Add alternate moving average crossover strategy

2024-06-09 06:09:26 -07:00 · 2024-06-09 06:09:26 -07:00 · c8ac80e7ff
commit c8ac80e7ff
parent 820f3108cd
1 changed files with 126 additions and 0 deletions
--- a/strategies/MovingAverageCrossoverBot.cs
+++ b/strategies/MovingAverageCrossoverBot.cs
@ -0,0 +1,126 @@
+#region Using declarations
+using System;
+using System.ComponentModel.DataAnnotations;
+using NinjaTrader.Cbi;
+using NinjaTrader.Data;
+using NinjaTrader.NinjaScript.Indicators;
+#endregion
+
+//This namespace holds Strategies in this folder and is required. Do not change it. 
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class MovingAverageCrossoverBot : Strategy
+    {
+        private MovingAverage ma1;
+        private MovingAverage ma2;
+        private MovingAverage ma3;
+        private ATR atr;
+        private OpeningRange openingRange;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"";
+                Name = "Moving Average Crossover 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;
+
+                MovingAveragePeriod1 = 3;
+                MovingAveragePeriod2 = 17;
+                MovingAveragePeriod3 = 50;
+                ATRPeriod = 14;
+                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)
+            {
+                atr = ATR(ATRPeriod);
+                ma1 = MovingAverage(MovingAveragePeriod1);
+                ma2 = MovingAverage(MovingAveragePeriod2);
+                ma3 = MovingAverage(MovingAveragePeriod3);
+                openingRange = OpeningRange(30, OpeningRangeBarType.Minutes);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != 1)
+                return;
+
+            if (CurrentBar < BarsRequiredToTrade)
+                return;
+
+            if (Position.MarketPosition != MarketPosition.Flat)
+                return;
+
+            DateTime now = Time[0];
+            if (now <= openingRange.GetOpeningRangeEndTime(now))
+                return;
+
+            double atrValue = atr[0];
+            double stopLoss = ATRMultiplier * atrValue;
+
+            if (CrossAbove(ma1, ma2, 1) &&
+                //ma2[0] > ma3[0] &&
+                openingRange.ORH[0] > 0.0 &&
+                Close[0] > openingRange.ORH[0])
+            {
+                EnterLong();
+                SetTrailStop(CalculationMode.Ticks, stopLoss / TickSize);
+            }
+            else if (CrossBelow(ma1, ma2, 1) &&
+                //ma2[0] < ma3[0] &&
+                openingRange.ORL[0] > 0.0 &&
+                Close[0] < openingRange.ORL[0])
+            {
+                EnterShort();
+                SetTrailStop(CalculationMode.Ticks, stopLoss / TickSize);
+            }
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Moving Average Period 1", GroupName = "Moving Average Crossover Bot", Order = 1)]
+        public int MovingAveragePeriod1 { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Moving Average Period 2", GroupName = "Moving Average Crossover Bot", Order = 2)]
+        public int MovingAveragePeriod2 { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Moving Average Period 3", GroupName = "Moving Average Crossover Bot", Order = 3)]
+        public int MovingAveragePeriod3 { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Period", GroupName = "Moving Average Crossover Bot", Order = 4)]
+        public int ATRPeriod { get; set; }
+
+        [Range(0.1, double.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Multiplier", GroupName = "Moving Average Crossover Bot", Order = 5)]
+        public double ATRMultiplier { get; set; }
+    }
+}