protected override void OnStateChange()
{
base.OnStateChange();
if (State == State.SetDefaults)
{
Description = "Double Pair ES, NQ, and RTY, hedged max spread pair with min spread pair";
Name = "StgSQRSpd";
// This strategy has been designed to take advantage of performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
Calculate = Calculate.OnBarClose;
//IsFillLimitOnTouch = false;
TraceOrders = false;
BarsRequiredToTrade = 128;
IsUnmanaged = false;
OrderFillResolution = OrderFillResolution.Standard;
EntriesPerDirection = 4;
DefaultQuantity = 100;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
RocPeriod = 10;
RocScale = 10000;
NumStdDevUp = 1.6;
NumStdDevDown = 2.6;
PTStdDev = 0.5;
SLStdDev = 0.5;
PTRatio = 0.2;
SLRatio = 0.1;
ChartMinutes = 8;
MM_ProfitFactorMax = 1;
MM_ProfitFactorMin = 0;
TG_TradeStartH = 11;
TG_TradeStartM = 15;
TG_TradeEndH = 12;
TG_TradeEndM = 45;
SpySymbol = "SPY";
QQQSymbol = "QQQ";
IWMSymbol = "IWM";
SpyLnSymbol = "SPXL";
SpyStSymbol = "SH";
QQQLnSymbol = "QLD";
QQQStSymbol = "SQQQ";
IWMLnSymbol = "TNA";
IWMStSymbol = "TZA";
SpyLnSymbolRatio = 3; //"SPXL";
SpyStSymbolRatio = 1; //"SH";
QQQLnSymbolRatio = 2; //"QLD";
QQQStSymbolRatio = 3; //"SQQQ";
IWMLnSymbolRatio = 3; //"TNA";
IWMStSymbolRatio = 3; //"TZA";
TradeBaseSymbol = 4;
BarsToHoldPos = 16;
BasePriceType = 0;
Slippage = 0.02;
PrintOut = 0;
//IsInstantiatedOnEachOptimizationIteration = false;
}
else if (State == State.Configure)
{
AddDataSeries(QQQSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(IWMSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(SpyLnSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(SpyStSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(QQQLnSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(QQQStSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(IWMLnSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
AddDataSeries(IWMStSymbol, Data.BarsPeriodType.Minute, ChartMinutes, Data.MarketDataType.Last);
SetOrderQuantity = SetOrderQuantity.Strategy; // calculate orders based off default size
// Sets a 20 tick trailing stop for an open position
//SetTrailStop(CalculationMode.Ticks, 200);
}
else if (State == State.DataLoaded)
{
// giPctSpd = GIPctSpd(8);
// giChartTrader = GIChartTrader(this.Input);
giSQRSpd = GISQRSpd(RocPeriod, ChartMinutes, SpySymbol, QQQSymbol, IWMSymbol,
SpyLnSymbol, SpyLnSymbolRatio, SpyStSymbol, SpyStSymbolRatio,
QQQLnSymbol, QQQLnSymbolRatio, QQQStSymbol, QQQStSymbolRatio,
IWMLnSymbol, IWMLnSymbolRatio, IWMStSymbol, IWMStSymbolRatio,
TradeBaseSymbol, RocScale,
NumStdDevUp, NumStdDevDown, PTStdDev, SLStdDev, BasePriceType);
// Add RSI and ADX indicators to the chart for display
// This only displays the indicators for the primary Bars object (main instrument) on the chart
AddChartIndicator(giSQRSpd);
giSQRSpd.TM_OpenStartH = TG_TradeStartH;
giSQRSpd.TM_OpenStartM = TG_TradeStartM;
giSQRSpd.TM_OpenEndH = TG_TradeEndH;
giSQRSpd.TM_OpenEndM = TG_TradeEndM;
giSQRSpd.RaiseIndicatorEvent += OnTradeBySQRSpd;
// giPctSpd.RaiseIndicatorEvent += OnTradeBySQRSpd;
// giPctSpd.TM_ClosingH = TG_TradeEndH;
// giPctSpd.TM_ClosingM = TG_TradeEndM;
// giChartTrader.RaiseIndicatorEvent += OnTradeByChartTrader;
SetPrintOut(0);
Print(String.Format("{0}: IsUnmanaged={1}, PrintOut={2}", this.GetType().Name, IsUnmanaged, PrintOut));
Print(String.Format("{0}: DataLoaded...BarsArray.Length={1}", this.GetType().Name, BarsArray.Length));
//this.Dispatcher.Invoke(() =>
// this.Dispatcher.BeginInvoke(new ThreadStart(() =>
// {
// //be.Show();
// }));
}
}
