private double currentPnL;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "zzzzzzzzzzzzrandom2";
Calculate = Calculate.OnEachTick;
EntriesPerDirection = 3;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.Infinite;
OrderFillResolution = OrderFillResolution.Standard;
// OrderFillResolutionType = BarsPeriodType.Tick;
// OrderFillResolutionValue = 1;
Slippage = 1;
StartBehavior = StartBehavior.WaitUntilFlatSynchronizeAccount;
IsAdoptAccountPositionAware = true;
IncludeCommission = true;
TimeInForce = TimeInForce.Day;
TraceOrders = true;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelCloseIgnoreRejects;
StopTargetHandling = StopTargetHandling.ByStrategyPosition;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
LossLimit = 300;
ProfitLimit = 12000;
}
else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Tick, 20);
}
else if (State == State.DataLoaded)
{
ClearOutputWindow();
}
}
protected override void OnBarUpdate()
{
if (CurrentBars[0] < 20 )
return;
// at the start of a new session, reset the currentPnL for a new day of trading
if (Bars.IsFirstBarOfSession && BarsInProgress == 0)
currentPnL = 0;
if(BarsInProgress == 0 && IsFirstTickOfBar == true)
{
SetProfitTarget("Long", CalculationMode.Ticks, 20, false);
SetProfitTarget("Short", CalculationMode.Ticks, 20, false);
}
#region Time
// Time
if (((ToTime(Time[0]) >= 125900
&& ToTime(Time[0]) < 150000))
&& (Position.MarketPosition != MarketPosition.Flat))
//&& BarsInProgress == 0)
{
if (Position.MarketPosition == MarketPosition.Long)
{
ExitLong(0, Position.Quantity, "time", "");
}
else if (Position.MarketPosition == MarketPosition.Short)
{
ExitShort(0, Position.Quantity, "time", "");
}
}
#endregion
if ( ( (ToTime(Time[0]) > 50000
&& ToTime(Time[0]) < 93000))
&& Position.Quantity < 3
&& currentPnL > -LossLimit
&& currentPnL < ProfitLimit
&& BarsInProgress == 0
&& (BarsSinceEntryExecution(0, "Long", 0) > 5 || BarsSinceEntryExecution(0, "Long", 0) == -1))
{
if(
Close[1] > Open[1]
)
{
EnterLong(1,Convert.ToInt32(DefaultQuantity),"Long");
Draw.Diamond(this, "tag1" + CurrentBar, true, 0, Low[0] - TickSize, Brushes.Green);
Print(currentPnL);
}
}
if (Position.MarketPosition == MarketPosition.Long
&& (currentPnL + Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0])) <= -LossLimit)
{
//Print((currentPnL+Position.GetProfitLoss(Close[0], PerformanceUnit.Currency)) + " - " + -LossLimit);
// print to the output window if the daily limit is hit in the middle of a trade
Print("daily limit hit, exiting order " + Time[0].ToString());
Print(currentPnL);
ExitLong("Daily Limit Exit", "Long");
}
if (Position.Quantity > 1
&& BarsInProgress == 0
&& Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0]) > 0
&& Close[0] < Open[0]
&& Close[1] < Open[1]
)
{
ExitLong("Long");
}
if ( ( (ToTime(Time[0]) > 50000
&& ToTime(Time[0]) < 93000))
&& Position.Quantity < 3
&& currentPnL > -LossLimit
&& currentPnL < ProfitLimit
&& BarsInProgress == 0
&& (BarsSinceEntryExecution(0, "Short", 0) > 5 || BarsSinceEntryExecution(0, "Short", 0) == -1))
{
if( Close[1] < Open[1]
)
{
// SetStopLoss("Long", CalculationMode.Price, Low[2] - .5, false);
// EnterShortStopLimit(0,false, Convert.ToInt32(DefaultQuantity) , Low[0] + (5 * TickSize), Low[0] + (2 * TickSize), "Short");
EnterShort(1,Convert.ToInt32(DefaultQuantity),"Short");
// entryOrder = EnterLong(Convert.ToInt32(Quant),"Long");
// Draw.Diamond(this,"tag" + CurrentBar, true, 0, High[0] + TickSize, Brushes.Red);
}
}
if (Position.MarketPosition == MarketPosition.Short
&& (currentPnL + Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0])) <= -LossLimit)
{
//Print((currentPnL+Position.GetProfitLoss(Close[0], PerformanceUnit.Currency)) + " - " + -LossLimit);
// print to the output window if the daily limit is hit in the middle of a trade
Print("daily limit hit, exiting order " + Time[0].ToString());
Print(currentPnL);
LongTradeSwitch = false;
ShortTradeSwitch = false;
// ExitShort("Daily Limit Exit", "Short");
}
if (Position.Quantity > 1
&& BarsInProgress == 0
&& Position.GetUnrealizedProfitLoss(PerformanceUnit.Currency, Close[0]) > 0
&& Close[0] > Open[0]
&& Close[1] > Open[1]
)
{
ExitShort("Short");
}
}
protected override void OnPositionUpdate(Position position, double averagePrice, int quantity, MarketPosition marketPosition)
{
if (SystemPerformance.AllTrades.Count > 0)
{
// when a position is closed, add the last trade's Profit to the currentPnL
currentPnL += SystemPerformance.AllTrades[SystemPerformance.AllTrades.Count - 1].ProfitCurrency;
// print to output window if the daily limit is hit
if (currentPnL <= -LossLimit)
{
Print("daily limit hit, no new orders" + Time[0].ToString());
Print(currentPnL);
}
}
}
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