PAR.cs

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
	public class PAR : Strategy
	{

		private VWAP8 vwap;
		double calDays = 30;
		private ParabolicSAR ParabolicSAR1;
		
		protected override void OnStateChange()
		
		
		{
			if (State == State.SetDefaults)
			{
				
				Description = @"This strategy leverages the PAR to calculated an expected move range up to 4 standard deviations and trades accordingly. ";
				Name = "PAR";
				Calculate									= Calculate.OnBarClose;
				EntriesPerDirection							= 1;
				EntryHandling								= EntryHandling.AllEntries;
				IsExitOnSessionCloseStrategy				= false;
				ExitOnSessionCloseSeconds					= 30;
				IsFillLimitOnTouch							= false;
				MaximumBarsLookBack							= MaximumBarsLookBack.TwoHundredFiftySix;
				OrderFillResolution							= OrderFillResolution.Standard;
				Slippage									= 1;
				StartBehavior								= StartBehavior.WaitUntilFlat;
				TimeInForce									= TimeInForce.Gtc;
				TraceOrders									= false;
				RealtimeErrorHandling						= RealtimeErrorHandling.StopCancelClose;
				StopTargetHandling							= StopTargetHandling.PerEntryExecution;
				BarsRequiredToTrade							= 1;
				// Disable this property for performance gains in Strategy Analyzer optimizations
				// See the Help Guide for additional information
				IsInstantiatedOnEachOptimizationIteration	= true;
			
				
				profitTaker = 1024;
				stopLoss = 1024;
				
//				AddPlot(Brushes.Red, "SD0"); //0
//				AddPlot(Brushes.Red, "SD1"); //1
//				AddPlot(Brushes.Red, "SD2"); //2
//				AddPlot(Brushes.Red, "SD3"); //3
//				AddPlot(Brushes.Red, "SD4"); //4
				
//				AddPlot(Brushes.LimeGreen, "SD-0"); //5
//				AddPlot(Brushes.LimeGreen, "SD-1"); //6
//				AddPlot(Brushes.LimeGreen, "SD-2"); //7
//				AddPlot(Brushes.LimeGreen, "SD-3"); //8
//				AddPlot(Brushes.LimeGreen, "SD-5"); //9
				
			}
			else if (State == State.Configure)
			{
				//AddDataSeries("VX 12-20", Data.BarsPeriodType.Minute, 1, Data.MarketDataType.Last); //1
				SetStopLoss(CalculationMode.Ticks, stopLoss);
				SetProfitTarget(CalculationMode.Ticks, profitTaker);
			}

			else if (State == State.DataLoaded)
			{
				//vwap = VWAP8();
				//vwap.Plots[0].Brush = Brushes.White;
				ParabolicSAR1				= ParabolicSAR(Close, 0.02, 0.2, 0.02);
				
				//add the indicators
				//AddChartIndicator(vwap);
				AddChartIndicator(ParabolicSAR1);

			}
		}

		protected override void OnBarUpdate()
		{
			
			if (CurrentBars[0] < (BarsRequiredToTrade))
				return;
			
	
			
//			// Resets the stop loss to the original value when all positions are closed
//			if (Position.MarketPosition == MarketPosition.Flat)
//			{
//				SetStopLoss(CalculationMode.Ticks, stopLoss*4);
//				SetProfitTarget(CalculationMode.Ticks, profitTaker*4);
//			}
			
//			// If a long position is open, allow for stop loss modification to breakeven
//			else if (Position.MarketPosition == MarketPosition.Long)
//			{
//				// Once the price is greater than entry price+50 ticks, set stop loss to breakeven
//				if (priorAveragePrice != Position.AveragePrice)
//				{
//					SetProfitTarget(CalculationMode.Price, Position.AveragePrice + profitTaker);
//					SetStopLoss(CalculationMode.Price, Position.AveragePrice - stopLoss);
//					priorAveragePrice = Position.AveragePrice;
//				}
//			}			
			
			
//			//calculate the standard deviation & sar
//			double sd = (vwap[0] * (Closes[1][0] / 100) * Math.Sqrt(calDays / 365)) / calDays;
			
//			//calculate the offsets from the vwap
//			Values[0][0] = vwap[0] + (sd * 0.5);
//			Values[1][0] = vwap[0] + sd;
//			Values[2][0] = vwap[0] + (sd * 2);
//			Values[3][0] = vwap[0] + (sd * 3);
//			Values[4][0] = vwap[0] + (sd * 4);
//			Values[5][0] = vwap[0] - (sd * 0.5);
//			Values[6][0] = vwap[0] - sd;
//			Values[7][0] = vwap[0] - (sd * 2);
//			Values[8][0] = vwap[0] - (sd * 3);
//			Values[9][0] = vwap[0] - (sd * 4);	
			
			//determine the buy signals
			bool buy = false;

			//If the previous bar shows the ParabolicSar is greater than the High of the previous bar and the current bar shows the ParabolicSar is less than the Low of the current bar 
			//then the ParabolicSar has switch sides. If the previous bar shows the ParabolicSar is less than the Low of the previous bar and the current bar shows the ParabolicSar 
			//is greater than the High of the current bar then the ParabolicSar has switch sides.

			if (ParabolicSAR1[1] > High[1] && ParabolicSAR1[0] < Low[0])
			{
				buy = true;	
			}

			//determine the sell signals
			bool sell = false;
			if (ParabolicSAR1[1] < Low[1] && ParabolicSAR1[0] > High[0]) sell = true;
			
			if (buy) 
				EnterLong();
					
			if (sell)
				EnterShort();
				
		}

		#region Properties

		[NinjaScriptProperty]
		[Range(1, int.MaxValue)]
		[Display(Name="Profit Taker", Description="Points to profit take at", Order=2, GroupName="Parameters")]
		public int profitTaker
		{ get; set; }
		
		[NinjaScriptProperty]
		[Range(1, int.MaxValue)]
		[Display(Name="Stop Loss", Description="Points to set stop loss at", Order=3, GroupName="Parameters")]
		public int stopLoss
		{ get; set; }
		
		#endregion

	}
}