0])// && + //openingRange.ORH[0] > 0.0 && Close[0] > openingRange.ORH[0]) + { + lookingLong = true; + + lookingShort = false; + waitingForLongBreak = false; + waitingForShortBreak = false; + } + else if (Open[0] > dragon.LowEMA[0] && Close[0] < dragon.LowEMA[0])// && + //openingRange.ORL[0] > 0.0 && Close[0] < openingRange.ORL[0]) + { + lookingShort = true; + + lookingLong = false; + waitingForLongBreak = false; + waitingForShortBreak = false; + } + + if (lookingLong && Close[0] < Open[0]) + { + waitingForLongBreak = true; + breakPrice = Close[1]; + lookingLong = false; + } + else if (lookingShort && Close[0] > Open[0]) + { + waitingForShortBreak = true; + breakPrice = Close[1]; + lookingShort = false; + } + + double atrValue = atr[0]; + double stopLoss = ATRMultiplier * atrValue; + double profitTarget = ATRMultiplier * atrValue; + + if (waitingForLongBreak && Close[0] > breakPrice) + { + SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize); + SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize); + EnterLong(); + waitingForLongBreak = false; + } + else if (waitingForShortBreak && Close[0] < breakPrice) + { + SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize); + SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize); + EnterShort(); + waitingForShortBreak = false; + } + } + + public override string DisplayName + { + get { return Name; } + } + + #region Properties + [NinjaScriptProperty] + [Range(1, int.MaxValue)] + [Display(Name = "Dragon Period", Description = "Period for the Sonic R Dragon", Order = 1, GroupName = "Sonic R Bot")] + public int DragonPeriod { get; set; } + + [Range(1, int.MaxValue), NinjaScriptProperty] + [Display(Name = "ATR Period", GroupName = "Volatility Regime Bot", Order = 2)] + public int ATRPeriod { get; set; } + + [Range(0.1, double.MaxValue), NinjaScriptProperty] + [Display(Name = "ATR Multiplier", GroupName = "Volatility Regime Bot", Order = 3)] + public double ATRMultiplier { get; set; } + + [Range(1, int.MaxValue), NinjaScriptProperty] + [Display(Name = "Opening Range Period", GroupName = "Volatility Regime Bot", Order = 4)] + public int OpeningRangePeriod { get; set; } + #endregion + } +}