CalendarAndMACDCrossOver.cs

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Indicator;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Strategy;
#endregion

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    /// <summary>
    /// A buy-and-hold strategy that buys a constant amount at a given frequency and when MACD exceeds its EMA by a threshhold
    /// </summary>
    [Description("A buy-and-hold strategy that buys a constant amount at a given frequency and when MACD exceeds its EMA by a threshhold")]
    public class CalendarAndMACDCrossOver : Strategy
    {
        #region Variables
        // Wizard generated variables
        private double inflationRate = Math.Exp(Math.Log(1.03)/52)-1; // Inflation rate for calendarEntryInterval time periods
        private int calendarEntryInterval = 1; // Invest every calendarEntryInterval time periods
        private double calendarEntryQuantity = 68; // Amount of new funds every calendarEntryInterval time periods
        private int mACDFast = 12; // Length of the fast moving average for MACD
        private int mACDSlow = 26; // Length of the slow moving average for MACD
        private int mACDSmooth = 9; // Length of the exponential moving average for MACD
        private double mACDThreshhold = 0; // Entry threshold; i.e., buy signal when EMA(MACD(MACDFast,MACDSlow),MACDSmooth) cross above MACD(MACDFast,MACDSlow)
        private double mACDEntryQuantity = 0; // Amount of new funds for MACD cross-over signals
        // User defined variables (add any user defined variables below)
        private int quantity,nTradesCalendar,nTradesMACD,nSharesCalendar,nSharesMACD;
        private double totalInvestmentCalendar,totalInvestmentMACD;
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            CalculateOnBarClose = true;
            IncludeCommission = false;
            BarsRequired = 0;
            EntriesPerDirection = 1000000;
            ExitOnClose = false;
        }

        /// <summary>
        /// Set any variables or logic you wish to do only once at start of your indicator/strategy
        /// </summary>
        protected override void OnStartUp()
        {
            nTradesCalendar = 0;
            nTradesMACD = 0;
            nSharesCalendar = 0;
            nSharesMACD = 0;
            totalInvestmentCalendar = 0;
            totalInvestmentMACD = 0;
            CalendarEntryQuantity /= (1+InflationRate);
            MACDEntryQuantity /= (1+InflationRate);
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if (CurrentBar%CalendarEntryInterval == 0)
            {
                CalendarEntryQuantity *= (1+InflationRate);
                MACDEntryQuantity *= (1+InflationRate);
                quantity = (int)(CalendarEntryQuantity/Close[0]);
                if (quantity > 0) {
                    EnterLong(quantity, "Calendar Entry");
                }
            }

            if (CrossAbove(MACD(MACDFast, MACDSlow, MACDSmooth).Diff, MACDThreshhold, 1))
            {
                quantity = (int)(MACDEntryQuantity/Close[0]);
                if (quantity > 0) {
                    EnterLong(quantity, "MACD Entry");
                }
            }
        }

        /// <summary>
        /// Generic execution logic not specific to a particular IOrder object
        /// </summary>
        protected override void OnExecution(IExecution execution)
        {
            // Remember to check the underlying IOrder object for null before trying to access its properties
            if (execution.Order != null && execution.Order.OrderState == OrderState.Filled) {
                if (execution.Name == "Calendar Entry") {
                    nTradesCalendar ++;
                    nSharesCalendar += execution.Quantity;
                    totalInvestmentCalendar += execution.Quantity*execution.Price + execution.Commission;
                }
                else if (execution.Name == "MACD Entry") {
                    nTradesMACD ++;
                    nSharesMACD += execution.Quantity;
                    totalInvestmentMACD += execution.Quantity*execution.Price + execution.Commission;
                }
            }
        }

        /// <summary>
        /// Clean up your resources here
        /// </summary>
        protected override void OnTermination()
        {
            Print("\r\n====Summary: CalendarAndMACDCrossOver====\r\nCalendar: \t$" + totalInvestmentCalendar.ToString()+", \t"+nTradesCalendar.ToString()+" trades, \t"+nSharesCalendar.ToString()+" shares;\r\nMACD: \t\t$" + totalInvestmentMACD.ToString()+", \t"+nTradesMACD.ToString()+" trades, \t"+nSharesMACD.ToString()+" shares.\r\n");
        }

        #region Properties
        [Description("")]
        [GridCategory("Parameters")]
        public double InflationRate
        {
            get { return inflationRate; }
            set { inflationRate = value; }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public int CalendarEntryInterval
        {
            get { return calendarEntryInterval; }
            set { calendarEntryInterval = Math.Max(1, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double CalendarEntryQuantity
        {
            get { return calendarEntryQuantity; }
            set { calendarEntryQuantity = Math.Max(0, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public int MACDFast
        {
            get { return mACDFast; }
            set { mACDFast = Math.Max(1, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public int MACDSlow
        {
            get { return mACDSlow; }
            set { mACDSlow = Math.Max(2, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public int MACDSmooth
        {
            get { return mACDSmooth; }
            set { mACDSmooth = Math.Max(1, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double MACDThreshhold
        {
            get { return mACDThreshhold; }
            set { mACDThreshhold = Math.Max(-1000, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double MACDEntryQuantity
        {
            get { return mACDEntryQuantity; }
            set { mACDEntryQuantity = Math.Max(0, value); }
        }
        #endregion
    }
}