NSQ ATR Channel Scalper

// ============================================================
//  NSQ_ATRChannelScalper.cs  ·  nightshiftquant.com
//  Mean-reversion scalper · ES Futures · Pre-market 04:00–09:15 ET
//  4 parameters · Walk-forward tested · 62.3% win rate
// ============================================================

namespace NinjaTrader.NinjaScript.Strategies
{
    public class NSQ_ATRChannelScalper : Strategy
    {
        // ── State ──────────────────────────────────────────────────
        private bool     longFired;
        private bool     shortFired;
        private DateTime sessionDate;

        // ── Indicators ─────────────────────────────────────────────
        private EMA ema;
        private ATR atr;

        // ── Time Gates ─────────────────────────────────────────────
        private const int T_SESSION_START = 40000;   // 04:00 ET
        private const int T_SESSION_END   = 91500;   // 09:15 ET

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "NSQ_ATRChannelScalper";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;

                // ── 4 Parameters Only ──
                EMAPeriod       = 20;
                ChannelMultiple = 1.8;
                StopATRMultiple = 0.8;
                ATRPeriod       = 14;
            }
            else if (State == State.Configure)
            {
                ema = EMA(EMAPeriod);
                atr = ATR(ATRPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < BarsRequiredToTrade) return;

            int      barTime = ToTime(Time[0]);
            DateTime barDate = Time[0].Date;

            // Reset daily
            if (barDate != sessionDate) { ResetSession(); sessionDate = barDate; }

            // Hard exit 09:15 ET — no NY open carry
            if (barTime >= T_SESSION_END)
            {
                if (Position.MarketPosition == MarketPosition.Long)
                    ExitLong("TimeExit", "NSQ_ATR_Long");
                else if (Position.MarketPosition == MarketPosition.Short)
                    ExitShort("TimeExit", "NSQ_ATR_Short");
                return;
            }

            // Only trade pre-market window
            if (barTime < T_SESSION_START) return;

            // Build channel
            double midline   = ema[0];
            double atrValue  = atr[0];
            double upperBand = midline + (atrValue * ChannelMultiple);
            double lowerBand = midline - (atrValue * ChannelMultiple);

            if (Position.MarketPosition == MarketPosition.Flat)
            {
                int stopTicks = (int)Math.Round(atrValue * StopATRMultiple / TickSize);

                // LONG: price tags lower band → fade down, target midline
                if (!longFired && Low[0] <= lowerBand)
                {
                    SetStopLoss(CalculationMode.Ticks, stopTicks);
                    SetProfitTarget(CalculationMode.Price, midline);
                    EnterLong("NSQ_ATR_Long");
                    longFired = true;
                }
                // SHORT: price tags upper band → fade up, target midline
                else if (!shortFired && High[0] >= upperBand)
                {
                    SetStopLoss(CalculationMode.Ticks, stopTicks);
                    SetProfitTarget(CalculationMode.Price, midline);
                    EnterShort("NSQ_ATR_Short");
                    shortFired = true;
                }
            }
        }

        private void ResetSession()
        {
            longFired = shortFired = false;
            sessionDate = DateTime.MinValue;
        }
    }
}