ninjatrader/strategies/triple-rsi-drop/TripleRSIDrop.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class TripleRSIDrop : Strategy
    {
        private SMA longTermTrend;
        private RSI rsi;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "Triple RSI Drop";
                Description = @"Similar to R3, credit to Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;

                LongTermTrendPeriod = 200;
                RSIPeriod = 5;
                ConsecutiveDays = 3;
                FirstDayRSI = 60.0;
                RSIEntry = 30.0;
                RSIExit = 50.0;
            }
            else if (State == State.DataLoaded)
            {
                longTermTrend = SMA(LongTermTrendPeriod);
                rsi = RSI(RSIPeriod, 1);

                AddChartIndicator(longTermTrend);
                AddChartIndicator(rsi);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Math.Max(LongTermTrendPeriod, ConsecutiveDays))
                return;

            if (Close[0] > longTermTrend[0])
            {
                if (RSIDrop(ConsecutiveDays) && rsi[ConsecutiveDays - 1] < FirstDayRSI && rsi[0] < RSIEntry)
                    EnterLong();
            }

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

        private bool RSIDrop(int days)
        {
            for (int i = 0; i < days - 1; i++)
            {
                if (rsi[i] >= rsi[i + 1])
                    return false;
            }
            return true;
        }

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

        #region Properties

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Long-Term Trend Period", GroupName = "Triple RSI Bot", Order = 1)]
        public int LongTermTrendPeriod { get; set; }

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

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Consecutive Days", GroupName = "Triple RSI Bot", Order = 3)]
        public int ConsecutiveDays { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "First Day RSI", GroupName = "Triple RSI Bot", Order = 4)]
        public double FirstDayRSI { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "RSI Entry", GroupName = "Triple RSI Bot", Order = 5)]
        public double RSIEntry { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "RSI Exit", GroupName = "Triple RSI Bot", Order = 6)]
        public double RSIExit { get; set; }

        #endregion
    }
}