58 lines
1.6 KiB
C#
58 lines
1.6 KiB
C#
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#region Using declarations
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using NinjaTrader.NinjaScript.Indicators;
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using System;
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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 VXXTrendBot : Strategy
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{
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private SMA shortTermTrend;
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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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Name = "VXX Trend Bot";
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Description = @"Taken from chapter 6 of Buy the Fear, Sell the Greed (2018) by Larry Connors";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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ShortTermTrendPeriod = 10;
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LongTermTrendPeriod = 30;
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}
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else if (State == State.DataLoaded)
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{
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shortTermTrend = SMA(ShortTermTrendPeriod);
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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 (CurrentBar < Math.Max(ShortTermTrendPeriod, LongTermTrendPeriod))
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return;
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if (CrossBelow(shortTermTrend, longTermTrend, 1))
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EnterShort();
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if (CrossAbove(shortTermTrend, longTermTrend, 1))
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ExitShort();
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}
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#region Properties
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[NinjaScriptProperty]
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[Display(Name = "Short-Term Trend Period", GroupName = "VXX Trend Bot", Order = 1)]
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public int ShortTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long-Term Trend Period", GroupName = "VXX Trend Bot", Order = 2)]
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public int LongTermTrendPeriod { get; set; }
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#endregion
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}
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}
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