Code:
#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>
/// Identify divergence of selected indicator with Price
/// </summary>
[Description("Identify divergence of selected indicator with Price. I use CCI, MACD & Ergodic indicator, two indicators forming divergence provides confirmation")]
public class DivergencePatternTrailingStops : Strategy
{
#region Variables
// Wizard generated variables
private string positiveD = @"YES"; // Default setting for PositiveD
//private string indicatorType = @"MACD"; // Default setting for IndicatorType
private int macdfastPeriod = 12; // Default setting for FastPeriod
private int macdslowPeriod = 26; // Default setting for SlowPeriod
private int macdsignalPeriod = 9; // Default setting for SignalPeriod
private int ergodicfastPeriod = 20; // Default setting for Ergodic FastPeriod
private int ergodicslowPeriod = 12; // Default setting for Ergodic SlowPeriod
private int cciPeriod = 40; // Default setting for CCI Period
private double stopLossPct = 0.020; // Default setting for StopLossPct
private double trailingStopPct = 0.020; // Default setting for TrailingStopPct
// User defined variables (add any user defined variables below)
private double trailStop = 0; // Default setting for TrailStop
private double StopLoss = 0;
private double prevValue = 0; // Default setting for PrevValue
private bool justEntered = false; // Default setting for JustEntered
#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()
{
CalculateOnBarClose = true;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// Condition set 1 - Positive Divergence
if (((Divergence(ergodicfastPeriod, "ergodic", positiveD, 1,ergodicslowPeriod).Plot0[0] == 2 && Divergence(cciPeriod, "cci", positiveD, 9,26).Plot0[0] == 2) ||
(Divergence(ergodicfastPeriod, "ergodic", positiveD, 1,ergodicslowPeriod).Plot0[0] == 2 && Divergence(macdfastPeriod, "macd", positiveD, macdsignalPeriod,macdslowPeriod).Plot0[0] == 2) ||
(Divergence(cciPeriod, "cci", positiveD, 9,26).Plot0[0] == 2 && Divergence(macdfastPeriod, "macd", positiveD, macdsignalPeriod,macdslowPeriod).Plot0[0] == 2)) &&
Position.MarketPosition == MarketPosition.Flat)
{
EnterLong(1, "Long");
justEntered = true;
}
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
/// </summary>
protected override void Initialize()
{
CalculateOnBarClose = true;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate(
[COLOR="Red"]{[/COLOR]
// Condition set 1 - Positive Divergence
if (((Divergence(ergodicfastPeriod, "ergodic", positiveD, 1,ergodicslowPeriod).Plot0[0] == 2 && Divergence(cciPeriod, "cci", positiveD, 9,26).Plot0[0] == 2) ||
(Divergence(ergodicfastPeriod, "ergodic", positiveD, 1,ergodicslowPeriod).Plot0[0] == 2 && Divergence(macdfastPeriod, "macd", positiveD, macdsignalPeriod,macdslowPeriod).Plot0[0] == 2) ||
(Divergence(cciPeriod, "cci", positiveD, 9,26).Plot0[0] == 2 && Divergence(macdfastPeriod, "macd", positiveD, macdsignalPeriod,macdslowPeriod).Plot0[0] == 2)) &&
Position.MarketPosition == MarketPosition.Flat)
{
EnterLong(1, "Long");
justEntered = true;
}
if (justEntered = true)
{
SetTrailStop("", CalculationMode.Ticks, 8, false);
CalculateOnBarClose = true;
}
)
// Condition set 2 - Negative divergence (DOESNT ACTUALLY TRADE ANYTHING THOUGH)
if (((Divergence(ergodicfastPeriod, "ergodic", positiveD, 1,ergodicslowPeriod).Plot0[0] == -2 && Divergence(cciPeriod, "cci", positiveD, 9,26).Plot0[0] == -2) ||
(Divergence(ergodicfastPeriod, "ergodic", positiveD, 1,ergodicslowPeriod).Plot0[0] == -2 && Divergence(macdfastPeriod, "macd", positiveD, macdsignalPeriod,macdslowPeriod).Plot0[0] == -2) ||
(Divergence(cciPeriod, "cci", positiveD, 9,26).Plot0[0] == -2 && Divergence(macdfastPeriod, "macd", positiveD, macdsignalPeriod,macdslowPeriod).Plot0[0] == -2)) &&
Position.MarketPosition == MarketPosition.Flat)
{
EnterShort(0, "Short");
justEntered = true;
}
if (Position.MarketPosition == MarketPosition.Short && justEntered == true)
{
trailStop = Position.AvgPrice + (trailingStopPct * Position.AvgPrice);
StopLoss = Position.AvgPrice + (stopLossPct * Position.AvgPrice);
prevValue = Position.AvgPrice;
justEntered = false;
Print(" TRAIL STOP TRACKING: " + trailStop + " symbol " + Instrument.FullName);
}
if (Position.MarketPosition == MarketPosition.Short)
{
if (Low[0] < Position.AvgPrice && Low[0] < prevValue)
{
trailStop = trailStop - (prevValue - Low[0]);
prevValue = Low[0];
Print(" TRAIL STOP Lowered: " + trailStop + " PrevValue " + prevValue + " symbol " + Instrument.FullName);
}
Print(Time[0] + " Low " + Low[0] + " PrevValue " + prevValue + " symbol " + Instrument.FullName);
}
if (High[0] >= trailStop && Position.MarketPosition == MarketPosition.Short && Position.AvgPrice > trailStop)
{
Print(" TRAIL STOP HIT: " + trailStop + " " + Close[0] + " symbol " + Instrument.FullName);
// Trailing stop has been hit; do whatever you want here
ExitShort(0,"Trailing Stop" ,"Short");
trailStop = 0;
StopLoss = 0;
prevValue = 0;
}
else if (High[0] >= StopLoss && Position.MarketPosition == MarketPosition.Short && Position.AvgPrice < StopLoss)
{
Print(" STOP LOSS HIT: " + StopLoss + " " + Close[0] + " symbol " + Instrument.FullName);
// Trailing stop has been hit; do whatever you want here
ExitShort(0,"Stop Loss" ,"Short");
trailStop = 0;
StopLoss = 0;
prevValue = 0;
}
}
#region Properties
[Description("Enter 'YES' for positive divergence and 'NO' for negative divergence")]
[Category("Parameters")]
public string PositiveD
{
get { return positiveD; }
set { positiveD = value; }
}
// [Description("MACD,Ergodic,FStoch,StochRSI,CCI,BOP,CMO,ChaikinMoneyFlow,Momentum,MFI,RSI,ROC")]
// [Category("Parameters")]
// public string IndicatorType
// {
// get { return indicatorType; }
// set { indicatorType = value; }
// }
[Description("Used only on the MACD indicator")]
[Category("Parameters")]
public int MACDFastPeriod
{
get { return macdfastPeriod; }
set { macdfastPeriod = Math.Max(1, value); }
}
[Description("Used only on the MACD indicator")]
[Category("Parameters")]
public int MACDSlowPeriod
{
get { return macdslowPeriod; }
set { macdslowPeriod = Math.Max(1, value); }
}
[Description("Used only on the MACD indicator")]
[Category("Parameters")]
public int MACDSignalPeriod
{
get { return macdsignalPeriod; }
set { macdsignalPeriod = Math.Max(0, value); }
}
[Description("Used only on the Ergodic indicator")]
[Category("Parameters")]
public int ErgodicFastPeriod
{
get { return ergodicfastPeriod; }
set { ergodicfastPeriod = Math.Max(1, value); }
}
[Description("Used only on the Ergodic indicator")]
[Category("Parameters")]
public int ErgodicSlowPeriod
{
get { return ergodicslowPeriod; }
set { ergodicslowPeriod = Math.Max(1, value); }
}
[Description("Used only on the CCI indicator")]
[Category("Parameters")]
public int CCIPeriod
{
get { return cciPeriod; }
set { cciPeriod = Math.Max(1, value); }
}
[Description("")]
[Category("Parameters")]
public double StopLossPct
{
get { return stopLossPct; }
set { stopLossPct = Math.Max(0.010, value); }
}
[Description("")]
[Category("Parameters")]
public double TrailingStopPct
{
get { return trailingStopPct; }
set { trailingStopPct = Math.Max(0.010, value); }
}
#endregion
}
}
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