116 lines
3.9 KiB
C#
116 lines
3.9 KiB
C#
#region Using declarations
|
|
using System;
|
|
using System.Collections.Generic;
|
|
using System.ComponentModel;
|
|
using System.ComponentModel.DataAnnotations;
|
|
using System.Linq;
|
|
using System.Text;
|
|
using System.Threading.Tasks;
|
|
using System.Windows;
|
|
using System.Windows.Input;
|
|
using System.Windows.Media;
|
|
using System.Xml.Serialization;
|
|
using NinjaTrader.Cbi;
|
|
using NinjaTrader.Gui;
|
|
using NinjaTrader.Gui.Chart;
|
|
using NinjaTrader.Gui.SuperDom;
|
|
using NinjaTrader.Gui.Tools;
|
|
using NinjaTrader.Data;
|
|
using NinjaTrader.NinjaScript;
|
|
using NinjaTrader.Core.FloatingPoint;
|
|
using NinjaTrader.NinjaScript.Indicators;
|
|
using NinjaTrader.NinjaScript.DrawingTools;
|
|
using NinjaTrader.Gui.PropertiesTest;
|
|
#endregion
|
|
|
|
//This namespace holds Strategies in this folder and is required. Do not change it.
|
|
namespace NinjaTrader.NinjaScript.Strategies
|
|
{
|
|
public class TrendBreakout : Strategy
|
|
{
|
|
private ATR atr;
|
|
|
|
protected override void OnStateChange()
|
|
{
|
|
if (State == State.SetDefaults)
|
|
{
|
|
Description = @"Taken from Chapter 3 of Kaufman Constructs Trading Systems";
|
|
Name = "Trend Breakout";
|
|
Calculate = Calculate.OnBarClose;
|
|
EntriesPerDirection = 1;
|
|
EntryHandling = EntryHandling.AllEntries;
|
|
IsExitOnSessionCloseStrategy = true;
|
|
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 = 20;
|
|
IsInstantiatedOnEachOptimizationIteration = true;
|
|
|
|
Period = 120;
|
|
ATRPeriod = 14;
|
|
ATRMultiplier = 2;
|
|
}
|
|
else if (State == State.DataLoaded)
|
|
{
|
|
atr = ATR(ATRPeriod);
|
|
}
|
|
}
|
|
|
|
protected override void OnBarUpdate()
|
|
{
|
|
if (CurrentBar < Period)
|
|
return;
|
|
|
|
double highestHigh = MAX(High, Period)[1];
|
|
double lowestLow = MIN(Low, Period)[1];
|
|
|
|
/*double atrValue = atr[0];
|
|
double stopLoss = ATRMultiplier * atrValue;
|
|
double profitTarget = ATRMultiplier * atrValue;*/
|
|
|
|
if (Close[0] > highestHigh)
|
|
{
|
|
EnterLong();
|
|
//SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
|
|
//SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
|
|
}
|
|
|
|
/*if (Close[0] < lowestLow)
|
|
{
|
|
EnterShort();
|
|
SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
|
|
SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
|
|
}*/
|
|
|
|
if (Position.MarketPosition == MarketPosition.Long && Close[0] < lowestLow)
|
|
ExitLong();
|
|
}
|
|
|
|
public override string DisplayName
|
|
{
|
|
get { return Name; }
|
|
}
|
|
|
|
#region Properties
|
|
[Range(1, int.MaxValue), NinjaScriptProperty]
|
|
[Display(Name = "Period", Description = "Period for highest high and lowest low", Order = 1, GroupName = "Trend Breakout")]
|
|
public int Period { get; set; }
|
|
|
|
[Range(1, int.MaxValue), NinjaScriptProperty]
|
|
[Display(Name = "ATR Period", GroupName = "Trend Breakout", Order = 2)]
|
|
public int ATRPeriod { get; set; }
|
|
|
|
[Range(0.1, double.MaxValue), NinjaScriptProperty]
|
|
[Display(Name = "ATR Multiplier", GroupName = "Trend Breakout", Order = 3)]
|
|
public double ATRMultiplier { get; set; }
|
|
#endregion
|
|
}
|
|
}
|