ninjatrader/strategies/tps/TPSBot.cs

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

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

        private int tradeCount = 0;
        private double lastEntryPrice = 0.0;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "TPS Bot";
                Description = @"Taken from chapter 8 of High Probability ETF Trading (2009) and Buy the Fear, Sell the Greed (2018) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 4;

                LongTermTrendPeriod = 200;
                RSIPeriod = 2;
                RSISmoothing = 1;
                EnableLongTrades = true;
                LongRSIEntry = 25;
                LongRSIExit = 70;
                EnableShortTrades = true;
                ShortRSIEntry = 75;
                ShortRSIExit = 30;
                TotalPositionSize = 10000;
            }
            else if (State == State.DataLoaded)
            {
                longTermTrend = SMA(LongTermTrendPeriod);
                rsi = RSI(RSIPeriod, RSISmoothing);

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

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

            if (EnableLongTrades)
            {
                if (Position.MarketPosition == MarketPosition.Long && rsi[0] > LongRSIExit)
                    ExitTrade(true);
                else if (Close[0] > longTermTrend[0])
                {
                    if (Position.MarketPosition == MarketPosition.Flat && rsi[0] < LongRSIEntry && rsi[1] < LongRSIEntry)
                        EnterTrade(true);
                    else if (Position.MarketPosition == MarketPosition.Long && Close[0] < lastEntryPrice)
                        EnterTrade(true);
                }
            }

            if (EnableShortTrades)
            {
                if (Position.MarketPosition == MarketPosition.Short && rsi[0] < ShortRSIExit)
                    ExitTrade(false);
                else if (Close[0] < longTermTrend[0])
                {
                    if (Position.MarketPosition == MarketPosition.Flat && rsi[0] > ShortRSIEntry && rsi[1] > ShortRSIEntry)
                        EnterTrade(false);
                    else if (Position.MarketPosition == MarketPosition.Short && Close[0] > lastEntryPrice)
                        EnterTrade(false);
                }
            }
        }

        private void EnterTrade(bool isLong)
        {
            tradeCount += 1;
            int quantity = CalculateQuantity(tradeCount * 10.0);

            if (isLong)
                EnterLong(quantity);
            else
                EnterShort(quantity);

            lastEntryPrice = Close[0];
        }

        private void ExitTrade(bool isLong)
        {
            if (isLong)
                ExitLong();
            else
                ExitShort();

            tradeCount = 0;
            lastEntryPrice = 0.0;
        }

        private int CalculateQuantity(double percent)
        {
            double dollarAmount = TotalPositionSize * (percent / 100.0);
            int quantity = Convert.ToInt32(Math.Floor(dollarAmount / Close[0]));
            return quantity > 0 ? quantity : 1;
        }

        #region Properties

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

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

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

        [NinjaScriptProperty]
        [Display(Name = "Enable Long Trades", GroupName = "TPS Bot", Order = 4)]
        public bool EnableLongTrades { get; set; }

        [NinjaScriptProperty]
        [Range(1, 100)]
        [Display(Name = "Long RSI Entry", GroupName = "TPS Bot", Order = 5)]
        public int LongRSIEntry { get; set; }

        [NinjaScriptProperty]
        [Range(1, 100)]
        [Display(Name = "Long RSI Exit", GroupName = "TPS Bot", Order = 6)]
        public int LongRSIExit { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Short Trades", GroupName = "TPS Bot", Order = 7)]
        public bool EnableShortTrades { get; set; }

        [NinjaScriptProperty]
        [Range(1, 100)]
        [Display(Name = "Short RSI Entry", GroupName = "TPS Bot", Order = 8)]
        public int ShortRSIEntry { get; set; }

        [NinjaScriptProperty]
        [Range(1, 100)]
        [Display(Name = "Short RSI Exit", GroupName = "TPS Bot", Order = 9)]
        public int ShortRSIExit { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name = "Total Position Size", GroupName = "TPS Bot", Order = 10)]
        public double TotalPositionSize { get; set; }

        #endregion
    }
}