94 lines
3.3 KiB
C#
94 lines
3.3 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 IntradayWeaknessBot : Strategy
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{
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private MIN lows;
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private SMA longTermTrend;
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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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Description = @"Taken from chapter 8 of Short Term Trading Strategies That Work";
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Name = "Intraday Weakness Bot";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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EntryHandling = EntryHandling.AllEntries;
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IsExitOnSessionCloseStrategy = true;
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ExitOnSessionCloseSeconds = 30;
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IsFillLimitOnTouch = false;
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MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
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OrderFillResolution = OrderFillResolution.Standard;
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Slippage = 0;
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StartBehavior = StartBehavior.WaitUntilFlat;
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TimeInForce = TimeInForce.Gtc;
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TraceOrders = false;
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RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
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StopTargetHandling = StopTargetHandling.PerEntryExecution;
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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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LongTermTrendPeriod = 200;
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LowPeriod = 10;
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DaysToExit = 5;
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UseLimitOrders = false;
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LimitOrderPercent = 1;
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}
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else if (State == State.DataLoaded)
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{
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lows = MIN(Close, LowPeriod);
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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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if (CurrentBar < Math.Max(LowPeriod, LongTermTrendPeriod))
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return;
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if (BarsSinceEntryExecution() == DaysToExit)
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ExitLong();
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if (Close[0] == lows[0] && Close[0] > longTermTrend[0])
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{
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if (UseLimitOrders)
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EnterLongLimit(Close[0] * (1 - (LimitOrderPercent / 100)));
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else
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EnterLong();
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}
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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 = "Long Term Trend Period", GroupName = "Intraday Weakness Bot", Order = 1)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Low Period", GroupName = "Intraday Weakness Bot", Order = 2)]
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public int LowPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Days to Exit", GroupName = "Intraday Weakness Bot", Order = 3)]
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public int DaysToExit { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Use Limit Orders", GroupName = "Intraday Weakness Bot", Order = 4)]
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public bool UseLimitOrders { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Limit Order Percent", GroupName = "Intraday Weakness Bot", Order = 5)]
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public double LimitOrderPercent { get; set; }
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}
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}
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