#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 VSH : Strategy { private bool longCondition, shortCondition; private Order stop; protected override void OnStateChange() { if (State == State.SetDefaults) { Description = @"Contra-trend strategy to hedge the last volatility squeeze algorithm"; Name = "VSH"; 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; IsInstantiatedOnEachOptimizationIteration = true; period = 100; } else if (State == State.Configure) { } else if (State == State.Terminated) { } } protected override void OnBarUpdate() { if (CurrentBar < BarsRequiredToTrade) return; longCondition = (Close[0] < SMA(period)[0]) && (Close[0] > High[LowestBar(Low,10)]) && (CrossAbove(Close,SMA(period),10)==false); shortCondition = (Close[0] > SMA(period)[0]) && (Close[0] < Low[HighestBar(High,10)]) && (CrossBelow(Close,SMA(period),10)==false); if (longCondition) { if (Position.MarketPosition == MarketPosition.Long) { ChangeOrder(stop, Position.Quantity, 0, MIN(Low,5)[0] - ATR(10)[0]); } if (Position.MarketPosition != MarketPosition.Long) { 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.Short) { ChangeOrder(stop, Position.Quantity, 0, MAX(High,5)[0] + ATR(10)[0]); } if (Position.MarketPosition != MarketPosition.Short) { if (stop != null) { CancelOrder(stop); stop = null; } SubmitOrderUnmanaged(0, OrderAction.SellShort, OrderType.Market, 1, 0,0,"","Short"); stop = SubmitOrderUnmanaged(0, OrderAction.BuyToCover, OrderType.StopMarket, 1, 0,MAX(High,5)[0] + ATR(10)[0],"","ShortStop"); } } } #region Properties [NinjaScriptProperty] [Range(10, int.MaxValue)] [Display(Name="period", Order=1, GroupName="Parameters")] public int period { get; set; } #endregion } }