public void CompareAgainstExternalDataForUpperBand()
{
var donchianChannel = new DonchianChannel("dch", 50);
TestHelper.TestIndicator(donchianChannel, "spy_with_don50.txt", "Donchian Channels 50 Top",
(ind, expected) => Assert.AreEqual(expected, (double)((DonchianChannel)ind).UpperBand.Current.Value));
}
public void ComputesPrimaryOutputCorrectly()
{
var donchianChannel = new DonchianChannel("dch", 50);
TestHelper.TestIndicator(donchianChannel, "spy_with_don50.txt", "Donchian Channels 50 Mean",
(ind, expected) => Assert.AreEqual(expected, (double)((DonchianChannel)ind).Current.Value));
}
public void CompareAgainstExternalDataForLowerBand()
{
var donchianChannel = new DonchianChannel("dch", 50);
TestHelper.TestIndicator(donchianChannel, "spy_with_don50.txt", "Donchian Channels 50 Bottom",
(ind, expected) => ((double)((DonchianChannel)ind).LowerBand.Current.Price).Should().Be(expected));
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///
/// I was thinking that MOMO could have not atr ratched but use a stop place where the
/// prior atr stop was, for example, if a short momo, use the lower blue level as the
/// max high to trigger a sell.
/// </summary>
protected override void Initialize()
{
atrTimes = dparm1;
atrPeriod = period1;
//ratched = 0;
atr = ATRTrailing(atrTimes, Period1, Ratched);
Add(atr);
kc = KeltnerChannel(offsetMultiplier, keltnerPeriod);
Add(kc);
dc = DonchianChannel(donchianPeriod);
dc.Displacement = 2;
dc.PaintPriceMarkers = false;
Add(dc);
SetProfitTarget("", CalculationMode.Percent, dparm2);
SetStopLoss("", CalculationMode.Percent, dparm2, false);
//SetTrailStop("", CalculationMode.Percent, dparm2, false);
CalculateOnBarClose = true;
ExitOnClose = false;
IncludeCommission = 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()
{
//this.HallMaColored
SetProfitTarget(CalculationMode.Ticks, iparm1);
SetStopLoss(CalculationMode.Ticks, iparm1);
//SetTrailStop("", CalculationMode.Percent, dparm2, false);
smaLow = HMA(Low, period1);
smaHigh = HMA(High, period1);
//Add(smaLow);
//Add(smaHigh);
smaHigh.Displacement = 0;
smaLow.Displacement = 0;
hallMa = HallMaColored(Typical, period1);
//hallMaFast = HallMaColored(Low, period2);
Add(hallMa);
//Add(hallMaFast);
dc = DonchianChannel(period2);
Add(dc);
CalculateOnBarClose = true;
ExitOnClose = true;
IncludeCommission = false;
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
ast = anaSuperTrend(1, 3, 3);
dc = DonchianChannel(20);
hma = HMA(30);
// Open Secret Sauce Long
if (isFlat() &&
enableLong
//&& Close[0] <= ast.StopLine[0]
&& ast.UpTrend[0] && !ast.UpTrend[1]
//&& ((dc.Upper[0] - dc.Lower[0])/TickSize >= 12)
&& Rising(hma)
//&& (BarsSinceExit() > 5 || BarsSinceExit() == -1)
)
{
EnterLong(DefaultQuantity);
//EnterLongLimit(DefaultQuantity, ast.StopLine[0]);
}
// Open Secret Sauce Short
if (isFlat() &&
enableShort
)
{
EnterShort(DefaultQuantity);
}
AtmStrategyHandler();
}
protected override void OnStart()
{
dc1 = Indicators.DonchianChannel(dcPeriod1);
dc2 = Indicators.DonchianChannel(dcPeriod2);
ema1 = Indicators.ExponentialMovingAverage(MarketSeries.Close, emaPeriod1);
ema2 = Indicators.ExponentialMovingAverage(MarketSeries.Close, emaPeriod2);
atr = Indicators.AverageTrueRange(atrPeriod, MovingAverageType.Exponential);
}
/// <summary>
/// Initializes a new instance of the <see cref="DonchianSignal" /> class.
/// </summary>
/// <param name="indicator">The indicator.</param>
/// <param name="periods">The periods.</param>
/// <param name="direction">
/// The trade rule direction. Only used if the instance will be part of a
/// <see cref="Rule" /> class
/// </param>
/// <remarks>The oscillator must be registered BEFORE being used by this constructor.</remarks>
public DonchianSignal(dynamic indicator, DonchianChannel donchian, int periods, Direction direction = Direction.LongOnly)
{
Initialize(indicator, direction);
//donchian.UpperBand.Updated += new IndicatorUpdatedHandler(Max_Updated);
//donchian.LowerBand.Updated += new IndicatorUpdatedHandler(Min_Updated);
_donchian = donchian;
_upperBand = donchian.UpperBand;
_lowerBand = donchian.LowerBand;
_indicators = new int[periods];
indicator.Updated += new IndicatorUpdatedHandler(Price_Updated);
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Lazy River Strategy based on TradingView strategy.";
Name = "TfsLazyRiverV3";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
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 = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
MaFastPeriod = 20;
MaSlowPeriod = 50;
MaLongPeriod = 200;
DcPeriod = 14;
RiskFactor = 1;
TradeLong = true;
TradeShort = false;
}
else if (State == State.Configure)
{
}
else if (State == State.DataLoaded)
{
maFast = EMA(MaFastPeriod);
maSlow = EMA(MaSlowPeriod);
maLong = SMA(MaLongPeriod);
dc = DonchianChannel(DcPeriod);
maFast.Plots[0].Brush = Brushes.SkyBlue;
maSlow.Plots[0].Brush = Brushes.DodgerBlue;
maLong.Plots[0].Brush = Brushes.Blue;
dc.Plots[0].Brush = Brushes.Beige;
AddChartIndicator(maFast);
AddChartIndicator(maSlow);
AddChartIndicator(maLong);
AddChartIndicator(dc);
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
dcFast = DonchianChannel(DonChanPeriod1);
dcSlow = DonchianChannel(DonChanPeriod2);
if (Position.MarketPosition != MarketPosition.Flat)
{
barsInTrend = 0;
return;
}
switch (status)
{
case 0:
if (barsInTrend != 0)
{
barsInPriorTrendCount = barsInTrend;
barsInTrend = 1;
}
status = GetBarLocation(0);
break;
case 1:
if (GetBarLocation(0) != 1)
{
status = 0;
break;
}
barsInTrend++;
if (barsInTrend > 2) // start to look for a pullback to get in
{
if (!UpBar(0))
{
DrawDot(CurrentBar + "L", false, 0, High[0] + 3 * TickSize, Color.Blue);
//DrawDot(CurrentBar + "!=", false, 0, High[0] + 3 * TickSize, Color.Black);
double limit = High[0] + 1 * TickSize;
//DrawText(CurrentBar + "LT", limit + "", 0, Low[0] - 8 * TickSize, Color.Black);
EnterLongStopLimit(limit, limit);
}
}
break;
case -1:
status = 0;
break;
default:
break;
}
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"TTMS momentum histogram with squeeze dots.";
Name = "TTMS";
Calculate = Calculate.OnPriceChange;
IsOverlay = false;
DisplayInDataBox = true;
DrawOnPricePanel = false;
DrawHorizontalGridLines = false;
DrawVerticalGridLines = false;
PaintPriceMarkers = true;
ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;
IsSuspendedWhileInactive = true;
MomentumLength = 20;
SqueezeLength = 20;
SqueezeDotBrush = Brushes.Red;
NormalDotBrush = Brushes.Blue;
HistAboveZeroRising = Brushes.Lime;
HistAboveZeroFalling = Brushes.DarkSlateGray;
HistBelowZeroFalling = Brushes.Red;
HistBelowZeroRising = Brushes.DarkSlateGray;
SoundAlertsOn = false;
BuySoundAlert = "Alert3.wav";
SellSoundAlert = "Alert4.wav";
AddPlot(new Stroke(Brushes.DarkSlateGray, 5), PlotStyle.Bar, "MomentumHistogram");
AddPlot(new Stroke(NormalDotBrush, 2), PlotStyle.Dot, "SqueezeDots");
}
else if (State == State.Configure)
{
lrm_ = new Series <double>(this);
medianPriceOsc_ = new Series <double>(this);
BB = Bollinger(2.0, SqueezeLength);
KC = KeltnerChannel(1.5, SqueezeLength);
DC = DonchianChannel(MomentumLength);
LR = LinReg(medianPriceOsc_, MomentumLength);
ema_ = EMA(MomentumLength);
}
}
public void ResetsProperly()
{
var donchianChannelIndicator = new DonchianChannel("DCH", 50);
foreach (var data in TestHelper.GetTradeBarStream("spy_with_don50.txt", false))
{
donchianChannelIndicator.Update(data);
}
Assert.IsTrue(donchianChannelIndicator.IsReady);
Assert.IsTrue(donchianChannelIndicator.UpperBand.IsReady);
Assert.IsTrue(donchianChannelIndicator.LowerBand.IsReady);
donchianChannelIndicator.Reset();
TestHelper.AssertIndicatorIsInDefaultState(donchianChannelIndicator);
TestHelper.AssertIndicatorIsInDefaultState(donchianChannelIndicator.UpperBand);
TestHelper.AssertIndicatorIsInDefaultState(donchianChannelIndicator.LowerBand);
}
public IndicatorLogBot()
{
indicator = new DonchianChannel(new TDonchianChannel
{
Symbol = "XAUUSD",
TimeFrame = "h1",
Periods = 35,
Log = true,
})
{
//Periods = 35,
};
DesiredSubscriptions = new List <MarketDataSubscription>()
{
//new MarketDataSubscription("XAUUSD", TimeFrame.m1),
new MarketDataSubscription("XAUUSD", TimeFrame.h1),
//new MarketDataSubscription("XAUUSD", TimeFrame.h2),
//new MarketDataSubscription("EURUSD", TimeFrame.m1),
};
}
/// <summary>
/// This method is used to configure the strategy and is called once before any strategy method is called.
///
/// </summary>
protected override void Initialize()
{
atr = ATR(14);
Add(atr);
dc = DonchianChannel(DonchianPeriod);
dc.Displacement = 1;
dc.PaintPriceMarkers = false;
Add(dc);
// // CL settings CST
// Add(PitColor(Color.Blue, 80000, 15, 143000));
SetProfitTarget(CalculationMode.Ticks, ProfitTarget);
SetStopLoss(CalculationMode.Ticks, StopLoss);
//SetTrailStop(CalculationMode.Ticks, Iparm2);
Unmanaged = false;
BarsRequired = 10;
CalculateOnBarClose = true;
ExitOnClose = false;
IncludeCommission = true;
}