70 lines
2.5 KiB
C#
70 lines
2.5 KiB
C#
#region Using declarations
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using NinjaTrader.Cbi;
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using NinjaTrader.Data;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class ThreeDayTradeBot : Strategy
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{
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private const int PrimaryBars = 0;
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private const int MinuteBars = 1;
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private const string LongEntry = "3-Day Trade Long";
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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 = @"Based on the 3-Day Trade, taken from chapter 24 of Kaufman Constructs Trading Systems";
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Name = "3-Day Trade 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 = 3;
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IsInstantiatedOnEachOptimizationIteration = true;
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}
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else if (State == State.Configure)
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{
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AddDataSeries(BarsPeriodType.Minute, 1);
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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 (CurrentBars[PrimaryBars] < BarsRequiredToTrade || CurrentBars[MinuteBars] < BarsRequiredToTrade)
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return;
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if (BarsInProgress == PrimaryBars && BarsSinceEntryExecution(PrimaryBars, LongEntry, 0) == 1)
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ExitLong();
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if (BarsInProgress != MinuteBars)
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return;
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if (Closes[PrimaryBars][0] < Opens[PrimaryBars][0] && Closes[PrimaryBars][1] < Opens[PrimaryBars][1])
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{
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if (Bars.IsFirstBarOfSession && Opens[MinuteBars][0] < Closes[PrimaryBars][0])
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EnterLong(LongEntry);
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else if (Bars.IsLastBarOfSession && Closes[MinuteBars][0] < Closes[PrimaryBars][0])
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EnterLong(LongEntry);
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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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}
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}
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