127 lines
4.7 KiB
C#
127 lines
4.7 KiB
C#
#region Using declarations
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using System;
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using System.ComponentModel.DataAnnotations;
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using NinjaTrader.Cbi;
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using NinjaTrader.Data;
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using NinjaTrader.NinjaScript.Indicators;
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#endregion
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//This namespace holds Strategies in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class MovingAverageCrossoverBot : Strategy
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{
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private MovingAverage ma1;
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private MovingAverage ma2;
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private MovingAverage ma3;
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private ATR atr;
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private OpeningRange openingRange;
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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 = @"";
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Name = "Moving Average Crossover 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 = 100;
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IsInstantiatedOnEachOptimizationIteration = true;
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MovingAveragePeriod1 = 3;
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MovingAveragePeriod2 = 17;
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MovingAveragePeriod3 = 50;
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ATRPeriod = 14;
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ATRMultiplier = 2;
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}
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else if (State == State.Configure)
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{
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// Data series required by the opening range indicator, must be loaded here.
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AddDataSeries(BarsPeriodType.Minute, 1);
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AddDataSeries(Instrument.FullName, BarsPeriod, "US Equities RTH");
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}
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else if (State == State.DataLoaded)
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{
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atr = ATR(ATRPeriod);
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ma1 = MovingAverage(MovingAveragePeriod1);
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ma2 = MovingAverage(MovingAveragePeriod2);
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ma3 = MovingAverage(MovingAveragePeriod3);
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openingRange = OpeningRange(30, OpeningRangeBarType.Minutes);
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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 (BarsInProgress != 1)
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return;
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if (CurrentBar < BarsRequiredToTrade)
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return;
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if (Position.MarketPosition != MarketPosition.Flat)
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return;
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DateTime now = Time[0];
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if (now <= openingRange.GetOpeningRangeEndTime(now))
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return;
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double atrValue = atr[0];
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double stopLoss = ATRMultiplier * atrValue;
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if (CrossAbove(ma1, ma2, 1) &&
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//ma2[0] > ma3[0] &&
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openingRange.ORH[0] > 0.0 &&
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Close[0] > openingRange.ORH[0])
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{
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EnterLong();
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SetTrailStop(CalculationMode.Ticks, stopLoss / TickSize);
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}
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else if (CrossBelow(ma1, ma2, 1) &&
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//ma2[0] < ma3[0] &&
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openingRange.ORL[0] > 0.0 &&
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Close[0] < openingRange.ORL[0])
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{
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EnterShort();
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SetTrailStop(CalculationMode.Ticks, stopLoss / TickSize);
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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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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "Moving Average Period 1", GroupName = "Moving Average Crossover Bot", Order = 1)]
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public int MovingAveragePeriod1 { get; set; }
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "Moving Average Period 2", GroupName = "Moving Average Crossover Bot", Order = 2)]
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public int MovingAveragePeriod2 { get; set; }
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "Moving Average Period 3", GroupName = "Moving Average Crossover Bot", Order = 3)]
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public int MovingAveragePeriod3 { get; set; }
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "ATR Period", GroupName = "Moving Average Crossover Bot", Order = 4)]
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public int ATRPeriod { get; set; }
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[Range(0.1, double.MaxValue), NinjaScriptProperty]
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[Display(Name = "ATR Multiplier", GroupName = "Moving Average Crossover Bot", Order = 5)]
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public double ATRMultiplier { get; set; }
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}
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}
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