105 lines
3.6 KiB
C#
105 lines
3.6 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.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 VIXRSIBot : Strategy
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{
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private const int VIXBars = 1;
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private RSI rsi;
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private RSI vixRsi;
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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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Description = @"Taken from chapter 12 of Short Term Trading Strategies That Work";
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Name = "VIX RSI 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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LongTermTrendPeriod = 200;
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RSIPeriod = 2;
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RSISmoothing = 1;
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RSIEntryThreshold = 30;
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RSIExitThreshold = 65;
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VIXRSIEntryThreshold = 90;
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}
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else if (State == State.Configure)
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{
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AddDataSeries("^VIX");
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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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vixRsi = RSI(BarsArray[VIXBars], 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 (BarsInProgress != 0)
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return;
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if (CurrentBars[VIXBars] < 0)
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return;
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if (CurrentBar < BarsRequiredToTrade)
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return;
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if (Close[0] > longTermTrend[0] &&
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vixRsi[0] > VIXRSIEntryThreshold &&
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Opens[VIXBars][0] > Closes[VIXBars][1] &&
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rsi[0] < RSIEntryThreshold)
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EnterLong();
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else if (rsi[0] > RSIExitThreshold)
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ExitLong();
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}
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[NinjaScriptProperty]
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[Display(Name = "Long Term Trend Period", GroupName = "VIX RSI Bot", Order = 1)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Period", GroupName = "VIX RSI Bot", Order = 2)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Smoothing", GroupName = "VIX RSI Bot", Order = 3)]
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public int RSISmoothing { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Entry Threshold", GroupName = "VIX RSI Bot", Order = 4)]
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public int RSIEntryThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Exit Threshold", GroupName = "VIX RSI Bot", Order = 5)]
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public int RSIExitThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "VIX RSI Entry Threshold", GroupName = "VIX RSI Bot", Order = 6)]
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public int VIXRSIEntryThreshold { get; set; }
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}
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}
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