(Kaufman adaptive moving average + ROC) Strategy Transcode

Hi everybody !

Firstly, I'd like to give many thanks to everybody working hard to give this community a lot of value. It's very helpful to find almost one post about everything I'm looking to know about trading methodology.

I'm very new to strategy programming but I'd really like to make progress on it. I've only done the BigMike Tutorial. Thank you Big Mike. And, I've understood that I won't be able to progress alone or in a very slow way. So I come here looking to share ideas and help if I can but I don't want to flood the forum. I'm trying to give the most value to my post.

I've found a nice working strategy on TradingView website. It works very well on many securities (see pictures at the bottom of the post) with this platform trading simulator. I give the link to the strategy just to respect sourcing.

https://www.tradingview.com/script/Y49ipujG-Kama-VS-HeikinAshi-Strategy-synapticex/

It's a combination of Kaufman Adaptive Moving Average and ROC.

Source code is here (TradingView Proprietary Language) :

 

Code

//@version=2 //synapticex.com kamaPeriod = input(8, minval=1) ROCLength=input(4, minval=1) kama(length)=> volatility = sum(abs(close-close[1]), length) change = abs(close-close[length-1]) er = iff(volatility != 0, change/volatility, 0) sc = pow((er*(0.666666-0.064516))+0.064516, 2) k = nz(k[1])+(sc*(hl2-nz(k[1]))) kamaEntry = security(tickerid,period,kama(kamaPeriod)) plot(kamaEntry, color=gray, title="Kama",transp=0, trackprice=false, style=line) roc = roc(close, ROCLength) strategy("Kama VS HeikinAshi", overlay=true, pyramiding=0, calc_on_every_tick=true, calc_on_order_fills=true) buyEntry = kamaEntry[0]>kamaEntry[1] and roc[1]<0 and roc >0 sellEntry = kamaEntry[0]<kamaEntry[1] and roc[1]<0 and roc <0 buyExit = kamaEntry<kamaEntry[1] or (roc[1]>0 and roc<0) sellExit = kamaEntry>kamaEntry[1] or (roc[1]<0 and roc>0) if (buyEntry) strategy.entry("KAMAL", strategy.long, comment="KAMAL") else strategy.close("KAMAL", when=buyExit) if (sellEntry) strategy.entry("KAMAS", strategy.short, comment="KAMAS") else strategy.close("KAMAS", when=sellExit)

I'm trying to transcode it to NinjaTrader to be able to share it to do a small real backtest. But I'm confronted with some issues on coding it. I'm stuck ! I don't how to transcode two of these function :

- nz : Not a Number function (NaN)
- security : which returns another series of the input data given.

I've already started to code it. I hope it will help :

 

Code

#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> /// 20160428 My first money maker strategy based with SMA, EMA, HMA /// </summary> [Description("20160428 My first money maker strategy based with SMA, EMA, HMA")] public class MyMoneyMaker : Strategy { #region Variables // Wizard generated variables private int myInput0 = 1; // Default setting for MyInput0 // User defined variables (add any user defined variables below) #endregion private int kamaPeriod = 8; //variables en minuscules private int rocLength = 4; /// <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; EntryHandling = EntryHandling.UniqueEntries; //Unique entry if you have multiple longs signal at same time } /// <summary> /// Called on each bar update event (incoming tick) /// </summary> protected override void OnBarUpdate() { EntryHandling = EntryHandling.UniqueEntries; if (Position.MarketPosition != MarketPosition.Flat) return; if (CurrentBar < kamaPeriod) return; //length = kamaPeriod double volatility = 0; double change = 0; double er = 0; double sc = 0; double k = 0; double roc = 0; for (int barsAgo = 0; barsAgo < kamaPeriod; barsAgo++) { volatility = volatility + Math.Abs(Close[barsAgo] - Close[barsAgo+1]); } change = Math.Abs(Close[0] - Close[kamaPeriod - 1]); if (volatility != 0) er = change/volatility; else er = 0; sc = Math.Pow((er*(0.666666-0.064516))+0.064516, 2); // left: // security ? // k : NaN function ? // Plot ? //ROC roc = ROC(Close[0],rocLength); // Long/Sell entry orders // exit orders } #region Properties [Description("")] [GridCategory("Parameters")] public int KamaPeriod //Fonction 1ere lettre en Majuscule ? { get { return kamaPeriod; } set { kamaPeriod = Math.Max(1, value); } } [Description("")] [GridCategory("Parameters")] public int RocLength { get { return rocLength; } set { rocLength = Math.Max(1, value); } } #endregion } }

 

Code

Regards,
M.