ninjatrader/strategies/vix-rsi/VIXRSIBot.cs

#region Using declarations
using NinjaTrader.Cbi;
using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    public class VIXRSIBot : Strategy
    {
        private const int VIXBars = 1;

        private RSI rsi;
        private RSI vixRsi;
        private SMA longTermTrend;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Taken from chapter 12 of Short Term Trading Strategies That Work";
                Name = "VIX RSI Bot";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;
                EntryHandling = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy = true;
                ExitOnSessionCloseSeconds = 30;
                IsFillLimitOnTouch = false;
                MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
                OrderFillResolution = OrderFillResolution.Standard;
                Slippage = 0;
                StartBehavior = StartBehavior.WaitUntilFlat;
                TimeInForce = TimeInForce.Gtc;
                TraceOrders = false;
                RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade = 20;
                IsInstantiatedOnEachOptimizationIteration = true;

                LongTermTrendPeriod = 200;
                RSIPeriod = 2;
                RSISmoothing = 1;
                RSIEntryThreshold = 30;
                RSIExitThreshold = 65;
                VIXRSIEntryThreshold = 90;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("^VIX");
            }
            else if (State == State.DataLoaded)
            {
                rsi = RSI(RSIPeriod, RSISmoothing);
                vixRsi = RSI(BarsArray[VIXBars], RSIPeriod, RSISmoothing);
                
                longTermTrend = SMA(LongTermTrendPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0)
                return;

            if (CurrentBars[VIXBars] < 0)
                return;

            if (CurrentBar < BarsRequiredToTrade)
                return;

            if (Close[0] > longTermTrend[0] && 
                vixRsi[0] > VIXRSIEntryThreshold && 
                Opens[VIXBars][0] > Closes[VIXBars][1] && 
                rsi[0] < RSIEntryThreshold)
                EnterLong();
            else if (rsi[0] > RSIExitThreshold)
                ExitLong();
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        [NinjaScriptProperty]
        [Display(Name = "Long-Term Trend Period", GroupName = "VIX RSI Bot", Order = 1)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Period", GroupName = "VIX RSI Bot", Order = 2)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Smoothing", GroupName = "VIX RSI Bot", Order = 3)]
        public int RSISmoothing { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Entry Threshold", GroupName = "VIX RSI Bot", Order = 4)]
        public int RSIEntryThreshold { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Exit Threshold", GroupName = "VIX RSI Bot", Order = 5)]
        public int RSIExitThreshold { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "VIX RSI Entry Threshold", GroupName = "VIX RSI Bot", Order = 6)]
        public int VIXRSIEntryThreshold { get; set; }
    }
}