#region Namespaces
using System;
using System.IO;
using System.Linq;
#endregion
namespace ScriptCode {
/// <summary>
/// This is a range-bound trading strategy that generates trade signals using support and resistance levels defined by moving average Envelopes.
/// The lower Envelope is the specified percentage below the 14-period exponentially weighted moving average (EMA) of the Close price and represents the support level.
/// The upper Envelope is the specified percentage above the 14-period EMA of the Close price and represents the resistance level.
///
/// Support and resistance margin parameters are included to determine when the Close price enters the support or resistance area.
/// The support margin level is the specified percent above the lower Envelope while the resistance margin level is the specified percent below the upper Envelope.
/// A buy signal is generated when the Close price enters the area between the lower Envelope and support margin level while a sell signal is generated when the Close price enters the area between the upper Envelope and resistance margin level.
///
/// Trading Rules:
///
/// Long Entry: A buy market order is generated when the Close price is at or between the lower Envelope and the support margin level.
/// Long Exit: A sell market order is generated when the Close price is at or between the upper Envelope and the resistance margin level.
///
/// Short Entry: A sell short market order is generated when the Close price is at or between the upper Envelope and the resistance margin level.
/// Short Exit: A buy-to-cover market order is generated when the Close price is at or between the lower Envelope and the support margin level.
/// </summary>
public partial class MyTradingStrategy : TradingStrategyScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// The trigger indicator.
private Indicator _indicator;
// The lower envelope support indicator.
private Indicator _supportIndicator;
// The upper envelope resistance indicator.
private Indicator _resistanceIndicator;
// The percentage distance from the support level in which support starts.
private double _supportMargin;
// The percentage distance from the resistance level in which resistance starts.
private double _resistanceMargin;
// Indicates whether to enable the trading strategy script to short symbols.
private bool _enableShorting;
// Indicates whether to enable the trading strategy script 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="indicatorColor" type="C_Color" default="ROYAL_BLUE">The color of the indicator.</param>
/// <param name="supportIndicatorColor" type="C_Color" default="GREEN">The color of the support indicator.</param>
/// <param name="supportIndicatorPercent" type="Double" default="3">The percentage distance from the close for the support envelope. </param>
/// <param name="resistanceIndicatorColor" type="C_Color" default="GREEN">The color of the resistance indicator.</param>
/// <param name="resistanceIndicatorPercent" type="Double" default="3">The percentage distance from the close for the resistance envelope. </param>
/// <param name="supportMargin" type="Double" default="0.2">The percentage distance from the support level in which support starts. </param>
/// <param name="resistanceMargin" type="Double" default="0.2">The percentage distance from the resistance level in which resistance starts.</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(
C_Color indicatorColor,
C_Color supportIndicatorColor,
double supportIndicatorPercent,
C_Color resistanceIndicatorColor,
double resistanceIndicatorPercent,
double supportMargin,
double resistanceMargin,
bool enableShorting,
bool enableLonging,
double stopLoss,
double takeProfit) {
// Set the script parameters to script variables.
_supportMargin = supportMargin;
_resistanceMargin = resistanceMargin;
_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());
// Create the close indicator for the underlying symbol.
_indicator = IndicatorCLOSE(SymbolIndex());
// Plot the indicator on the underlying symbol's chart.
int indicatorItemID = ChartIndicatorPlot(SymbolIndex(), _indicator, "", - 1, 1);
// Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), indicatorItemID, 0, indicatorColor, C_DashStyle.SOLID, 2);
// Create the lower envelope indicator for the underlying symbol.
_supportIndicator = IndicatorENVL(IndicatorCLOSE(SymbolIndex()), supportIndicatorPercent, 14);
// Plot the indicator on the underlying symbol's chart.
int supportIndicatorItemID = ChartIndicatorPlot(SymbolIndex(), _supportIndicator, "", - 1, 1);
// Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), supportIndicatorItemID, 0, supportIndicatorColor, C_DashStyle.SOLID, 2);
// Create the upper envelope indicator for the underlying symbol.
_resistanceIndicator = IndicatorENVU(IndicatorCLOSE(SymbolIndex()), resistanceIndicatorPercent, 14);
// Plot the indicator on the underlying symbol's chart.
int resistanceIndicatorID = ChartIndicatorPlot(SymbolIndex(), _resistanceIndicator, "", - 1, 1);
// Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), resistanceIndicatorID, 0, resistanceIndicatorColor, C_DashStyle.SOLID, 2);
}
#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) {
// Get the current indicator value.
double value = _indicator[0];
// Get the current support indicator value.
double supportValue = _supportIndicator[0];
// Get the current resistance indicator value.
double resistanceValue = _resistanceIndicator[0];
// Check whether the indicator is near the support level.
if (supportValue <= value && value <= supportValue * (1 + (_supportMargin / 100))) {
// Check whether there is an open short position.
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, "Indicator hit support.");
}
// Check whether there are no open long position.
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, "Indicator hit support. ");
// 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 is near the resistance level.
else if (resistanceValue * (1 - (_resistanceMargin / 100)) <= value && value <= resistanceValue) {
// Check whether there is an open long position.
if (_enableLonging && PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE)) {
// Generate a sell market order.
BrokerMarket(C_ActionType.SELL, 0, C_TIF.DAY, "Indicator hit resistance.");
}
// Check whether there are no open short position.
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, "Indicator hit resistance.");
// 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
}
}
