ninjatrader/strategies/2-period-rsi-highs-and-lows/TwoPeriodRSILows.cs

73 lines
2.2 KiB
C#
Raw Permalink Normal View History

#region Using declarations
using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations;
#endregion
namespace NinjaTrader.NinjaScript.Strategies
{
public class TwoPeriodRSILows : Strategy
{
private RSI rsi;
private SMA longTermTrend;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "2-Period RSI Lows";
Description = @"Based on chatper 11 of How Markets Really Work (2012) by Larry Connors";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
RSIPeriod = 2;
RSISmoothing = 1;
RSIEntry = 15;
LongTermTrendPeriod = 200;
DaysToExit = 5;
}
else if (State == State.DataLoaded)
{
rsi = RSI(RSIPeriod, RSISmoothing);
longTermTrend = SMA(LongTermTrendPeriod);
}
}
protected override void OnBarUpdate()
{
if (CurrentBar < RSIPeriod)
return;
if (rsi[0] < RSIEntry && Close[0] > longTermTrend[0])
EnterLong();
if (BarsSinceEntryExecution(0, "", 0) >= DaysToExit)
ExitLong();
}
public override string DisplayName
{
get { return Name; }
}
[NinjaScriptProperty]
[Display(Name = "RSI Period", GroupName = "2-Period RSI Lows", Order = 1)]
public int RSIPeriod { get; set; }
[NinjaScriptProperty]
[Display(Name = "RSI Smoothing", GroupName = "2-Period RSI Lows", Order = 2)]
public int RSISmoothing { get; set; }
[NinjaScriptProperty]
[Display(Name = "RSI Entry", GroupName = "2-Period RSI Lows", Order = 3)]
public int RSIEntry { get; set; }
[NinjaScriptProperty]
[Display(Name = "Long-Term Trend Period", GroupName = "2-Period RSI Lows", Order = 4)]
public int LongTermTrendPeriod { get; set; }
[NinjaScriptProperty]
[Display(Name = "Days to Exit", GroupName = "2-Period RSI Lows", Order = 5)]
public int DaysToExit { get; set; }
}
}