Simple trend following bot

2024-06-18 04:36:10 -07:00 · 2024-06-18 04:36:10 -07:00 · d61d7ea08c
commit d61d7ea08c
parent 28d1ccada8
1 changed files with 92 additions and 0 deletions
--- a/strategies/TrendFollowing.cs
+++ b/strategies/TrendFollowing.cs
@ -0,0 +1,92 @@
+#region Using declarations
+using System;
+using System.ComponentModel.DataAnnotations;
+using NinjaTrader.Cbi;
+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 TrendFollowing : Strategy
+    {
+        private ATR atr;
+        private MovingAverage movingAverage;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Determines trend based on moving average slope, takes longs only";
+                Name = "Trend Following";
+                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;
+
+                MovingAveragePeriod = 100;
+                TakeProfit = false;
+                ATRPeriod = 14;
+                ATRMultiplier = 2;
+            }
+            else if (State == State.DataLoaded)
+            {
+                atr = ATR(ATRPeriod);
+                movingAverage = MovingAverage(MovingAveragePeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < Math.Max(MovingAveragePeriod, ATRPeriod))
+                return;
+
+            double atrValue = atr[0];
+            double profitTarget = ATRMultiplier * atrValue;
+
+            if (movingAverage[0] > movingAverage[1])
+            {
+                EnterLong();
+
+                if (TakeProfit)
+                    SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
+            }
+            else if (movingAverage[0] < movingAverage[1])
+            {
+                ExitLong();
+            }
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "Moving Average Period", GroupName = "Trend Following", Order = 1)]
+        public int MovingAveragePeriod { get; set; }
+
+        [Display(Name = "Take Profit", GroupName = "Trend Following", Order = 2)]
+        public bool TakeProfit { get; set; }
+
+        [Range(1, int.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Period", GroupName = "Trend Following", Order = 3)]
+        public int ATRPeriod { get; set; }
+
+        [Range(0.1, double.MaxValue), NinjaScriptProperty]
+        [Display(Name = "ATR Multiplier", GroupName = "Trend Following", Order = 4)]
+        public double ATRMultiplier { get; set; }
+    }
+}