NSQ Overnight Breakout

// ============================================================
//  NSQ_OvernightBreakout.cs  ·  nightshiftquant.com  ·  Issue 03
//  Trades the 02:30–04:00 ET window on NQ Futures
//  4 parameters only — walk-forward compliant
// ============================================================

namespace NinjaTrader.NinjaScript.Strategies
{
    public class NSQ_OvernightBreakout : Strategy
    {
        // ── Session State ──────────────────────────────────────────
        private double   rangeHigh;      // Overnight range ceiling
        private double   rangeLow;       // Overnight range floor
        private bool     rangeBuilt;     // True once 02:30 passes
        private bool     tradeFired;     // One trade per session
        private DateTime sessionDate;    // Tracks current day
        private ATR      atr;

        // ── Time Gates (HHMMSS format) ─────────────────────────────
        private const int T_RANGE_START = 0;      // 00:00 ET
        private const int T_RANGE_END   = 23000;  // 02:30 ET
        private const int T_SESSION_END = 40000;  // 04:00 ET

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

                // ── 4 Parameters Only ──────────────────────────────
                BreakoutBufferTicks = 4;
                StopATRMultiple     = 1.5;
                RiskRewardRatio     = 2.0;
                ATRPeriod           = 14;
            }
            else if (State == State.Configure)
            {
                atr = ATR(ATRPeriod);
            }
        }

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

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

            // STEP 1: Detect new session → reset state
            if (barDate != sessionDate && barTime <= T_RANGE_END)
            {
                ResetSession();
                sessionDate = barDate;
            }

            // STEP 2: Build range 00:00 → 02:30
            if (!rangeBuilt && barTime < T_RANGE_END)
            {
                if (High[0] > rangeHigh) rangeHigh = High[0];
                if (Low[0]  < rangeLow)  rangeLow  = Low[0];
            }

            // STEP 3: Lock range at 02:30
            if (!rangeBuilt && barTime >= T_RANGE_END)
                rangeBuilt = true;

            // STEP 4: Breakout entry 02:30 → 04:00
            if (rangeBuilt && !tradeFired
                && barTime >= T_RANGE_END && barTime < T_SESSION_END
                && Position.MarketPosition == MarketPosition.Flat)
            {
                double buffer    = BreakoutBufferTicks * TickSize;
                int    stopTicks = (int)Math.Round(atr[0] * StopATRMultiple / TickSize);
                int    tgtTicks  = (int)Math.Round(stopTicks * RiskRewardRatio);

                if (Close[0] > rangeHigh + buffer)           // LONG
                {
                    SetStopLoss(CalculationMode.Ticks, stopTicks);
                    SetProfitTarget(CalculationMode.Ticks, tgtTicks);
                    EnterLong("NSQ_Long");
                    tradeFired = true;
                }
                else if (Close[0] < rangeLow - buffer)        // SHORT
                {
                    SetStopLoss(CalculationMode.Ticks, stopTicks);
                    SetProfitTarget(CalculationMode.Ticks, tgtTicks);
                    EnterShort("NSQ_Short");
                    tradeFired = true;
                }
            }

            // STEP 5: Hard time exit at 04:00 — no override
            if (barTime >= T_SESSION_END)
            {
                if (Position.MarketPosition == MarketPosition.Long)
                    ExitLong("TimeExit", "NSQ_Long");
                else if (Position.MarketPosition == MarketPosition.Short)
                    ExitShort("TimeExit", "NSQ_Short");
                tradeFired = true;
            }
        }

        private void ResetSession()
        {
            rangeHigh   = double.MinValue;
            rangeLow    = double.MaxValue;
            rangeBuilt  = false;
            tradeFired  = false;
            sessionDate = DateTime.MinValue;
        }
    }
}