ScaleTrading

#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>
    /// Robert Lichello's Automated Investment Management and Braden Glett's Reverse Scale strategies
    /// </summary>
    [Description("Robert Lichello's Automated Investment Management and Braden Glett's Reverse Scale strategies")]
    public class ScaleTrading : Strategy
    {
        #region Variables
        // Wizard generated variables
        //private bool reversed = false; // Set to true to use Reverse Scale, otherwise use AIM
        private double inflationRate = 0.03; // Inflation rate for calendarEntryInterval time periods
        private double interestRate = Math.Exp(Math.Log(1.01)/12)-1; // Interest rate for one time period
        private int calendarEntryInterval = 12; // Invest every calendarEntryInterval time periods
        private double calendarEntryQuantity = 3000; // Amount of new funds every calendarEntryInterval time periods
        private double stockRatio = 0.5; // Ratio: stock / (stock + cash)
        private double buySAFE = 0.1; // Stock Adjustment Factor Equalizer for entry
        private double sellSAFE = 0.1; // Stock Adjustment Factor Equalizer for exit
        private double buyMinQuantity = 10; // Minimum quantity for entry
        private double sellMinQuantity = 10; // Minimum quantity for exit
        // User defined variables (add any user defined variables below)
        private int quantity,nTradesBuy,nTradesSell,nShares;
        private double portfolioControl,totalCash,portfolioValue,cost,totalInvestment;
        #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()
        {
            nTradesBuy = 0;
            nTradesSell = 0;
            nShares = 0;
            portfolioControl = 0;
            totalCash = 0;
            totalInvestment = 0;
            CalendarEntryQuantity /= (1+InflationRate);
        }

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

            totalCash *= (1+InterestRate);
            portfolioValue = Position.Quantity * Close[0];
            if (CurrentBar > 0) {
                Print(ToDay(Time[1]).ToString()+"::  $"+Close[0].ToString()+",    Fund value: $"+portfolioValue.ToString()+", \tCash: $" + totalCash.ToString()+",    Control: $" + portfolioControl.ToString()+";    "+nTradesBuy.ToString()+" buys,    "+nTradesSell.ToString()+" sells,    "+nShares.ToString()+" shares.");
            }

            if (portfolioValue < portfolioControl)
            {
                quantity = (int) ((portfolioControl - portfolioValue*(1+BuySAFE))/Close[0]);
                if (quantity > BuyMinQuantity) {
                    EnterLong(quantity, "AIM Entry");
                }
            }
            else if (portfolioValue > portfolioControl)
            {
                quantity = (int) ((portfolioValue*(1-SellSAFE) - portfolioControl)/Close[0]);
                if (quantity > SellMinQuantity) {
                    ExitLong(quantity);
                }
            }
        }

        /// <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 == "AIM Entry") {
                    nTradesBuy ++;
                    nShares += execution.Quantity;
                    cost = execution.Quantity*execution.Price + execution.Commission;
                    portfolioControl += cost/2;
                    totalCash -= cost;
                    if (totalCash < 0) {
                        Print("\r\nRun out of cash!");
                        OnTermination();
                    }
                }
                else if (execution.Name == "Calendar Entry") {
                    nTradesBuy ++;
                    nShares += execution.Quantity;
                    cost = execution.Quantity*execution.Price + execution.Commission;
                    portfolioControl += cost;
                    totalCash += CalendarEntryQuantity - cost;
                }
                else {
                    nTradesSell ++;
                    nShares -= execution.Quantity;
                    totalCash += execution.Quantity*execution.Price - execution.Commission;
                }
            }
        }

        /// <summary>
        /// Clean up your resources here
        /// </summary>
        protected override void OnTermination()
        {
            portfolioValue = nShares * Close[0];
            Print("\r\n====Summary: Automated Investment Management====\r\nTotal Investment: \t$"+totalInvestment.ToString()+", \t"+nTradesBuy.ToString()+" buys, \t"+nTradesSell.ToString()+" sells.\r\nPortfolio Value: \t$"+portfolioValue.ToString()+", \t"+nShares.ToString()+" shares;\r\nCash: \t\t$" + totalCash.ToString()+"\r\n");
        }

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

        [Description("")]
        [GridCategory("Parameters")]
        public double InterestRate
        {
            get { return interestRate; }
            set { interestRate = Math.Max(0, 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 double StockRatio
        {
            get { return stockRatio; }
            set { stockRatio = Math.Min(1,Math.Max(0, value)); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double BuySAFE
        {
            get { return buySAFE; }
            set { buySAFE = Math.Max(0.000, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double SellSAFE
        {
            get { return sellSAFE; }
            set { sellSAFE = Math.Max(0.000, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double BuyMinQuantity
        {
            get { return buyMinQuantity; }
            set { buyMinQuantity = Math.Max(0.000, value); }
        }

        [Description("")]
        [GridCategory("Parameters")]
        public double SellMinQuantity
        {
            get { return sellMinQuantity; }
            set { sellMinQuantity = Math.Max(0.000, value); }
        }
        #endregion
    }
}