Creating a strategy triggered by a specific entry criteria
I am attempting to write a strategy that will initiate orders based on specific entry criteria, but it doesn't look quite right when I try to test it using Strategy Analyzer. I require assistance checking the 'logic' of my criteria, to confirm the code says what I think it does.
My criteria is as such -
Long entry:
When I try to test this strategy using the analyzer, nothing happens at all. When I run the strategy on my real-time chart, the historical entries look wrong.. they're often late and following the wrong type of bar. Something is clearly wrong with my logic but I'm not sure what.
My criteria is as such -
Long entry:
- 20SMA is above the 200SMA
- Price is above the 20SMA
- A red bar opens above the 20SMA, within a certain distance from the 20SMA in ticks
- The current bar passes the immediately preceding red bar to the upside, triggering the entry. In other words, a green bar overtakes a red bar above the 20SMA.
- 20SMA is below the 200SMA
- Price is below the 20SMA
- A green bar closes below the 20SMA, within a certain distance from the 20SMA in ticks
- The current bar passes the immediately preceding green bar to the downside, triggering the entry. In other words, a red bar overtakes a green bar below the 20SMA.
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.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion
namespace NinjaTrader.NinjaScript.Strategies {
// Define the Johnstrat strategy class
public class Johnstrat : Strategy {
private SMA fastSma;
private SMA slowSma;
[ Range(1, int.MaxValue), NinjaScriptProperty ] public int FastPeriod { get; set; }
[ Range(1, int.MaxValue), NinjaScriptProperty ] public int SlowPeriod { get; set; }
[ Range(1, int.MaxValue), NinjaScriptProperty ] public int TicksProximity { get; set; }
[ Range(1, int.MaxValue), NinjaScriptProperty ] public int StopLossTicks { get; set; }
[ Range(1, int.MaxValue), NinjaScriptProperty ] public int ProfitTargetTicks { get; set; }
protected override void OnStateChange() {
if (State == State.SetDefaults) {
Description = "Johnstrat";
Name = "Johnstrat";
Calculate = Calculate.OnEachTick; // Strategy calculation on each tick
// for real-time decision making
// Setting default values
FastPeriod = 20;
SlowPeriod = 200;
TicksProximity = 100;
StopLossTicks = 40; // 10 points below entry for stop loss
ProfitTargetTicks = 80; // 20 points for profit target
} else if (State == State.Configure) {
// Add Fast and Slow SMA indicators
fastSma = SMA(FastPeriod);
slowSma = SMA(SlowPeriod);
fastSma.Plots[0].Brush = Brushes.DodgerBlue;
slowSma.Plots[0].Brush = Brushes.Orchid;
AddChartIndicator(fastSma);
AddChartIndicator(slowSma);
}
}
protected
override void OnBarUpdate() {
if (CurrentBar < SlowPeriod) return;
// Checking Long and Short Entry Criteria
if (IsLongEntry())
EnterLong("LongEntry"); // Use a signal name for the entry
else if (IsShortEntry())
EnterShort("ShortEntry"); // Use a signal name for the entry
}
// Long Entry Criteria
private bool IsLongEntry() {
double currentPrice =
Instrument.MarketData.Ask.Price; // Real-time ask price for long entry
return fastSma[0] > slowSma[0] &&
Math.Abs(currentPrice - fastSma[0]) <= TicksProximity &&
Close[1] < Open[1] && // Previous bar is red
High[1] > fastSma[1] && // High of previous bar is above Fast SMA
Close[1] >= fastSma[1] &&
currentPrice > High[1]; // Real-time price is above the high of the
// previous red bar
}
private bool IsShortEntry() {
double currentPrice =
Instrument.MarketData.Bid.Price; // Real-time bid price for short entry
return fastSma[0] < slowSma[0] &&
Math.Abs(currentPrice - fastSma[0]) <= TicksProximity &&
Close[1] > Open[1] && // Previous bar is green
Low[1] < fastSma[1] && // Low of previous bar is below Fast SMA
Close[1] <= fastSma[1] &&
currentPrice < Low[1]; // Real-time price is below the low of the
// previous green bar
}
protected override void OnOrderUpdate(Cbi.Order order, double limitPrice,
double stopPrice, int quantity, int filled,
double averageFillPrice,
Cbi.OrderState orderState, DateTime time,
Cbi.ErrorCode error, string comment) {
if (order.Name == "LongEntry" && order.OrderState == OrderState.Filled) {
// Set the stop loss and profit target for long positions
SetStopLoss("LongEntry", CalculationMode.Ticks, StopLossTicks, false);
SetProfitTarget("LongEntry", CalculationMode.Ticks, ProfitTargetTicks);
} else if (order.Name == "ShortEntry" &&
order.OrderState == OrderState.Filled) {
// Set the stop loss and profit target for short positions
SetStopLoss("ShortEntry", CalculationMode.Ticks, StopLossTicks, false);
SetProfitTarget("ShortEntry", CalculationMode.Ticks, ProfitTargetTicks);
}
}
}
}
Thanks again for everything, you can close this.
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