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SMATrade.cs
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SMATrade.cs
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#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion
// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
/// <summary>
/// Uses the SMA to determine sustained trends and reversing trends
/// </summary>
[Description("Uses the SMA to determine sustained trends and reversing trends")]
public class SMATrade : Strategy
{
#region Variables
// Wizard generated variables
private double maxTime = 2.000; // Default setting for MaxTime
private int rollStop = 25; // Default setting for RollStop
private int highestTick = 1; // Default setting for HighestTick
private int setLimitorStop = 2; // Default setting for SetLimitorStop
private int stopLoss = 25; // Default setting for StopLoss
private int upTickLimit = 15; // Default setting for UpTickLimit
private int sMAPeriod = 800; // Default setting for SMAPeriod
private int ticksBack = 8; // Default setting for TicksBack
// User defined variables (add any user defined variables below)
private int systemOn = 0; // turns system on when pri9ce crosses SMA
private double crossingPrice = 0;
private double highestPrice = 0;
private double lowestPrice = 0;
private double timer = 0;
private double currentTime = 0;
#endregion
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
Add(SMA(SMAPeriod));
SetTrailStop("", CalculationMode.Ticks, RollStop, false);
CalculateOnBarClose = false;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
currentTime = ToTime(DateTime.Now);
// Condition set 1
if (CrossAbove(Close, SMA(SMAPeriod), 1))
{
systemOn = 1;
crossingPrice = Close[0];
lowestPrice = Close[0];
timer = ToTime(DateTime.Now);
}
// Condition set 2
if (systemOn == 1
&& Close[0] > highestPrice)
{
highestPrice = Close[0];
}
if (systemOn == 1
&& Close[0] < lowestPrice)
{
lowestPrice = Close[0];
}
// Condition set 3
if (highestPrice >= crossingPrice + UpTickLimit*TickSize
|| currentTime-timer>=200)
{
systemOn = 0;
highestPrice = 0;
crossingPrice = 0;
}
// Condition set 4
if (systemOn == 1
&& Close[0] <= crossingPrice-TicksBack*TickSize)
{
EnterLongLimit(DefaultQuantity, crossingPrice+SetLimitorStop*TickSize, "");
}
}
#region Properties
[Description("Max Time of analysis for SMA sustained brake")]
[GridCategory("Parameters")]
public double MaxTime
{
get { return maxTime; }
set { maxTime = Math.Max(0.000, value); }
}
[Description("Amount of ticks Rolling stop re establishes")]
[GridCategory("Parameters")]
public int RollStop
{
get { return rollStop; }
set { rollStop = Math.Max(1, value); }
}
[Description("Checks the highest tick recently achieved")]
[GridCategory("Parameters")]
public int HighestTick
{
get { return highestTick; }
set { highestTick = Math.Max(1, value); }
}
[Description("Number of ticks above recent high to set stop order")]
[GridCategory("Parameters")]
public int SetLimitorStop
{
get { return setLimitorStop; }
set { setLimitorStop = Math.Max(1, value); }
}
[Description("Actual Stop Loss")]
[GridCategory("Parameters")]
public int StopLoss
{
get { return stopLoss; }
set { stopLoss = Math.Max(1, value); }
}
[Description("if first cross above SMA (highest tick) is higher than upticklimit, no trade")]
[GridCategory("Parameters")]
public int UpTickLimit
{
get { return upTickLimit; }
set { upTickLimit = Math.Max(1, value); }
}
[Description("minutes")]
[GridCategory("Parameters")]
public int SMAPeriod
{
get { return sMAPeriod; }
set { sMAPeriod = Math.Max(1, value); }
}
[Description("number of ticks it goes back after crossing SMA")]
[GridCategory("Parameters")]
public int TicksBack
{
get { return ticksBack; }
set { ticksBack = Math.Max(1, value); }
}
#endregion
}
}