diff --git a/strategies/MovingAverageCrossoverBot.cs b/strategies/MovingAverageCrossoverBot.cs new file mode 100644 index 0000000..e2c2cc9 --- /dev/null +++ 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; } + } +}