75 lines
2.4 KiB
C#
75 lines
2.4 KiB
C#
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#region Using declarations
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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 VIXAboveMovingAverage : Strategy
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{
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private const int PrimaryBars = 0;
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private const int VIXBars = 1;
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private SMA ShortTermTrend;
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private SMA LongTermTrend;
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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 = "VIX Above Moving Average";
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Description = @"Based on chatper 10 of How Markets Really Work (2012) by Larry Connors";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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MovingAveragePeriod = 10;
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LongTermTrendPeriod = 200;
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PercentAbove = 10;
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DaysToExit = 5;
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}
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else if (State == State.Configure)
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{
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AddDataSeries("^VIX");
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}
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else if (State == State.DataLoaded)
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{
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ShortTermTrend = SMA(Closes[VIXBars], MovingAveragePeriod);
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LongTermTrend = SMA(LongTermTrendPeriod);
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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 (PrimaryBars != BarsInProgress || CurrentBar < MovingAveragePeriod)
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return;
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if (Close[0] > LongTermTrend[0] && Closes[VIXBars][0] >= ShortTermTrend[0] * (1 + PercentAbove / 100))
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EnterLong();
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if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
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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 = "Moving Average Period", GroupName = "VIX Above Moving Average", Order = 1)]
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public int MovingAveragePeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long-Term Trend Period", GroupName = "VIX Above Moving Average", Order = 2)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Percent Above", GroupName = "VIX Above Moving Average", Order = 3)]
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public double PercentAbove { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Days to Exit", GroupName = "VIX Above Moving Average", Order = 4)]
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public int DaysToExit { get; set; }
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}
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}
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