79 lines
2.6 KiB
C#
79 lines
2.6 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;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class TwoPeriodRSI : Strategy
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{
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private SMA sma200;
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private SMA sma5;
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private RSI rsi;
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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 9 of Short Term Trading Strategies That Work";
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Name = "2 Period RSI";
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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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}
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else if (State == State.DataLoaded)
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{
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sma200 = SMA(200);
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sma5 = SMA(5);
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rsi = RSI(2, 1);
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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 (CurrentBar < 200) return;
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double sma200Value = sma200[0];
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double sma5Value = sma5[0];
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// Entries
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int quantity = (int)Math.Floor(1000000 / Close[0]);
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if (Close[0] > sma200Value && rsi[0] < 5)
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{
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if (Position.MarketPosition != MarketPosition.Long)
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EnterLong(quantity);
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}
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else if (Close[0] < sma200Value && rsi[0] > 95)
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{
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if (Position.MarketPosition != MarketPosition.Short)
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EnterShort(quantity);
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}
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// Exits
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if (Position.MarketPosition == MarketPosition.Long && Close[0] > sma5Value)
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ExitLong();
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else if (Position.MarketPosition == MarketPosition.Short && Close[0] < sma5Value)
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ExitShort();
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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}
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}
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