protected override void OnBar()
{
// This will keep track of a single long and short position by this robots
Position longPosition = Positions.Find(label, Symbol, TradeType.Buy);
Position shortPosition = Positions.Find(label, Symbol, TradeType.Sell);
double stopLoss = Symbol.Ask - 11 * Symbol.PipSize;
double takeProfit = Symbol.Ask + 100 * Symbol.PipSize;
if (longPosition != null)
{
if (longPosition.Pips > 30.0)
{
ModifyPosition(longPosition, stopLoss, takeProfit);
}
}
if (shortPosition != null)
{
if (shortPosition.Pips < 30.0)
{
ModifyPosition(shortPosition, stopLoss, takeProfit);
}
}
//
double lastShortMA = shortMA.Result.Last(1);
double lastLongMA = longMA.Result.Last(1);
double twoLastShortMA = shortMA.Result.Last(3);
double twoLastLongMA = longMA.Result.Last(3);
//&& previousSlowMa > previousFastMa
if (lastShortMA > lastLongMA && twoLastShortMA < twoLastLongMA)
{
if (shortPosition != null)
{
ClosePosition(shortPosition);
}
if (longPosition == null && SourceSeries.Last(1) > lastShortMA)
{
ExecuteMarketOrder(TradeType.Buy, Symbol, 2000, label, 17, 200, 2, "Nothing");
}
}
//&& previousSlowMa < previousFastMa
else if (lastShortMA < lastLongMA && twoLastShortMA > twoLastLongMA)
{
if (longPosition != null)
{
ClosePosition(longPosition);
}
if (shortPosition == null && SourceSeries.Last(1) < lastShortMA)
{
ExecuteMarketOrder(TradeType.Sell, Symbol, 2000, label, 17, 200, 2, "Nothing");
}
}
}
protected override bool HasBullishSignal()
{
var close = SourceSeries.Last(1);
// Price must be > slow EMA
if (close <= _slowMA.Result.Last(1))
{
return(false);
}
// The close must have crossed above the upper Bollinger band
if (!SourceSeries.HasCrossedAbove(_bollingerBands.Top, 1))
{
return(false);
}
// Ensure price has been between the 2 bands
for (var index = 2; index < 10; index++)
{
var price = SourceSeries.Last(index);
if (price > _bollingerBands.Top.Last(index) || price < _bollingerBands.Bottom.Last(index))
{
return(false);
}
}
// Measure Band volatility - we want it to have contracted
if (!HaveBollingerBandsContracted())
{
return(false);
}
// The close must be > open and the close must be near the high and the open near the low
if (!ApplyCandleFilter(true))
{
return(false);
}
ApplyWeighting(true);
return(true);
}
private bool ApplyCandleFilter(bool isLong)
{
var currentLow = Bars.LowPrices.Last(1);
var currentHigh = Bars.HighPrices.Last(1);
var currentOpen = Bars.OpenPrices.Last(1);
var closeFromHigh = currentHigh - SourceSeries.Last(1);
var openFromLow = currentOpen - currentLow;
var range = currentHigh - currentLow;
if (isLong)
{
// The close must be > open and the close must be near the high and the open near the low
return((closeFromHigh / range <= 0.2) && (openFromLow / range <= 0.2));
}
else
{
// The close must be < open and the close must be near the low and the open near the high
return((closeFromHigh / range >= 0.8) && (openFromLow / range >= 0.8));
}
}
protected override bool HasBearishSignal()
{
var close = SourceSeries.Last(1);
// Price must be < slow EMA
if (close >= _slowMA.Result.Last(1))
{
return(false);
}
// The close must have crossed below the lower Bollinger band
if (!SourceSeries.HasCrossedBelow(_bollingerBands.Bottom, 1))
{
return(false);
}
// Have we had any other crosses recently?
for (var index = 2; index < 10; index++)
{
var price = SourceSeries.Last(index);
if (price > _bollingerBands.Top.Last(index) || price < _bollingerBands.Bottom.Last(index))
{
return(false);
}
}
// Measure Band volatility - we want it to have contracted
if (!HaveBollingerBandsContracted())
{
return(false);
}
if (!ApplyCandleFilter(false))
{
return(false);
}
ApplyWeighting(true);
return(true);
}
