Merge pull request #12 from GeorgeFreelanceDeveloper/feature/turtle_c…

…trader

Feature/turtle ctrader

strategies/trend-follow/TurtleTrendFollow/scripts/TurtleTrendFollowStrategy.cs

@@ -0,0 +1,91 @@
+using System;
+
+using cAlgo.API;
+using cAlgo.API.Indicators;
+
+
+namespace cAlgo.Robots
+{
+    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
+    public class TurtleTrendFollow_cBot : Robot
+    {
+
+        // ********************************
+        // User defined inputs
+        // ********************************
+
+        // Basic settings
+        [Parameter("Entry Length", Group ="Basic settings", DefaultValue =20)]
+        public int EntryLength {get; set;}
+
+        [Parameter("Exit Length", Group ="Basic settings", DefaultValue =10)]
+        public int ExitLength {get; set;}
+
+        [Parameter("Risk Percentage", Group ="Basic settings", DefaultValue =1)]
+        public double RiskPercentage {get; set;}
+
+        [Parameter("Atr Multiplier", Group ="Basic settings", DefaultValue =2)]
+        public int AtrMultiplier {get; set;}
+
+        [Parameter("Atr Length", Group ="Basic settings", DefaultValue =20)]
+        public int AtrLength {get;set;}
+
+
+        // Filter settings
+        [Parameter("Enable Filter", Group ="Filter settings", DefaultValue =false)]
+        public bool EnableFilter {get; set;} 
+
+        [Parameter("Benchmark Symbol", Group ="Filter settings", DefaultValue ="US500")]
+        public string BenchmarkSymbol {get;set;}
+
+
+
+        protected override void OnStart()
+        {
+
+        }
+
+        protected override void OnBarClosed()
+        {
+            // **********************************
+            // Perform calculations and analysis
+            // **********************************
+
+            // Basic
+            double upperChannel = Indicators.DonchianChannel(EntryLength).Top.LastValue;
+            double lowerChannel = Indicators.DonchianChannel(ExitLength).Bottom.LastValue;
+            double closePrice = Bars.ClosePrices.LastValue;
+            string label = $"TurtleTrendFollow_cBot-{Symbol.Name}";
+
+            // Trade amount
+            double qty = ((RiskPercentage/100) * Account.Balance) / (AtrMultiplier * Indicators.AverageTrueRange(20,MovingAverageType.Simple).Result.LastValue);
+            double qtyInLots = ((int)(qty /Symbol.VolumeInUnitsStep)) * Symbol.VolumeInUnitsStep;
+
+            // Filter
+            DataSeries benchmarkSymbolClosePrices = MarketData.GetBars(TimeFrame.Daily, BenchmarkSymbol).ClosePrices;
+            double benchmarkSymbolClose = MarketData.GetBars(TimeFrame.Daily, BenchmarkSymbol).ClosePrices.LastValue;
+            bool filter = EnableFilter ? benchmarkSymbolClose >= Indicators.SimpleMovingAverage(benchmarkSymbolClosePrices, 200).Result.LastValue: true;
+            Position position = Positions.Find(label);
+            bool isOpenPosition = position != null;
+
+            bool buyCondition = closePrice > upperChannel && !isOpenPosition && filter;
+            bool sellCondition = closePrice < lowerChannel && isOpenPosition;
+
+            // ********************************
+            // Manage trade
+            // ********************************
+
+            // Entry
+            if(buyCondition)
+            {
+                ExecuteMarketOrder(TradeType.Buy, SymbolName, qtyInLots, label);
+            }
+
+            // Exit
+            if(sellCondition)
+            {
+                position.Close();
+            }
+         }
+    }
+}