ninjatrader/strategies/RandomBotRSI.cs

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

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
    public class RandomBotRSI : Strategy
    {
        private Random RNG = new Random();

        private ATR atr;
        private RSI rsi;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Randomly places trades based on the current RSI value";
                Name = "Random Bot (RSI)";
                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;

                PercentageChanceToEnterTrade = 25;
                RSIPeriod = 14;
                RSISmoothing = 3;
                ATRPeriod = 14;
                ATRMultiplier = 2;
            }
            else if (State == State.DataLoaded)
            {
                RNG = new Random();

                atr = ATR(ATRPeriod);
                rsi = RSI(RSIPeriod, RSISmoothing);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < BarsRequiredToTrade)
                return;

            if (Position.MarketPosition != MarketPosition.Flat)
                return;

            if (ShouldEnterTrade())
            {
                double atrValue = atr[0];
                double stopLoss = ATRMultiplier * atrValue;
                double profitTarget = ATRMultiplier * atrValue;

                if (rsi[0] > 80.0)
                {
                    EnterLong();
                    SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
                    SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
                }
                else if (rsi[0] < 20.0)
                {
                    EnterShort();
                    SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
                    SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
                }
            }
        }

        private bool ShouldEnterTrade()
        {
            return RNG.Next(100) < PercentageChanceToEnterTrade;
        }

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

        [Range(1, 100), NinjaScriptProperty]
        [Display(Name = "Percentage Chance to Enter Trade", GroupName = "Random Bot (RSI)", Order = 1)]
        public int PercentageChanceToEnterTrade { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "RSI Period", GroupName = "Random Bot (RSI)", Order = 2)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "RSI Smoothing", GroupName = "Random Bot (RSI)", Order = 3)]
        public int RSISmoothing { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Period", GroupName = "Random Bot (RSI)", Order = 4)]
        public int ATRPeriod { get; set; }

        [Range(0.1, double.MaxValue), NinjaScriptProperty]
        [Display(Name = "ATR Multiplier", GroupName = "Random Bot (RSI)", Order = 5)]
        public double ATRMultiplier { get; set; }
    }
}