#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 System.IO; #endregion //This namespace holds Strategies in this folder and is required. Do not change it. namespace NinjaTrader.NinjaScript.Strategies { public class VSH4SMA : Strategy { private bool longCondition, shortCondition, longFilter, shortFilter; private Order stop; private string path; private StreamWriter sw; // a variable for the StreamWriter that will be used private string path2; private StreamWriter sw2; protected override void OnStateChange() { if (State == State.SetDefaults) { Description = @"Contra-trend strategy to hedge the last volatility squeeze algorithm"; Name = "VSH4SMA"; 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 = 120; IsUnmanaged = true; // Disable this property for performance gains in Strategy Analyzer optimizations // See the Help Guide for additional information IsInstantiatedOnEachOptimizationIteration = true; path = NinjaTrader.Core.Globals.UserDataDir + "VSH3Data.txt"; path2 = NinjaTrader.Core.Globals.UserDataDir + "VSH3Trades.txt"; period = 10; } else if (State == State.Configure) { } else if (State == State.Terminated) { if (sw != null) { for (int i=0; i < SystemPerformance.AllTrades.Count; i++) { sw2 = File.AppendText(path2); // Open the path for writing sw2.WriteLine(i + ";" + SystemPerformance.AllTrades[i].ProfitPips); sw2.Close(); } sw.Close(); sw.Dispose(); sw = null; } if (sw2 != null) { sw2.Close(); sw2.Dispose(); sw2 = null; } } } protected override void OnBarUpdate() { if (CurrentBar < BarsRequiredToTrade) return; //Add your custom strategy logic here. longCondition = (Close[0] > High[LowestBar(Low,period)]); shortCondition = (Close[0] < Low[HighestBar(High,period)]); longFilter = (Close[0] - SMA(10)[0] > 0); shortFilter = (Close[0] - SMA(10)[0] < 0); if (longCondition) { if (Position.MarketPosition == MarketPosition.Short) { SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.Market, 1, 0,0,"","CloseShort"); if (stop != null) { CancelOrder(stop); stop = null; } } if (Position.MarketPosition == MarketPosition.Long) ChangeOrder(stop, Position.Quantity, 0, MIN(Low,5)[0] - ATR(10)[0]); if (Position.MarketPosition != MarketPosition.Long && longFilter) { if (stop != null) { CancelOrder(stop); stop = null; } SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.Market, 1, 0,0,"","Long"); stop = SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.StopMarket, 1, 0,MIN(Low,5)[0] - ATR(10)[0],"","LongStop"); } } if (shortCondition) { if (Position.MarketPosition == MarketPosition.Long) { SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.Market, 1, 0,0,"","CloseLong"); if (stop != null) { CancelOrder(stop); stop = null; } } if (Position.MarketPosition == MarketPosition.Short) ChangeOrder(stop, Position.Quantity, 0, MAX(High,5)[0] + ATR(10)[0]); if (Position.MarketPosition != MarketPosition.Short && shortFilter) { if (stop != null) { CancelOrder(stop); stop = null; } SubmitOrderUnmanaged(0, OrderAction.Sell, OrderType.Market, 1, 0,0,"","Short"); stop = SubmitOrderUnmanaged(0, OrderAction.Buy, OrderType.StopMarket, 1, 0,MAX(High,5)[0] + ATR(10)[0],"","ShortStop"); } } //if (Position.MarketPosition != MarketPosition.Flat) recordData(); } private void recordData() { sw = File.AppendText(path); // Open the path for writing sw.WriteLine(SystemPerformance.AllTrades.Count + ";" + BarsSinceEntryExecution() + ";" + Position.MarketPosition + ";" + Position.GetUnrealizedProfitLoss(PerformanceUnit.Pips, Close[0]) + ";" + ADX(10)[0] + ";" + ADX(10)[1] + ";" + ATR(10)[0] + ";" + ATR(10)[1] + ";" + StdDev(10)[0] + ";" + StdDev(10)[1] + ";" + SMA(period)[0] + ";" + SMA(period)[1] + ";" + SMA(WilliamsR(10),5)[0] + ";" + SMA(WilliamsR(10),5)[1] + ";" + MAX(High,10)[0] + ";" + MAX(High,10)[1] + ";" + MIN(Low,10)[0] + ";" + MIN(Low,10)[1] + ";" + Close[0] + ";" + Close[1]); // Append a new line to the file sw.Close(); // Close the file to allow future calls to access the file again. } #region Properties [NinjaScriptProperty] [Range(1, int.MaxValue)] [Display(Name="period", Order=1, GroupName="Parameters")] public int period { get; set; } #endregion } }