73 lines
2.2 KiB
C#
73 lines
2.2 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 TwoPeriodRSIHighs : Strategy
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{
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private RSI rsi;
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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 = "2-Period RSI Highs";
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Description = @"Based on chatper 11 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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RSIPeriod = 2;
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RSISmoothing = 1;
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RSIEntry = 85;
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LongTermTrendPeriod = 200;
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DaysToExit = 5;
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}
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else if (State == State.DataLoaded)
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{
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rsi = RSI(RSIPeriod, RSISmoothing);
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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 (CurrentBar < RSIPeriod)
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return;
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if (rsi[0] > RSIEntry && Close[0] > longTermTrend[0])
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EnterLong();
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if (BarsSinceEntryExecution(0, "", 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 = "RSI Period", GroupName = "2-Period RSI Highs", Order = 1)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Smoothing", GroupName = "2-Period RSI Highs", Order = 2)]
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public int RSISmoothing { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Entry", GroupName = "2-Period RSI Highs", Order = 3)]
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public int RSIEntry { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long-Term Trend Period", GroupName = "2-Period RSI Highs", Order = 4)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Days to Exit", GroupName = "2-Period RSI Highs", Order = 5)]
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public int DaysToExit { get; set; }
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}
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}
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