74 lines
2.2 KiB
C#
74 lines
2.2 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 HILOIndexLows : Strategy
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{
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private const int PrimaryBars = 0;
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private HILOIndex HILO;
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private MIN HILOLows;
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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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Name = "HILO Index Lows";
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Description = @"Based on chatper 8 of How Markets Really Work (2012) by Larry Connors";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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LowPeriod = 5;
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LongTermTrendPeriod = 200;
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DaysToExit = 5;
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}
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else if (State == State.Configure)
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{
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AddDataSeries("FINH");
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AddDataSeries("FINL");
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BarsRequiredToTrade = LowPeriod;
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}
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else if (State == State.DataLoaded)
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{
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HILO = HILOIndex();
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HILOLows = MIN(HILO, 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 (PrimaryBars != BarsInProgress || CurrentBar < LowPeriod)
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return;
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if (HILO[0] == HILOLows[0] && Close[0] > LongTermTrend[0])
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EnterLong();
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if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
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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 = "Low Period", GroupName = "HILO Index Lows", Order = 1)]
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public int LowPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long-Term Trend Period", GroupName = "HILO Index Lows", Order = 2)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Days to Exit", GroupName = "HILO Index Lows", Order = 3)]
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public int DaysToExit { get; set; }
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}
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}
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