/// <summary>
/// Strategy enter/exit/filtering rules
/// </summary>
public override void OnNewBar()
{
if (this.GetOpenPosition() == 0)
{
int buySignal = (int)this.GetInputParameter("Stochastic %D Buy signal trigger level");
if (stochasticIndicator.GetD()[1] <= buySignal && stochasticIndicator.GetD()[0] > buySignal)
{
Order buyOrder = new MarketOrder(OrderSide.Buy, 1, "Entry long");
limitTakeProfitOrder = new LimitOrder(OrderSide.Sell, 1, Bars.Close[0] + stdDevIndicator.GetStdDev()[0], "Exit long (take profit stop)");
this.InsertOrder(buyOrder);
this.InsertOrder(limitTakeProfitOrder);
}
}
}
/// <summary>
/// Strategy enter/exit/filtering rules
/// </summary>
public override void OnNewBar()
{
double buySignal = (double)this.GetInputParameter("Trend-following buy signal");
double sellSignal = (double)this.GetInputParameter("Trend-following sell signal");
double stopMargin = (int)this.GetInputParameter("Trailing Stop Loss ticks distance") * this.GetMainChart().Symbol.TickSize;
double profitMargin = (int)this.GetInputParameter("Profit Target ticks distance") * this.GetMainChart().Symbol.TickSize;
bool longTradingEnabled = false;
bool shortTradingEnabled = false;
// Day-of-week filter
if (IsDayEnabledForTrading(this.Bars.Time[0].DayOfWeek))
{
// Time-of-day filter
if (IsTimeEnabledForTrading(this.Bars.Time[0]))
{
// Volatility filter
if (CalculateVolatilityRange() > (double)this.GetInputParameter("Minimum Range Filter"))
{
// ADX minimum level and current trending filters
if (this.GetOpenPosition() == 0 && IsADXEnabledForLongEntry() && IsBullishUnderlyingTrend())
{
longTradingEnabled = true;
}
else if (this.GetOpenPosition() == 0 && IsADXEnabledForShortEntry() && IsBearishUnderlyingTrend())
{
shortTradingEnabled = true;
}
}
}
}
if (longTradingEnabled && stochasticIndicator.GetD()[1] <= buySignal && stochasticIndicator.GetD()[0] > buySignal)
{
// BUY SIGNAL: Stochastic %D crosses above "buy signal" level
MarketOrder buyOrder = new MarketOrder(OrderSide.Buy, 1, "Enter long position");
this.InsertOrder(buyOrder);
trailingStopOrder = new StopOrder(OrderSide.Sell, 1, this.Bars.Close[0] - stopMargin, "Catastrophic stop long exit");
this.InsertOrder(trailingStopOrder);
profitOrder = new LimitOrder(OrderSide.Sell, 1, this.Bars.Close[0] + profitMargin, "Profit stop long exit");
this.InsertOrder(profitOrder);
// Linking Stop and Limit orders: when one is executed, the other is cancelled
trailingStopOrder.IsChildOf = profitOrder;
profitOrder.IsChildOf = trailingStopOrder;
// Setting the initial acceleration for the trailing stop and the furthest (the most extreme) close price
acceleration = (double)this.GetInputParameter("Trailing Stop acceleration");
furthestClose = this.Bars.Close[0];
}
else if (shortTradingEnabled && stochasticIndicator.GetD()[1] >= sellSignal && stochasticIndicator.GetD()[0] < sellSignal)
{
// SELL SIGNAL: Stochastic %D crosses below "sell signal" level
MarketOrder sellOrder = new MarketOrder(OrderSide.Sell, 1, "Enter short position");
this.InsertOrder(sellOrder);
trailingStopOrder = new StopOrder(OrderSide.Buy, 1, this.Bars.Close[0] + stopMargin, "Catastrophic stop short exit");
this.InsertOrder(trailingStopOrder);
profitOrder = new LimitOrder(OrderSide.Buy, 1, this.Bars.Close[0] - profitMargin, "Profit stop short exit");
this.InsertOrder(profitOrder);
// Linking Stop and Limit orders: when one is executed, the other is cancelled
trailingStopOrder.IsChildOf = profitOrder;
profitOrder.IsChildOf = trailingStopOrder;
// Setting the initial acceleration for the trailing stop and the furthest (the most extreme) close price
acceleration = (double)this.GetInputParameter("Trailing Stop acceleration");
furthestClose = this.Bars.Close[0];
}
else if (this.GetOpenPosition() == 1 && this.Bars.Close[0] > furthestClose)
{
// We're long and the price has moved in our favour
furthestClose = this.Bars.Close[0];
// Increasing acceleration
acceleration = acceleration * (furthestClose - trailingStopOrder.Price);
// Checking if trailing the stop order would exceed the current market price
if (trailingStopOrder.Price + acceleration < this.Bars.Close[0])
{
// Setting the new price for the trailing stop
trailingStopOrder.Price = trailingStopOrder.Price + acceleration;
trailingStopOrder.Label = "Trailing stop long exit";
this.ModifyOrder(trailingStopOrder);
}
else
{
// Cancelling the order and closing the position
this.CancelOrder(trailingStopOrder);
this.CancelOrder(profitOrder);
MarketOrder exitLongOrder = new MarketOrder(OrderSide.Sell, 1, "Exit long position");
this.InsertOrder(exitLongOrder);
}
}
else if (this.GetOpenPosition() == -1 && this.Bars.Close[0] < furthestClose)
{
// We're short and the price has moved in our favour
furthestClose = this.Bars.Close[0];
// Increasing acceleration
acceleration = acceleration * Math.Abs(trailingStopOrder.Price - furthestClose);
// Checking if trailing the stop order would exceed the current market price
if (trailingStopOrder.Price - acceleration > this.Bars.Close[0])
{
// Setting the new price for the trailing stop
trailingStopOrder.Price = trailingStopOrder.Price - acceleration;
trailingStopOrder.Label = "Trailing stop short exit";
this.ModifyOrder(trailingStopOrder);
}
else
{
// Cancelling the order and closing the position
this.CancelOrder(trailingStopOrder);
this.CancelOrder(profitOrder);
MarketOrder exitShortOrder = new MarketOrder(OrderSide.Buy, 1, "Exit short position");
this.InsertOrder(exitShortOrder);
}
}
}