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