From f2c01f9bb518dc9fd125934038a52c5750fb84d4 Mon Sep 17 00:00:00 2001
From: moshferatu <moshferatu@moshferatu.dev>
Date: Fri, 13 Sep 2024 11:34:19 -0700
Subject: [PATCH] Initial commit of 3-Day High / Low strategy

---
 .../3-day-high-low/ThreeDayHighLowBot.cs      | 128 ++++++++++++++++++
 1 file changed, 128 insertions(+)
 create mode 100644 strategies/3-day-high-low/ThreeDayHighLowBot.cs

diff --git a/strategies/3-day-high-low/ThreeDayHighLowBot.cs b/strategies/3-day-high-low/ThreeDayHighLowBot.cs
new file mode 100644
index 0000000..2fb35ab
--- /dev/null
+++ b/strategies/3-day-high-low/ThreeDayHighLowBot.cs
@@ -0,0 +1,128 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class ThreeDayHighLowBot : Strategy
+    {
+        private SMA longTermTrend;
+        private SMA shortTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "3-Day High / Low Bot";
+                Description = @"Taken from chapter 2 of High Probability ETF Trading (2009) by Larry Connors";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 2;
+                IsInstantiatedOnEachOptimizationIteration = false;
+
+                ConsecutiveDays = 3;
+                LongTermTrendPeriod = 200;
+                ShortTermTrendPeriod = 5;
+                EnableLongTrades = true;
+                EnableShortTrades = true;
+                EnableAggressiveEntries = false;
+            }
+            else if (State == State.DataLoaded)
+            {
+                longTermTrend = SMA(LongTermTrendPeriod);
+                shortTermTrend = SMA(ShortTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < Math.Max(LongTermTrendPeriod, ConsecutiveDays + 1))
+                return;
+
+            if (EnableLongTrades)
+            {
+                if (Close[0] > longTermTrend[0] && Close[0] < shortTermTrend[0])
+                {
+                    if (IsConsecutiveLowerHighsAndLows(ConsecutiveDays))
+                    {
+                        if (Position.MarketPosition == MarketPosition.Flat)
+                            EnterLong();
+                        else if (Position.MarketPosition == MarketPosition.Long && Close[0] < Position.AveragePrice 
+                            && EnableAggressiveEntries)
+                            EnterLong();
+                    }
+                }
+
+                if (Position.MarketPosition == MarketPosition.Long && Close[0] > shortTermTrend[0])
+                    ExitLong();
+            }
+
+            if (EnableShortTrades)
+            {
+                if (Close[0] < longTermTrend[0] && Close[0] > shortTermTrend[0])
+                {
+                    if (IsConsecutiveHigherHighsAndLows(ConsecutiveDays))
+                    {
+                        if (Position.MarketPosition == MarketPosition.Flat)
+                            EnterShort();
+                        else if (Position.MarketPosition == MarketPosition.Short && Close[0] > Position.AveragePrice 
+                            && EnableAggressiveEntries)
+                            EnterShort();
+                    }
+                }
+
+                if (Position.MarketPosition == MarketPosition.Short && Close[0] < shortTermTrend[0])
+                    ExitShort();
+            }
+        }
+
+        private bool IsConsecutiveLowerHighsAndLows(int days)
+        {
+            for (int i = 0; i < days; i++)
+            {
+                if (High[i] >= High[i + 1] || Low[i] >= Low[i + 1])
+                    return false;
+            }
+            return true;
+        }
+
+        private bool IsConsecutiveHigherHighsAndLows(int days)
+        {
+            for (int i = 0; i < days; i++)
+            {
+                if (High[i] <= High[i + 1] || Low[i] <= Low[i + 1])
+                    return false;
+            }
+            return true;
+        }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Consecutive Days", GroupName = "3-Day High / Low Bot", Order = 1)]
+        public int ConsecutiveDays { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Long-Term Trend Period", GroupName = "3-Day High / Low Bot", Order = 2)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Short-Term Trend Period", GroupName = "3-Day High / Low Bot", Order = 3)]
+        public int ShortTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Enable Long Trades", GroupName = "3-Day High / Low Bot", Order = 4)]
+        public bool EnableLongTrades { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Enable Short Trades", GroupName = "3-Day High / Low Bot", Order = 5)]
+        public bool EnableShortTrades { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Enable Aggressive Entries", GroupName = "3-Day High / Low Bot", Order = 6)]
+        public bool EnableAggressiveEntries { get; set; }
+    }
+}