Strategy based on ATR

[cube1984]

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

[NinjaTrader_AlanP]

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.