I am trying to incorporate some language from an indicator to a strategy. I added all the neccessary variables and added any applicable series, but for the life of me I cannot figure out how to get it to quit throwing either "outside bounds of array" or "accesssing an index with a value that is invalid." Any suggestions on where I'm going wrong would be greatly appreciated. Through some troubleshooting steps I am fairly confident the errors are being cause by the first language in OnBarUpdate before "if (CurrentBars[0] <EMASlowPeriod) return;" Thanks. (I did delete my properties at the bottom of the code so I'd be within the character limit)
Code:
#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;
#endregion
//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
public class zzzzadxvma : Strategy
{
private BzvOpeningRange4 OR1;
private ADXVMA SMA1;
private ADXVMA SMA2;
private bool TradeSwitch;
private int period = 6;
private double k = 0.0;
private double hhp = 0.0;
private double llp = 0.0;
private double hhv = 0.0;
private double llv = 0.0;
private double epsilon = 0.0;
private Series<double> up;
private Series<double> down;
private Series<double> ups;
private Series<double> downs;
private Series<double> index;
private Series<int> trend;
private ATR volatility;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "zzzzadxvma";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
// ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = true;
MaximumBarsLookBack = MaximumBarsLookBack.Infinite;
OrderFillResolution = OrderFillResolution.High;
OrderFillResolutionType = BarsPeriodType.Tick;
OrderFillResolutionValue = 1;
Slippage = 1;
StartBehavior = StartBehavior.AdoptAccountPosition;
IsAdoptAccountPositionAware = true;
IncludeCommission = true;
TimeInForce = TimeInForce.Day;
TraceOrders = true;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.ByStrategyPosition;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
UpProfit =80;
UpLoss =210;
DownProfit =20;
DownLoss =130;
EMASlowPeriod = 1000;
}
else if (State == State.Configure)
{
up = new Series<double>(this);
down = new Series<double>(this);
ups = new Series<double>(this);
downs = new Series<double>(this);
index = new Series<double>(this);
trend = new Series<int>(this);
}
else if (State == State.DataLoaded)
{
OR1 = BzvOpeningRange4(Close, @"0530", @"0540", @"1600");
SMA1 =ADXVMA(10);
SMA2 =ADXVMA(EMASlowPeriod);
SMA1.Plots[0].Brush = Brushes.Green;
SMA2.Plots[0].Brush = Brushes.Red;
AddChartIndicator(OR1);
AddChartIndicator(SMA1);
AddChartIndicator(SMA2);
}
}
protected override void OnBarUpdate()
{
if (CurrentBar == 1)
{
k = 1.0 / (double)period;
volatility = ATR(200);
up[0] = 0.0;
down[0] = 0.0;
ups[0] = 0.0;
downs[0] = 0.0;
index[0] = 0.0;
trend[0] = 0;
ADXVMA[0] = Input[0];
}
else
{
double currentUp = Math.Max(Input[0] - Input[1], 0);
double currentDown = Math.Max(Input[1] - Input[0], 0);
up[0] = (1 - k) * up[1] + k * currentUp;
down[0] = (1 - k) * down[1] + k * currentDown;
double sum = up[0] + down[0];
double fractionUp = 0.0;
double fractionDown = 0.0;
if (sum > double.Epsilon)
{
fractionUp = up[0] / sum;
fractionDown = down[0] / sum;
}
ups[0] = (1 - k) * ups[1] + k * fractionUp;
downs[0] = (1 - k) * downs[1] + k * fractionDown;
double normDiff = Math.Abs(ups[0] - downs[0]);
double normSum = ups[0] + downs[0];
double normFraction = 0.0;
if (normSum > double.Epsilon)
normFraction = normDiff / normSum;
index[0] = (1 - k) * index[1] + k * normFraction;
if (IsFirstTickOfBar)
{
epsilon = 0.1 * volatility[1];
hhp = MAX(index, period)[1];
llp = MIN(index, period)[1];
}
hhv = Math.Max(index[0], hhp);
llv = Math.Min(index[0], llp);
double vDiff = hhv - llv;
double vIndex = 0;
if (vDiff > double.Epsilon)
vIndex = (index[0] - llv) / vDiff;
ADXVMA[0] = (1 - k * vIndex) * ADXVMA[1] + k * vIndex * Input[0];
if (trend[1] > -1 && ADXVMA[0] > ADXVMA[1] + epsilon)
{
trend[0] = 1;
// PlotBrushes[0][0] = upColor;
}
else if (trend[1] < 1 && ADXVMA[0] < ADXVMA[1] - epsilon)
{
trend[0] = -1;
// PlotBrushes[0][0] = downColor;
}
else
{
trend[0] = 0;
// PlotBrushes[0][0] = neutralColor;
}
}
if (CurrentBars[0] <EMASlowPeriod)
return;
if (Bars.IsFirstBarOfSession)
{
//currentPnL = 0;
TradeSwitch = true;
}
if ( IsFirstTickOfBar == true
&& BarsInProgress == 0
&& (BarsSinceEntryExecution(0,"Long",0) == 0
|| BarsSinceEntryExecution(0, "Short",0) == 0))
{
TradeSwitch = false;
}
if (IsFirstTickOfBar == true && BarsInProgress == 0)
{
SetStopLoss("Long", CalculationMode.Price,Swing(5).SwingLow[1], false);
// if (Position.MarketPosition == MarketPosition.Long)
// {
// SetStopLoss("Long", CalculationMode.Ticks,Math.Min((Position.AveragePrice - ATRTrailingStop(Close, 5, 10)[1])/TickSize, UpLoss), false);
//}
SetStopLoss("Short", CalculationMode.Price,Swing(5).SwingHigh[1], false);
// if (Position.MarketPosition == MarketPosition.Short)
// {
// SetStopLoss("Short", CalculationMode.Ticks,Math.Min( (ATRTrailingStop(Close, 5, 10)[1] - Position.AveragePrice)/TickSize, DownLoss), false);
//}
SetProfitTarget("Long",CalculationMode.Ticks,UpProfit);
SetProfitTarget("Short",CalculationMode.Ticks,DownProfit);
}
#region Time
// Time
if (((ToTime(Time[0]) >= 124500))
&& (Position.MarketPosition != MarketPosition.Flat)
&& BarsInProgress == 0)
{
if (Position.MarketPosition == MarketPosition.Long)
{
ExitLong(0, Position.Quantity, "time", "");
}
else if (Position.MarketPosition == MarketPosition.Short)
{
ExitShort(0, Position.Quantity, "time", "");
}
}
#endregion
// if (PositionAccount.MarketPosition == MarketPosition.Flat && Position.MarketPosition == MarketPosition.Flat && BarsSinceExitExecution(0, "", 0) == 1 && IsFirstTickOfBar == true)
// {
// Account.CancelAllOrders(Instrument);
// }
// if (IsFirstTickOfBar == true && BarsSinceEntryExecution(0, "Short", 0) == DownExit)
// {
// ExitShort("ShortX", "Short");
// }
//
// if (IsFirstTickOfBar == true && BarsSinceEntryExecution(0, "Long", 0) == UpExit)
// {
// ExitLong("LongX", "Long");
// }
if ( ((ToTime(Time[0]) >= 53000
&& ToTime(Time[0]) < 70000))
//
// && Close[1] < OR1.RangeHighSeries[1]
//&& SMA1[1] > SMA2[1]
// && OR1.RangeHighSeries[1] > 0
&& trend[1] == 1
// && Slope(SMA(OBV(),1000), 5, 0) > 0
// && (Time[0].DayOfWeek == DayOfWeek.Thursday
// || Time[0].DayOfWeek == DayOfWeek.Tuesday
// || Time[0].DayOfWeek == DayOfWeek.Wednesday
//|| Time[0].DayOfWeek == DayOfWeek.Friday)
&& Position.MarketPosition == MarketPosition.Flat
&& BarsInProgress == 0
&& TradeSwitch == true
&& IsFirstTickOfBar == true
// && currentPnL > -LossLimit
// && currentPnL < ProfitLimit
)
// && (BarsSinceEntryExecution(0, "Long", 0) > 1 || BarsSinceEntryExecution(0, "Long", 0) == -1))
{
// EnterLong(0, 1, "Long");
// EnterLong(0, 1, "Long2");
EnterLongStopLimit(0,false, Convert.ToInt32(DefaultQuantity) ,High[1] + TickSize, High[1] + TickSize, "Long");
// EnterLongStopLimit(0,false, Convert.ToInt32(DefaultQuantity),High[1] + TickSize, High[1] + TickSize, "Long2");
Draw.ArrowUp(this, "tag1", true, 0, Low[0] - TickSize, Brushes.Green);
}
if (BarsInProgress == 0 && Position.MarketPosition == MarketPosition.Long)
{
if (IsFirstTickOfBar == true
&& (SMA1[1] < SMA2[1] && ToTime(Time[0]) > 64500)
|| CrossBelow(Close, SMA1, 1)
)
{
ExitLong("Long");
}
}
Comment