ninjatrader/strategies/vxx-trend/VXXTrendBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class VXXTrendBot : Strategy
    {
        private SMA shortTermTrend;
        private SMA longTermTrend;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "VXX Trend Bot";
                Description = @"Taken from chapter 6 of Buy the Fear, Sell the Greed (2018) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;

                ShortTermTrendPeriod = 10;
                LongTermTrendPeriod = 30;
            }
            else if (State == State.DataLoaded)
            {
                shortTermTrend = SMA(ShortTermTrendPeriod);
                longTermTrend = SMA(LongTermTrendPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Math.Max(ShortTermTrendPeriod, LongTermTrendPeriod))
                return;

            if (CrossBelow(shortTermTrend, longTermTrend, 1))
                EnterShort();

            if (CrossAbove(shortTermTrend, longTermTrend, 1))
                ExitShort();
        }

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

        #region Properties

        [NinjaScriptProperty]
        [Display(Name = "Short-Term Trend Period", GroupName = "VXX Trend Bot", Order = 1)]
        public int ShortTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Long-Term Trend Period", GroupName = "VXX Trend Bot", Order = 2)]
        public int LongTermTrendPeriod { get; set; }

        #endregion
    }
}