#region Namespaces
using System;
using System.IO;
using System.Linq;
#endregion
namespace ScriptCode {
/// <summary>
/// This is a reversal strategy that uses the Relative Strength Index (RSI) to generate trading signals.
/// The RSI measures average gains relative to average losses on a scale of 0 to 100 so that RSI values close to 100 signify the symbol is overbought while values close to 0 signify the symbol is oversold.
/// The strategy generates a long signal when the RSI of the symbol is below the specified oversold level while the strategy generates a short signal when the RSI is above the specified overbought level.
///
/// Trading Rules:
///
/// Long Entry: A buy market order is generated when the RSI is below the specified oversold level.
/// Long Exit: A sell market order is generated when the RSI is above the specified overbought level.
///
/// Short Entry: A sell short market order is generated when RSI is above the specified overbought level.
/// Short Exit: A buy-to-cover market order is generated when the RSI is below the specified oversold level.
/// </summary>
public partial class MyTradingStrategy : TradingStrategyScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// The RSI indicator.
private Indicator _indicator;
// The value above which the underlying indicator is considered overbought.
private double _overboughtValue;
// The value below which the underlying indicator is considered oversold.
private double _oversoldValue;
// Indicates whether to enable the trading strategy to short symbols.
private bool _enableShorting;
// Indicates whether to enable the trading strategy to long symbols.
private bool _enableLonging;
// The percent distance from the entry price in which to place a stop loss order.
private double _stopLoss;
// The percent distance from the entry price in which to place a take profit order.
private double _takeProfit;
#endregion
#region OnInitialize
/// <summary>
/// This function is used for accepting the script parameters and for initializing the script prior to all other function calls.
/// Once the script is assigned to a desktop, its parameter values can be specified by the user and can be selected for optimization.
/// </summary>
/// --------------------------------------------------------------------------------------------------
/// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS
/// --------------------------------------------------------------------------------------------------
/// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION.
/// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION.
/// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS.
/// REQUIRED ATTRIBUTES:
/// (1) name: The exact parameter name.
/// (2) type: The type of data to collect from the user:
/// Set to "Integer" when the data type is 'int'
/// Set to "IntegerArray" when the data type is 'int[]'
/// Set to "DateTime" when the data type is 'long'
/// Set to "DateTimeArray" when the data type is 'long[]'
/// Set to "Boolean" when the data type is 'bool'
/// Set to "BooleanArray" when the data type is 'bool[]'
/// Set to "Double" when the data type is 'double'
/// Set to "DoubleArray" when the data type is 'double[]'
/// Set to "String" when the data type is 'string'
/// Set to "StringArray" when the data type is 'string[]'
/// Set to "Indicator" when the data type is 'Indicator'
/// Set to "Pattern" when the data type is 'Pattern'
/// Set to "Signal" when the data type is 'Signal'
/// Set to "Drawing" when the data type is 'Drawing'
/// OPTIONAL ATTRIBUTES:
/// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type.
/// (4) min: The minimum parameter value is only valid when the type is Integer or Double.
/// (5) max: The maximum parameter value is only valid when the type is Integer or Double.
/// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param>
/// --------------------------------------------------------------------------------------------------
/// <param name="RSIPeriods" type="Integer" default="14">The number of RSI periods.</param>
/// <param name="indicatorColor" type="C_Color" default="ROYAL_BLUE">The color of the indicator.</param>
/// <param name="indicatorPlotStyle" type="C_PlotStyle" default="LINE">The plot style of the indicator.</param>
/// <param name="overboughtValue" type="Double" default="70">The minimum value above which the underlying indicator is considered overbought.</param>
/// <param name="oversoldValue" type="Double" default="30">The minimum value below which the underlying indicator is considered oversold. </param>
/// <param name="enableShorting" type="Boolean" default="True">Indicates whether to enable the trading strategy to short symbols. </param>
/// <param name="enableLonging" type="Boolean" default="True">Indicates whether to enable the trading strategy to long symbols. </param>
/// <param name="stopLoss" type="Double" default="0">The percent distance from the entry price in which to place a stop loss order. (0 to ignore). </param>
/// <param name="takeProfit" type="Double" default="0">The percent distance from the entry price in which to place a take profit order. (0 to ignore). </param>
public void OnInitialize(
int RSIPeriods,
C_Color indicatorColor,
C_PlotStyle indicatorPlotStyle,
double overboughtValue,
double oversoldValue,
bool enableShorting,
bool enableLonging,
double stopLoss,
double takeProfit) {
// Set the script parameters to script variables.
_overboughtValue = overboughtValue;
_oversoldValue = oversoldValue;
_enableShorting = enableShorting;
_enableLonging = enableLonging;
_stopLoss = stopLoss;
_takeProfit = takeProfit;
// Remove all of the indicators from the chart so that we don't get duplicates.
ChartIndicatorRemoveAll(SymbolIndex());
// Keep the specified indicator.
_indicator = IndicatorRSI(IndicatorCLOSE(SymbolIndex()), RSIPeriods);
// Plot the indicator on the underlying symbol's chart.
int indicatorItemID = ChartIndicatorPlot(SymbolIndex(), _indicator, "", - 1, 2);
// Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), indicatorItemID, 0, indicatorColor, C_DashStyle.SOLID, 2);
// Set the indicator style.
ChartIndicatorSetPlotStyle(SymbolIndex(), indicatorItemID, indicatorPlotStyle);
}
#endregion
#region OnBarUpdate
/// <summary>
/// This function is called after each new bar of each symbol assigned to the Desktop strategy.
/// It should evaluate the specified symbol and its new bar in order to determine whether to generate new orders for it.
/// Never create indicators, signals or patterns from OnBarUpdate, for performance reasons those should be created from OnInitialize.
/// </summary>
/// <param name="symbolIndex" type="Integer">The index of the symbol in the strategy symbol table</param>
/// <param name="dataSeries" type="Integer">The number indicating the data series from which the symbol was updated.
/// According to the Desktop strategy data series settings: 0 for the main data series, 1 for the second data series, etc. (See the DataSeriesSwitch function).</param>
/// <param name="completedBars" type="Integer">The number of completed bars for the specified symbol since the last call to OnBarUpdate.
/// Always 1 unless the bar type can generate multiple completed bars from a single tick/minute/day update (depending on the underlying bar source).</param>
public override void OnBarUpdate(
int symbolIndex,
int dataSeries,
int completedBars) {
// Check whether the indicator value is oversold.
if (_indicator[0] < _oversoldValue) {
// Check whether a short position exists for the symbol.
if (_enableShorting && PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.SHORT_SIDE)) {
// Generate a buy to cover market order.
BrokerMarket(C_ActionType.BUY_TO_COVER, 0, C_TIF.DAY, "Oversold.");
}
// Check whether there are no long positions for the symbol.
if (_enableLonging && !PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE) && !OrderExists(C_Status.PENDING)) {
// Generate a buy market order.
int orderIndex = BrokerMarket(C_ActionType.BUY, 0, C_TIF.DAY, "Oversold.");
// Set a stop loss on the order.
BrokerSetStopLossPercent(orderIndex, _stopLoss, true, "");
// Set a take profit on the order.
BrokerSetTakeProfitPercent(orderIndex, _takeProfit, true, "");
}
}
// Check whether the indicator value is overbought.
else if (_indicator[0] > _overboughtValue) {
// Check whether a long position exists.
if (_enableLonging && PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE)) {
// Generate a sell market order.
BrokerMarket(C_ActionType.SELL, 0, C_TIF.DAY, "Overbought.");
}
// Check whether a short position doesn't exist.
if (_enableShorting && !PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.SHORT_SIDE) && !OrderExists(C_Status.PENDING)) {
// Generate a sell short market order.
int orderIndex = BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.DAY, "Overbought.");
// Set a stop loss on the order.
BrokerSetStopLossPercent(orderIndex, _stopLoss, true, "");
// Set a take profit on the order.
BrokerSetTakeProfitPercent(orderIndex, _takeProfit, true, "");
}
}
}
#endregion
#region OnOrderUpdate
/// <summary>
/// This function is called when an order is executed or cancelled.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index</param>
/// <param name="orderIndex" type="Integer">The order index</param>
/// <param name="status" type="C_Status">The updated status of the order</param>
public override void OnOrderUpdate(
int symbolIndex,
int orderIndex,
C_Status status) {
// OnOrderUpdate Content
}
#endregion
#region OnPositionUpdate
/// <summary>
/// This function is called when a position is opened or closed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index</param>
/// <param name="positionIndex" type="Integer">The position index</param>
/// <param name="status" type="C_PositionStatus">The updated status of the position</param>
public override void OnPositionUpdate(
int symbolIndex,
int positionIndex,
C_PositionStatus status) {
// OnPositionUpdate Content
}
#endregion
#region OnNewsUpdate
/// <summary>
/// This function is called when a news update is received and only if the NO_NEWS_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnNewsUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnNewsUpdate Content
// [NO_NEWS_UPDATES] - Delete this comment to enable news updates to this strategy.
}
#endregion
#region OnRSSUpdate
/// <summary>
/// This function is called when an RSS update is received and only if the NO_RSS_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnRSSUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnRSSUpdate Content
// [NO_RSS_UPDATES] - Delete this comment to enable RSS updates to this strategy.
}
#endregion
#region OnAlertUpdate
/// <summary>
/// This function is called when an alert update is received and only if the NO_ALERT_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnAlertUpdate(
int symbolIndex,
long dateTime,
string message,
C_MessageType type) {
// OnAlertUpdate Content
// [NO_ALERT_UPDATES] - Delete this comment to enable alert updates to this strategy.
}
#endregion
#region OnJournalUpdate
/// <summary>
/// This function is called when a journal update is received and only if the NO_JOURNAL_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="title" type="String">The update title</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnJournalUpdate(
int symbolIndex,
long dateTime,
string title,
string message,
C_MessageType type) {
// OnJournalUpdate Content
// [NO_JOURNAL_UPDATES] - Delete this comment to enable journal updates to this strategy.
}
#endregion
#region OnDataConnectionUpdate
/// <summary>
/// This function is called when a data connection update is received and only if the NO_DATA_CONNECTION_UPDATES comment is removed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index for the update</param>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnDataConnectionUpdate(
int symbolIndex,
long dateTime,
string message,
C_MessageType type) {
// OnDataConnectionUpdate Content
// [NO_DATA_CONNECTION_UPDATES] - Delete this comment to enable data connection updates to this strategy.
}
#endregion
#region OnBrokerConnectionUpdate
/// <summary>
/// This function is called when a broker connection update is received and only if the NO_BROKER_CONNECTION_UPDATES comment is removed.
/// </summary>
/// <param name="dateTime" type="DateTime">The date/time in which the update was received by the platform</param>
/// <param name="message" type="String">The update message</param>
/// <param name="type" type="C_MessageType">The message type</param>
public override void OnBrokerConnectionUpdate(
long dateTime,
string message,
C_MessageType type) {
// OnBrokerConnectionUpdate Content
// [NO_BROKER_CONNECTION_UPDATES] - Delete this comment to enable broker connection updates to this strategy.
}
#endregion
#region OnShutdown
/// <summary>
/// This function is called when the script is shutdown.
/// </summary>
public override void OnShutdown() {
// OnShutdown Content
}
#endregion
}
}
