ninjatrader/strategies/CumulativeRSIBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class CumulativeRSIBot : Strategy
    {
        private CumulativeRSI cumulativeRSI;
        private RSI rsi;
        private SMA sma;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Credit to Larry Connors and his book Short Term Trading Strategies That Work";
                Name = "Cumulative 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;

                CumulativeRSIPeriod = 2;
                CumulativePeriod = 2;
                RSIPeriod = 2;
                RSISmoothing = 1;
                SMAPeriod = 200;
                EntryThreshold = 35;
                ExitThreshold = 65;
            }
            else if (State == State.DataLoaded)
            {
                cumulativeRSI = CumulativeRSI(CumulativeRSIPeriod, CumulativePeriod);
                rsi = RSI(RSIPeriod, RSISmoothing);
                sma = SMA(SMAPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Math.Max(SMAPeriod, Math.Max(RSIPeriod, CumulativePeriod)))
                return;

            if (Close[0] > sma[0] && cumulativeRSI[0] < EntryThreshold)
                EnterLong();

            if (rsi[0] > ExitThreshold && Position.MarketPosition == MarketPosition.Long)
                ExitLong();
        }

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

        #region Properties
        [Range(1, int.MaxValue)]
        [Display(Name = "Cumulative RSI Period", Description = "The period for the cumulative RSI calculation", GroupName = "Cumulative RSI Bot", Order = 1)]
        public int CumulativeRSIPeriod { get; set; }

        [Range(1, int.MaxValue)]
        [Display(Name = "Cumulative Period", Description = "The number of RSI values to add together", GroupName = "Cumulative RSI Bot", Order = 2)]
        public int CumulativePeriod { get; set; }

        [Range(1, int.MaxValue)]
        [Display(Name = "RSI Period", Description = "The period for the RSI calculation", GroupName = "Cumulative RSI Bot", Order = 3)]
        public int RSIPeriod { get; set; }

        [Range(1, int.MaxValue)]
        [Display(Name = "RSI Smoothing", Description = "The smoothing period for the RSI calculation", GroupName = "Cumulative RSI Bot", Order = 4)]
        public int RSISmoothing { get; set; }

        [Range(1, int.MaxValue)]
        [Display(Name = "SMA Period", Description = "The period for the moving average", GroupName = "Cumulative RSI Bot", Order = 5)]
        public int SMAPeriod { get; set; }

        [Range(1, 100)]
        [Display(Name = "Entry Threshold", Description = "The cumulative RSI threshold for entering a long position", GroupName = "Cumulative RSI Bot", Order = 6)]
        public int EntryThreshold { get; set; }

        [Range(1, 100)]
        [Display(Name = "Exit Threshold", Description = "The RSI threshold for exiting a long position", GroupName = "Cumulative RSI Bot", Order = 7)]
        public int ExitThreshold { get; set; }
        #endregion
    }
}