ninjatrader/strategies/vol-panics/VolPanicsBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class VolPanicsBot : Strategy
    {
        private SMA movingAverage;
        private RSI rsi;

        private double entryPrice;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Taken from chapter 5 of Buy the Fear, Sell the Greed (2018) by Larry Connors";
                Name = "Vol Panics Bot";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 2;
                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;
                IsInstantiatedOnEachOptimizationIteration = true;

                MovingAveragePeriod = 5;
                RSIPeriod = 4;
                RSISmoothing = 1;
                EntryThreshold = 70;
                EnableAggressiveEntries = true;
            }
            else if (State == State.DataLoaded)
            {
                movingAverage = SMA(MovingAveragePeriod);
                rsi = RSI(RSIPeriod, RSISmoothing);
            }
        }

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

            if (Position.MarketPosition == MarketPosition.Flat && Close[0] > movingAverage[0] && rsi[0] > EntryThreshold)
            {
                EnterShort();
                entryPrice = Close[0];
            }

            if (Position.MarketPosition == MarketPosition.Short && EnableAggressiveEntries && Close[0] > entryPrice)
                EnterShort();

            if (Position.MarketPosition == MarketPosition.Short && Close[0] < movingAverage[0])
                ExitShort();
        }

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

        [NinjaScriptProperty]
        [Display(Name = "Moving Average Period", GroupName = "Vol Panics Bot", Order = 1)]
        public int MovingAveragePeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Period", GroupName = "Vol Panics Bot", Order = 2)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Smoothing", GroupName = "Vol Panics Bot", Order = 3)]
        public int RSISmoothing { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Entry Threshold", GroupName = "Vol Panics Bot", Order = 4)]
        public int EntryThreshold { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Aggressive Entries", GroupName = "Vol Panics Bot", Order = 5)]
        public bool EnableAggressiveEntries { get; set; }
    }
}