72 lines
2.1 KiB
C#
72 lines
2.1 KiB
C#
#region Using declarations
|
|
using NinjaTrader.NinjaScript.Indicators;
|
|
using System.ComponentModel.DataAnnotations;
|
|
#endregion
|
|
|
|
namespace NinjaTrader.NinjaScript.Strategies
|
|
{
|
|
public class PutCallRatioHighs : Strategy
|
|
{
|
|
private const int PrimaryBars = 0;
|
|
|
|
private PutCallRatio PCR;
|
|
private MAX PCRHighs;
|
|
private SMA LongTermTrend;
|
|
|
|
protected override void OnStateChange()
|
|
{
|
|
if (State == State.SetDefaults)
|
|
{
|
|
Name = "Put / Call Ratio Highs";
|
|
Description = @"Based on chatper 9 of How Markets Really Work (2012) by Larry Connors";
|
|
Calculate = Calculate.OnBarClose;
|
|
EntriesPerDirection = 1;
|
|
|
|
HighPeriod = 5;
|
|
LongTermTrendPeriod = 200;
|
|
DaysToExit = 5;
|
|
}
|
|
else if (State == State.Configure)
|
|
{
|
|
AddDataSeries("VPOT");
|
|
AddDataSeries("VCOT");
|
|
}
|
|
else if (State == State.DataLoaded)
|
|
{
|
|
PCR = PutCallRatio();
|
|
PCRHighs = MAX(PCR, HighPeriod);
|
|
LongTermTrend = SMA(LongTermTrendPeriod);
|
|
}
|
|
}
|
|
|
|
protected override void OnBarUpdate()
|
|
{
|
|
if (PrimaryBars != BarsInProgress)
|
|
return;
|
|
|
|
if (PCR[0] == PCRHighs[0] && Close[0] > LongTermTrend[0])
|
|
EnterLong();
|
|
|
|
if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
|
|
ExitLong();
|
|
}
|
|
|
|
public override string DisplayName
|
|
{
|
|
get { return Name; }
|
|
}
|
|
|
|
[NinjaScriptProperty]
|
|
[Display(Name = "High Period", GroupName = "Put / Call Ratio Highs", Order = 1)]
|
|
public int HighPeriod { get; set; }
|
|
|
|
[NinjaScriptProperty]
|
|
[Display(Name = "Long-Term Trend Period", GroupName = "Put / Call Ratio Highs", Order = 2)]
|
|
public int LongTermTrendPeriod { get; set; }
|
|
|
|
[NinjaScriptProperty]
|
|
[Display(Name = "Days to Exit", GroupName = "Put / Call Ratio Highs", Order = 3)]
|
|
public int DaysToExit { get; set; }
|
|
}
|
|
}
|