116 lines
4.0 KiB
C#
116 lines
4.0 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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//This namespace holds Strategies in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class PairsTradingBot : Strategy
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{
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private const int FirstSymbolBars = 0;
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private const int SecondSymbolBars = 1;
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private const double EntryZScore = 2.0;
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private const double ExitZScore = 0.5;
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private double spread;
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private double meanSpread;
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private double stdDevSpread;
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private Series<double> spreadSeries;
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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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Description = @"Simple pairs trading strategy";
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Name = "Pairs Trading Bot";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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EntryHandling = EntryHandling.AllEntries;
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IsExitOnSessionCloseStrategy = true;
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ExitOnSessionCloseSeconds = 30;
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IsFillLimitOnTouch = false;
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MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
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OrderFillResolution = OrderFillResolution.Standard;
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Slippage = 0;
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StartBehavior = StartBehavior.WaitUntilFlat;
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TimeInForce = TimeInForce.Gtc;
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TraceOrders = false;
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RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
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StopTargetHandling = StopTargetHandling.PerEntryExecution;
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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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SecondSymbol = "AAPL";
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LookbackPeriod = 20;
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}
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else if (State == State.Configure)
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{
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// First symbol in the pair is the primary data series.
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AddDataSeries(SecondSymbol, BarsPeriod);
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}
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else if (State == State.DataLoaded)
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{
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spreadSeries = new Series<double>(this);
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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 (BarsInProgress != 0)
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return;
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double instrument1Price = Closes[FirstSymbolBars][0];
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double instrument2Price = Closes[SecondSymbolBars][0];
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spread = instrument1Price - instrument2Price;
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spreadSeries[0] = spread;
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if (CurrentBar < LookbackPeriod)
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return;
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meanSpread = SMA(spreadSeries, LookbackPeriod)[0];
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stdDevSpread = StdDev(spreadSeries, LookbackPeriod)[0];
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double zScore = (spread - meanSpread) / stdDevSpread;
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if (zScore > EntryZScore)
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{
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if (Position.MarketPosition != MarketPosition.Short)
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{
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EnterShort(FirstSymbolBars, 1, "Symbol 1 Short");
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EnterLong(SecondSymbolBars, 1, "Symbol 2 Short");
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}
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}
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else if (zScore < -EntryZScore)
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{
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if (Position.MarketPosition != MarketPosition.Long)
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{
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EnterLong(FirstSymbolBars, 1, "Symbol 1 Long");
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EnterShort(SecondSymbolBars, 1, "Symbol 2 Long");
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}
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}
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else if (Math.Abs(zScore) < ExitZScore)
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{
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ExitLong();
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ExitShort();
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}
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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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[Display(Name = "Second Symbol", GroupName = "Pairs Trading Bot", Order = 1)]
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public string SecondSymbol { get; set; }
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "Lookback Period", GroupName = "Pairs Trading Bot", Order = 2)]
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public int LookbackPeriod { get; set; }
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}
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}
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