ninjatrader/strategies/SonicRBot.cs

#region Using declarations
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    public class SonicRBot : Strategy
    {
        private ATR atr;
        private SMA longTermTrend;
        private OpeningRange openingRange;
        private SonicRDragon dragon;

        private bool lookingLong;
        private bool lookingShort;

        private bool waitingForLongBreak;
        private bool waitingForShortBreak;

        private double breakPrice;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Inspired by the Sonic R System created by sonicdeejay on the Forex Factory forums";
                Name = "Sonic R Bot";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;
                EntryHandling = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy = false;
                ExitOnSessionCloseSeconds = 30;
                IsFillLimitOnTouch = false;
                MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
                OrderFillResolution = OrderFillResolution.Standard;
                Slippage = 0;
                StartBehavior = StartBehavior.WaitUntilFlat;
                TimeInForce = TimeInForce.Gtc;
                TraceOrders = false;
                RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade = 100;
                IsInstantiatedOnEachOptimizationIteration = true;

                DragonPeriod = 34;
                ATRPeriod = 14;
                ATRMultiplier = 2.0;
                LongTermTrendPeriod = 20;
                OpeningRangePeriod = 3;
                LongOnly = true;
            }
            else if (State == State.Configure)
            {
                AddDataSeries(BarsPeriodType.Day, 1);

                // Data series required by the opening range indicator, must be loaded here.
                AddDataSeries(BarsPeriodType.Minute, 1);
                AddDataSeries(Instrument.FullName, BarsPeriod, "US Equities RTH");
            }
            else if (State == State.DataLoaded)
            {
                atr = ATR(ATRPeriod);
                longTermTrend = SMA(BarsArray[1], LongTermTrendPeriod);
                openingRange = OpeningRange(OpeningRangePeriod, OpeningRangeBarType.Minutes);
                dragon = SonicRDragon(DragonPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0 || CurrentBars[1] < 0)
                return;
            
            if (CurrentBar < BarsRequiredToTrade)
                return;

            if (Position.MarketPosition != MarketPosition.Flat)
            {
                if (Position.MarketPosition == MarketPosition.Long && Close[0] < dragon.LowEMA[0])
                    ExitLong();
                else if (Position.MarketPosition == MarketPosition.Short && Close[0] > dragon.HighEMA[0])
                    ExitShort();
                
                return;
            }

            if (Open[0] < dragon.HighEMA[0] && Close[0] > dragon.HighEMA[0] && Close[0] > longTermTrend[0] &&
                openingRange.ORH[0] > 0.0 && Close[0] > openingRange.ORH[0])
            {
                lookingLong = true;

                lookingShort = false;
                waitingForLongBreak = false;
                waitingForShortBreak = false;
            }
            else if (Open[0] > dragon.LowEMA[0] && Close[0] < dragon.LowEMA[0] && Close[0] < longTermTrend[0] &&
                openingRange.ORL[0] > 0.0 && Close[0] < openingRange.ORL[0])
            {
                lookingShort = true;

                lookingLong = false;
                waitingForLongBreak = false;
                waitingForShortBreak = false;
            }

            if (lookingLong && Close[0] < Open[0])
            {
                waitingForLongBreak = true;
                breakPrice = Close[1];
                lookingLong = false;
            }
            else if (lookingShort && Close[0] > Open[0])
            {
                waitingForShortBreak = true;
                breakPrice = Close[1];
                lookingShort = false;
            }

            if (waitingForLongBreak && Close[0] > breakPrice)
            {
                SetTrailStop(CalculationMode.Ticks, (ATRMultiplier * atr[0]) / TickSize);
                EnterLong();
                waitingForLongBreak = false;
            }
            else if (!LongOnly && waitingForShortBreak && Close[0] < breakPrice)
            {
                SetTrailStop(CalculationMode.Ticks, (ATRMultiplier * atr[0]) / TickSize);
                EnterShort();
                waitingForShortBreak = false;
            }
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        #region Properties
        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Dragon Period", Description = "Period for the Sonic R Dragon", GroupName = "Sonic R Bot", Order = 1)]
        public int DragonPeriod { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Period", GroupName = "Sonic R Bot", Order = 2)]
        public int ATRPeriod { get; set; }

        [Range(0.1, double.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Multiplier", GroupName = "Sonic R Bot", Order = 3)]
        public double ATRMultiplier { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Long Term Trend Period", GroupName = "Sonic R Bot", Order = 4)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Opening Range Period", GroupName = "Sonic R Bot", Order = 5)]
        public int OpeningRangePeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Long Only", GroupName = "Sonic R Bot", Order = 6)]
        public bool LongOnly { get; set; }
        #endregion
    }
}