ninjatrader/strategies/vix-stretches/VIXStretchesBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class VIXStretchesBot : Strategy
    {
        private const int VIXBars = 1;

        private SMA longTermTrend;
        private SMA vixMovingAverage;
        private RSI rsi;

        private int vixStretchDays;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Taken from chapter 12 of Short Term Trading Strategies That Work";
                Name = "VIX Stretches Bot";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;
                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;
                BarsRequiredToTrade = 20;
                IsInstantiatedOnEachOptimizationIteration = true;

                LongTermTrendPeriod = 200;
                VIXMovingAveragePeriod = 10;
                VIXStretchDaysThreshold = 3;
                RSIPeriod = 2;
                RSISmoothing = 1;
                RSIExitThreshold = 65;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("^VIX");

                vixStretchDays = 0;
            }
            else if (State == State.DataLoaded)
            {
                longTermTrend = SMA(LongTermTrendPeriod);
                vixMovingAverage = SMA(BarsArray[VIXBars], VIXMovingAveragePeriod);
                rsi = RSI(RSIPeriod, RSISmoothing);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0)
                return;

            if (CurrentBars[VIXBars] < 0)
                return;

            if (CurrentBar < BarsRequiredToTrade)
                return;

            double upperThreshold = vixMovingAverage[0] * 1.05;

            if (Closes[VIXBars][0] >= upperThreshold)
                vixStretchDays++;
            else
                vixStretchDays = 0;

            if (Close[0] > longTermTrend[0] && vixStretchDays >= VIXStretchDaysThreshold)
                EnterLong();

            if (Position.MarketPosition == MarketPosition.Long && rsi[0] >= RSIExitThreshold)
                ExitLong();
        }

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

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

        [NinjaScriptProperty]
        [Display(Name = "VIX Moving Average Period", GroupName = "VIX Stretches Bot", Order = 2)]
        public int VIXMovingAveragePeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "VIX Stretch Days", GroupName = "VIX Stretches Bot", Order = 3)]
        public int VIXStretchDaysThreshold { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Period", GroupName = "VIX Stretches Bot", Order = 4)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Smoothing", GroupName = "VIX Stretches Bot", Order = 5)]
        public int RSISmoothing { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Exit Threshold", GroupName = "VIX Stretches Bot", Order = 6)]
        public int RSIExitThreshold { get; set; }
    }
}