#region Namespaces
using System;
using System.IO;
using System.Linq;
#endregion
namespace ScriptCode {
/// <summary>
/// This is a breakout / momentum strategy that looks to identify smaller, quicker swings in price within a larger price trend.
/// The strategy uses simple moving average (SMA) indicators of the High and Low prices as signal lines to determine when these smaller moves begin and end.
/// A longer term exponential moving average (EMA) indicator of the Close price is used to determine the overall trend.
/// A position is opened when a smaller move is identified to be moving in the same direction as long term trend in price.
/// This strategy was originally developed and discussed by Donald Pendergast in the December 2013 issue of “Technical Analyses of Stocks and Commodities.”
///
/// Trading Rules:
///
/// Long Entry: A buy market order is generated when price exceeds the specified percentage above the SMA of the High price and the Close price of the previous bar was above the EMA of the Close price.
/// Long Exit: A sell market order is generated when price trades below the SMA of the Low price.
///
/// Short Entry: A sell short market order is generated when price is below the specified percentage below the SMA of the Low price and the Close price of the previous bar was below the EMA of the Close price.
/// Short Exit: A buy market order is generated when price trades above the SMA of the High price.
/// </summary>
public partial class MyTradingStrategy : TradingStrategyScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// The number of periods to include in the SMA of the highs and lows.
private int _SMAPeriods;
// The number of periods to include in the EMA.
private int _EMAPeriods;
// The SMA of highs.
private Indicator _highSMA;
// The SMA of lows.
private Indicator _lowSMA;
// The EMA indicator.
private Indicator _EMA;
// The percentage amount above the SMA of highs or below the SMA of lows that the price must be to generate a buy or sell signal.
private double _percentOffset;
// 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;
// Indicates whether the strategy is waiting for an open position to close.
private bool _waitingToClose;
#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="SMAPeriods" type="Integer" default="5" min="1">The number of periods to include in the SMA of the highs and lows.</param>
/// <param name="EMAPeriods" type="Integer" default="50" min="1">The number of periods to include in the EMA.</param>
/// <param name="percentOffset" type="Double" default="5" min="0">The percentage amount above the SMA of highs or below the SMA of lows that the price must be to generate a buy or sell signal.</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 SMAPeriods,
int EMAPeriods,
double percentOffset,
bool enableShorting,
bool enableLonging,
double stopLoss,
double takeProfit) {
// Set the script parameters to script variables.
_SMAPeriods = SMAPeriods;
_EMAPeriods = EMAPeriods;
_percentOffset = percentOffset;
_enableShorting = enableShorting;
_enableLonging = enableLonging;
_stopLoss = stopLoss;
_takeProfit = takeProfit;
// Create the SMA of highs.
_highSMA = IndicatorSMA(IndicatorHIGH(SymbolIndex()), _SMAPeriods);
// Create the SMA of lows.
_lowSMA = IndicatorSMA(IndicatorLOW(SymbolIndex()), _SMAPeriods);
// Create the EMA indicator.
_EMA = IndicatorEMA(IndicatorCLOSE(SymbolIndex()), _EMAPeriods);
// Remove all of the indicators from the chart so that we don't get duplicates.
ChartIndicatorRemoveAll(SymbolIndex());
// Plot the indicator on the underlying symbol's chart.
int highSMAIndicatorID = ChartIndicatorPlot(SymbolIndex(), _highSMA, "High SMA", - 1, 1);
// Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), highSMAIndicatorID, 0, C_Color.YELLOW, C_DashStyle.SOLID, 3);
// Plot the indicator on the underlying symbol's chart.
int lowSMAIndicatorID = ChartIndicatorPlot(SymbolIndex(), _lowSMA, "Low SMA", - 1, 1);
// Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), lowSMAIndicatorID, 0, C_Color.YELLOW, C_DashStyle.SOLID, 3);
// Plot the indicator on the underlying symbol's chart.
int EMAIndicatorID = ChartIndicatorPlot(SymbolIndex(), _EMA, "EMA", - 1, 1);
// Set the indicator pen.
ChartIndicatorSetPenByIndex(SymbolIndex(), EMAIndicatorID, 0, C_Color.LIGHT_BLUE, C_DashStyle.SOLID, 3);
}
#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 there is not enough price history to calculate the SMA and EMAs.
if (DataTotalCount() < Math.Max(_SMAPeriods, _EMAPeriods))
return ;
// Check whether the price traded below the specified percentage below the SMA of lows and the previous bar closed below the EMA.
if (_lowSMA[0] * (1 - _percentOffset / 100) > DataLow() && DataClose(1) < _EMA[0]) {
// Check whether the strategy can go short and there is not already an open short position nor a pending sell short order.
if (_enableShorting && !PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.SHORT_SIDE) && !OrderExists(C_Status.PENDING, C_ActionType.SELL_SHORT)) {
// Generate a sell short market order while assuming that a position sizing script will assign the quantity.
int orderIndex = BrokerMarket(C_ActionType.SELL_SHORT, 0, C_TIF.GTC, "Time to sell short.");
// Set a stop loss on the order.
BrokerSetStopLossPercent(orderIndex, _stopLoss, true, "Stop loss reached.");
// Set a take profit on the order.
BrokerSetTakeProfitPercent(orderIndex, _takeProfit, true, "Target profit reached.");
}
}
// Check whether the price traded above the specified percentage above the SMA of highs and the previous bar closed above the EMA.
if (_highSMA[0] * (1 + _percentOffset / 100) < DataHigh() && DataClose(1) > _EMA[0]) {
// Check whether the strategy can go long and there is not already an open long position nor a pending buy order.
if (_enableLonging && !PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE) && !OrderExists(C_Status.PENDING, C_ActionType.BUY)) {
// Generate a buy market order while assuming that a position sizing script will assign the quantity.
int orderIndex = BrokerMarket(C_ActionType.BUY, 0, C_TIF.GTC, "Time to buy.");
// Set a stop loss on the order.
BrokerSetStopLossPercent(orderIndex, _stopLoss, true, "Stop loss reached.");
// Set a take profit on the order.
BrokerSetTakeProfitPercent(orderIndex, _takeProfit, true, "Target profit reached.");
}
}
// Check whether a position exists, the price of the underlying symbol crossed the opposite SMA, and the strategy has not already requested that the open position be closed.
if (((PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.LONG_SIDE) && DataLow() < _lowSMA[0])
|| (PositionExistsInDirection(C_PositionStatus.OPEN, C_Direction.SHORT_SIDE) && DataHigh() > _highSMA[0]))
&& !_waitingToClose) {
// Close the open position.
BrokerClosePosition("Time to close.");
// Record that the strategy is waiting for the position to be closed.
_waitingToClose = true;
}
}
#endregion
#region OnOrderFillUpdate
/// <summary>
/// This function is called for each new order fill.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index</param>
/// <param name="orderIndex" type="Integer">The order index</param>
/// <param name="orderFillIndex" type="Integer">The order fill index</param>
public override void OnOrderFillUpdate(
int symbolIndex,
int orderIndex,
int orderFillIndex) {
// OnOrderFillUpdate Content
}
#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) {
// Check whether the position just closed.
if (status == C_PositionStatus.CLOSED) {
// Record that the strategy is no longer waiting for the position to be closed.
_waitingToClose = false;
}
}
#endregion
#region OnSessionUpdate
/// <summary>
/// This function is called when a session is opened or closed.
/// </summary>
/// <param name="symbolIndex" type="Integer">The symbol index whose session is updated</param>
/// <param name="status" type="C_SessionStatus">The session status</param>
public override void OnSessionUpdate(
int symbolIndex,
C_SessionStatus status) {
}
#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 update 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 update 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 update 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 update 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 update 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
}
}
