64 lines
1.8 KiB
C#
64 lines
1.8 KiB
C#
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#region Using declarations
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using NinjaTrader.Cbi;
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using NinjaTrader.NinjaScript.Indicators;
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using System.ComponentModel.DataAnnotations;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class IBSRSI : Strategy
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{
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private InternalBarStrength ibs;
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private RSI rsi;
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Name = "IBS + RSI";
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Description = @"Mean reversion strategy based on the IBS and RSI indicators";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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RSIPeriod = 21;
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IBSThreshold = 0.25;
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RSIThreshold = 45.0;
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}
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else if (State == State.DataLoaded)
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{
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ibs = InternalBarStrength();
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rsi = RSI(RSIPeriod, 1);
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}
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}
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protected override void OnBarUpdate()
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{
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if (CurrentBar < 21)
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return;
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if (ibs[0] < IBSThreshold && rsi[0] < RSIThreshold)
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EnterLong();
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if (Position.MarketPosition == MarketPosition.Long && Close[0] > Close[1])
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ExitLong();
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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[NinjaScriptProperty]
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[Display(Name = "RSI Period", GroupName = "IBS + RSI", Order = 1)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "IBS Threshold", GroupName = "IBS + RSI", Order = 2)]
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public double IBSThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Threshold", GroupName = "IBS + RSI", Order = 3)]
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public double RSIThreshold { get; set; }
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}
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}
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