public override void OnBar(Bar bar)
{
// if we don't have a position and we have some bars
// in the bollinger series, try to enter a new trade
if (!HasPosition)
{
if (bbl.Count > 0)
{
// if the current bar is below the lower bollinger band
// buy long to close the gap
if (Bars.Crosses(bbl, bar) == Cross.Below)
{
buyOrder = MarketOrder(OrderSide.Buy, Qty, "Entry");
buyOrder.Send();
}
}
}
else
{
// else if we DO have an existing position, and if
// today's bar is above our entry price (profitable),
// then close the position with a market order
if (entryPrice < bar.Close)
{
barsFromEntry = 0;
Sell(Qty, "Exit (Take Profit)");
}
else
{
barsFromEntry++;
}
}
}
public override void OnBar(Bar bar)
{
if (sma.Count == 0)
{
return;
}
// if we are using a trend-following exit and have an open
// positiong that we should close
if (TrendFollowingExitEnabled && HasPosition && Bars.Count > TrendFollowingExitLength + 1)
{
// check if we are long and today's close is lower than
// lowest low of the last "trendFollowingExitLength" bars.
// If so, then exit on the next bar open
if (Position.Side == PositionSide.Long)
{
double prevLow = Bars.LowestLow(Bars.Count - TrendFollowingExitLength - 1, Bars.Count - 2);
if (bar.Close < prevLow)
{
exitOnBarOpen = true;
}
}
// check if we are short and today's close is higher than
// highest high of the last "trendFollowingExitLength" bars
// If so, exit on the next bar open
if (Position.Side == PositionSide.Short)
{
double prevHigh = Bars.HighestHigh(Bars.Count - TrendFollowingExitLength - 1, Bars.Count - 2);
if (bar.Close > prevHigh)
{
exitOnBarOpen = true;
}
}
}
// look for N consecutive closes after a crossover
Cross cross = Bars.Crosses(sma, bar);
// if any cross occurred, reset the consecutive close count,
// and copy the cross value so we can reset our copy of it
// without wiping out the original indicator.
if (cross != Cross.None)
{
smaCross = cross;
ccCount = 0;
}
// if a cross occurred, increment the cc count, because the
// first bar counts as the first consecutive close
if (smaCross != Cross.None)
{
ccCount++;
}
// if we have enough consecutive closes, it's time to trade
if (ccCount == ConsClosesCount)
{
// if we have no position open, or if we have a position
// that is opposite the cross direction (ie, we need to
// close the position)
if (!HasPosition ||
(Position.Side == PositionSide.Long && smaCross == Cross.Below) ||
(Position.Side == PositionSide.Short && smaCross == Cross.Above))
{
switch (FilterType)
{
// enter a trade if no filters are being used
case FilterType.None:
{
entryEnabled = true;
break;
}
// enter a trade if the RAVI filter says ok
case FilterType.RAVI:
{
entryEnabled = FilterRAVI();
break;
}
// enable a trade if the ADX filter says ok
case FilterType.ADX:
{
entryEnabled = FilterADX();
break;
}
}
// if an entry was enabled, open a position on next bar open
if (entryEnabled)
{
exitOnBarOpen = false;
}
// and reset our copy of the cross status to none
smaCross = Cross.None;
}
// reset the consecutive close count too
ccCount = 0;
}
}
