90 lines
3.0 KiB
C#
90 lines
3.0 KiB
C#
|
#region Using declarations
|
||
|
|
using NinjaTrader.Cbi;
|
||
|
|
using NinjaTrader.NinjaScript.Indicators;
|
||
|
|
using System.ComponentModel.DataAnnotations;
|
||
|
|
#endregion
|
||
|
|
|
||
|
|
//This namespace holds Strategies in this folder and is required. Do not change it.
|
||
|
|
namespace NinjaTrader.NinjaScript.Strategies
|
||
|
|
{
|
||
|
|
public class MeanReversionBot : Strategy
|
||
|
|
{
|
||
|
|
private SMA fastMA;
|
||
|
|
private SMA slowMA;
|
||
|
|
private StdDev stdDev;
|
||
|
|
|
||
|
|
protected override void OnStateChange()
|
||
|
|
{
|
||
|
|
if (State == State.SetDefaults)
|
||
|
|
{
|
||
|
|
Description = @"Mean reversion strategy based on standard deviations from a moving average";
|
||
|
|
Name = "Mean Reversion 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;
|
||
|
|
|
||
|
|
FastPeriod = 10;
|
||
|
|
SlowPeriod = 100;
|
||
|
|
}
|
||
|
|
else if (State == State.DataLoaded)
|
||
|
|
{
|
||
|
|
fastMA = SMA(FastPeriod);
|
||
|
|
slowMA = SMA(SlowPeriod);
|
||
|
|
stdDev = StdDev(FastPeriod);
|
||
|
|
}
|
||
|
|
}
|
||
|
|
|
||
|
|
protected override void OnBarUpdate()
|
||
|
|
{
|
||
|
|
if (CurrentBar < SlowPeriod)
|
||
|
|
return;
|
||
|
|
|
||
|
|
double zScore = (Close[0] - fastMA[0]) / stdDev[0];
|
||
|
|
|
||
|
|
// Exits
|
||
|
|
if (zScore > -0.5 && zScore < 0.5)
|
||
|
|
{
|
||
|
|
if (Position.MarketPosition == MarketPosition.Long)
|
||
|
|
ExitLong();
|
||
|
|
else if (Position.MarketPosition == MarketPosition.Short)
|
||
|
|
ExitShort();
|
||
|
|
}
|
||
|
|
|
||
|
|
if (Position.MarketPosition != MarketPosition.Flat)
|
||
|
|
return;
|
||
|
|
|
||
|
|
// Entries
|
||
|
|
if (zScore < -1 && fastMA[0] > slowMA[0])
|
||
|
|
EnterLong();
|
||
|
|
else if (zScore > 1 && fastMA[0] < slowMA[0])
|
||
|
|
EnterShort();
|
||
|
|
}
|
||
|
|
|
||
|
|
public override string DisplayName
|
||
|
|
{
|
||
|
|
get { return Name; }
|
||
|
|
}
|
||
|
|
|
||
|
|
[Range(1, int.MaxValue), NinjaScriptProperty]
|
||
|
|
[Display(Name = "Fast Period", Order = 1, GroupName = "Mean Reversion Bot")]
|
||
|
|
public int FastPeriod { get; set; }
|
||
|
|
|
||
|
|
[Range(1, int.MaxValue), NinjaScriptProperty]
|
||
|
|
[Display(Name = "Slow Period", Order = 2, GroupName = "Mean Reversion Bot")]
|
||
|
|
public int SlowPeriod { get; set; }
|
||
|
|
}
|
||
|
|
}
|