Фьючерс РТС. Стратегия N3

RTS Фьючерс. Timeframe 10 min. 2016-2021.

Дополнительный фильтр(условие) к Стратегии Фьючерс РТС. Стратегия N1

only long / without commission

Код

using System;
using System.Drawing;

using OpenQuant.API;
using OpenQuant.API.Indicators;

public class MyStrategy : Strategy
{
    [Parameter("Order quantity (number of contracts to trade)")]
    double Qty = 1;
    double A =0;

    BarSeries series;

    
    public override void OnStrategyStart()
    {
        
    
        BarSeries series = GetBars(BarType.Time,86400) ;
    
        }
    
    
    
    
    public override void OnBarSlice(long size)
    {

        
        if (Bars.Count > 1)
        
     A= ((Bar.Close-Bars.Last.Open)/Bars.Last.Open)*100;
        
        
    {
            
         
        if (!HasPosition)
        {
            //Rules
                
            if ( A<=3 & Clock.Now.Hour == 17
                
            
                & Bar.DateTime.DayOfWeek!=DayOfWeek.Thursday 
                & Bar.DateTime.DayOfWeek!=DayOfWeek.Tuesday
                & Bar.DateTime.Year>=2016)
                    
                    
                    
                
            {
                Buy(Qty);
            
                        
            }
            
            

        }
            
        else
            
            
        {
            if          
                (
                Clock.Now.Hour==23 & Clock.Now.Minute==30 )
            {
                Sell(Qty);
                    
            }
                
            
            
        }
    }
        }

    

}