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Strategy based on ATR

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    Strategy based on ATR

    Hi,

    I'm trying to build a strategy based on ATR. So when a stock is coming for 7 days in a row I want to buy it. Based on ATR I Want to use a stop loss and profit traget is 50% of the atr.

    I tried a few hours to put tis in code but i'm stuck at this point:

    My code so far:


    #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 Cesear7 : Strategy
    {
    ATR _atr;

    double _lowClose, _highClose;

    protected override void OnStateChange()
    {
    if (State == State.SetDefaults)
    {
    Description = @"Look for a 7 lower closes";
    Name = "Cesear7";
    Calculate = Calculate.OnBarClose;
    EntriesPerDirection = 1;
    EntryHandling = EntryHandling.AllEntries;
    IsExitOnSessionCloseStrategy = true;
    ExitOnSessionCloseSeconds = 30;
    IsFillLimitOnTouch = false;
    MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
    OrderFillResolution = OrderFillResolution.Standard;
    Slippage = 0;
    StartBehavior = StartBehavior.WaitUntilFlat;
    TimeInForce = TimeInForce.Gtc;
    TraceOrders = false;
    RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
    StopTargetHandling = StopTargetHandling.PerEntryExecution;
    BarsRequiredToTrade = 20;
    // Disable this property for performance gains in Strategy Analyzer optimizations
    // See the Help Guide for additional information
    IsInstantiatedOnEachOptimizationIteration = true;
    HigherLowerNumberOfDays = 7;
    ATRPeriod = 10;
    ATRMultiple = 0.1;
    InitialCapital = 100000;
    }
    else if (State == State.Configure)
    {
    _atr = ATR(this.ATRPeriod);

    base.AddChartIndicator(_atr);

    base.ClearOutputWindow();
    }
    }

    protected override void OnBarUpdate()
    {
    SetState();

    if (isFlat)
    {
    if (ReachedNewLowClose)
    {
    Buy();
    }
    }
    else
    {
    if (IsLong && ReachedATR)
    base.ExitLong();
    }

    }

    void SetState()
    {
    _LowClose = MIN(this.Close, this.HigherLowerNumberOfDays)[0];
    _LowClose = MAX(this.Close, this.HigherLowerNumberOfDays)[0];

    Draw.Line(this, "high"+CurrentBar, 0, _highClose 0, _highClose, Brushes.Orange);
    Draw.Line(this, "low"+CurrentBar, 0, _lowClose 0, _highClose, Brushes.Orange);
    }

    I'm looking for some help in the right direction

    thx

    kristof

    #2
    Hello cube1984,

    Thank you for your note.

    We do not build custom indicators or strategies for customers however if you’d like I could have someone from our business development team pass over a list of professional Ninja Script consultants that you could contact about developing this for you.

    Please let us know if you’d like that information.
    Alan P.NinjaTrader Customer Service

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