71 lines
2.6 KiB
C#
71 lines
2.6 KiB
C#
#region Using declarations
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using NinjaTrader.Cbi;
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using NinjaTrader.Data;
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using System;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class DailyReversalBot : 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 DateTime sessionClose;
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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 an idea shared by u/Russ_CW on r/algotrading";
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Name = "Daily Reversal 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 = 2;
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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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else if (State == State.DataLoaded)
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{
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SessionIterator chartSession = new SessionIterator(BarsArray[PrimaryBars]);
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sessionClose = chartSession.GetTradingDayEndLocal(chartSession.ActualTradingDayExchange);
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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 || BarsInProgress != MinuteBars)
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return;
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// Using fixed position sizing to account for lower index values in the past.
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int quantity = (int)Math.Floor(10000 / Close[0]);
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if (Lows[PrimaryBars][0] < Lows[PrimaryBars][1] && Highs[PrimaryBars][0] < Highs[PrimaryBars][1])
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{
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if (Bars.IsFirstBarOfSession && Open[0] > Highs[PrimaryBars][0])
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EnterLong(quantity);
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else
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EnterLongStopLimit(quantity, Highs[PrimaryBars][0], Highs[PrimaryBars][0]);
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}
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if (ToTime(Time[0]) == ToTime(sessionClose.AddMinutes(-1)))
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ExitLong();
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}
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}
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}
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