84 lines
2.9 KiB
C#
84 lines
2.9 KiB
C#
#region Using declarations
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using NinjaTrader.NinjaScript.Indicators;
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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 InternalBarStrengthBandBot : Strategy
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{
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private InternalBarStrength ibs;
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private MAX highestHigh;
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private SMA highMinusLowAverage;
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private SMA longTermTrend;
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private Series<double> highMinusLow;
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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 = "Internal Bar Strength Band Bot";
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Description = @"Long only bot which bases trades on internal bar strength and lower band condition";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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LowerBandMultiplier = 2.5;
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IBSEntryThreshold = 0.3;
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RollingHighPeriod = 10;
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HighMinusLowPeriod = 25;
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LongTermTrendPeriod = 200;
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}
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else if (State == State.DataLoaded)
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{
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highMinusLow = new Series<double>(this);
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ibs = InternalBarStrength();
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highestHigh = MAX(High, RollingHighPeriod);
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highMinusLowAverage = SMA(highMinusLow, HighMinusLowPeriod);
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longTermTrend = SMA(LongTermTrendPeriod);
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}
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}
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protected override void OnBarUpdate()
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{
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highMinusLow[0] = High[0] - Low[0];
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if (CurrentBar < BarsRequiredToTrade)
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return;
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double lowerBand = highestHigh[0] - (LowerBandMultiplier * highMinusLowAverage[0]);
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if (Close[0] < lowerBand && ibs[0] < IBSEntryThreshold && Close[0] > longTermTrend[0])
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EnterLong();
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if (Close[0] > High[1])
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ExitLong();
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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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[Display(Name = "Lower Band Multiplier", GroupName = "Internal Bar Strength Band Bot", Order = 1)]
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public double LowerBandMultiplier { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "IBS Entry Threshold", GroupName = "Internal Bar Strength Band Bot", Order = 2)]
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public double IBSEntryThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Rolling High Period", GroupName = "Internal Bar Strength Band Bot", Order = 3)]
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public int RollingHighPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "High Minus Low Period", GroupName = "Internal Bar Strength Band Bot", Order = 4)]
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public int HighMinusLowPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long-Term Trend Period", GroupName = "Internal Bar Strength Band Bot", Order = 5)]
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public int LongTermTrendPeriod { get; set; }
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}
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}
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