100 lines
3.3 KiB
C#
100 lines
3.3 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;
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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 VolPanicsBot235 : Strategy
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{
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private SMA movingAverage;
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private RSI rsi;
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private int entryCount;
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private double latestEntryPrice;
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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 = "Vol Panics Bot (2-3-5 Scale-In)";
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Description = @"Taken from chapter 5 of Buy the Fear, Sell the Greed (2018) by Larry Connors";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 3;
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MovingAveragePeriod = 5;
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RSIPeriod = 4;
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RSISmoothing = 1;
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EntryThreshold = 70;
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TotalPositionSize = 1000;
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}
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else if (State == State.DataLoaded)
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{
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movingAverage = SMA(MovingAveragePeriod);
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rsi = RSI(RSIPeriod, RSISmoothing);
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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 < Math.Max(MovingAveragePeriod, RSIPeriod))
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return;
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if (Position.MarketPosition == MarketPosition.Flat && Close[0] > movingAverage[0] && rsi[0] > EntryThreshold)
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{
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entryCount = 1;
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latestEntryPrice = Close[0];
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EnterShort(CalculateQuantity(20));
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}
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if (Position.MarketPosition == MarketPosition.Short && Close[0] > latestEntryPrice)
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{
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entryCount += 1;
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latestEntryPrice = Close[0];
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if (entryCount == 2)
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EnterShort(CalculateQuantity(30));
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else if (entryCount == 3)
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EnterShort(CalculateQuantity(50));
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}
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if (Position.MarketPosition == MarketPosition.Short && Close[0] < movingAverage[0])
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ExitShort();
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}
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private int CalculateQuantity(double percent)
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{
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double dollarAmount = TotalPositionSize * (percent / 100.0);
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int quantity = Convert.ToInt32(Math.Floor(dollarAmount / Close[0]));
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return quantity > 0 ? quantity : 1;
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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 = "Vol Panics Bot (2-3-5 Scale-In)", Order = 1)]
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public int MovingAveragePeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Period", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 2)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Smoothing", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 3)]
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public int RSISmoothing { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Entry Threshold", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 4)]
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public int EntryThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Total Position Size", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 5)]
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public int TotalPositionSize { get; set; }
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}
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}
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