ninjatrader/strategies/rsi-25-75/RSITwentyFiveBot.cs

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

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

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Taken from chapter 3 of High Probability ETF Trading (2009) by Larry Connors";
                Name = "RSI 25 / 75 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;
                BarsRequiredToTrade = 20;
                IsInstantiatedOnEachOptimizationIteration = true;

                LongTermTrendPeriod = 200;
                RSIPeriod = 4;
                RSISmoothing = 1;
                EnableLongTrades = true;
                LongRSIEntry = 25;
                LongRSIExit = 55;
                EnableShortTrades = true;
                ShortRSIEntry = 75;
                ShortRSIExit = 45;
                EnableAggressiveEntries = true;
                AggressiveLongRSIEntry = 20;
                AggressiveShortRSIEntry = 80;
            }
            else if (State == State.DataLoaded)
            {
                longTermTrend = SMA(LongTermTrendPeriod);
                rsi = RSI(RSIPeriod, RSISmoothing);
            }
        }

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

            if (EnableLongTrades)
            {
                if (Close[0] > longTermTrend[0])
                {
                    if (Position.MarketPosition == MarketPosition.Flat && rsi[0] < LongRSIEntry)
                        EnterLong();
                    else if (Position.MarketPosition == MarketPosition.Long && rsi[0] < AggressiveLongRSIEntry &&
                        EnableAggressiveEntries)
                        EnterLong();
                }

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

            if (EnableShortTrades)
            {
                if (Close[0] < longTermTrend[0])
                {
                    if (Position.MarketPosition == MarketPosition.Flat && rsi[0] > ShortRSIEntry)
                        EnterShort();
                    else if (Position.MarketPosition == MarketPosition.Short && rsi[0] > AggressiveShortRSIEntry &&
                        EnableAggressiveEntries)
                        EnterShort();
                }

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

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

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Long-Term Trend Period", GroupName = "RSI 25 / 75 Bot", Order = 1)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "RSI Period", GroupName = "RSI 25 / 75 Bot", Order = 2)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "RSI Smoothing", GroupName = "RSI 25 / 75 Bot", Order = 3)]
        public int RSISmoothing { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Long Trades", GroupName = "RSI 25 / 75 Bot", Order = 4)]
        public bool EnableLongTrades { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name = "Long RSI Entry", GroupName = "RSI 25 / 75 Bot", Order = 5)]
        public double LongRSIEntry { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name = "Long RSI Exit", GroupName = "RSI 25 / 75 Bot", Order = 6)]
        public double LongRSIExit { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Short Trades", GroupName = "RSI 25 / 75 Bot", Order = 7)]
        public bool EnableShortTrades { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name = "Short RSI Entry", GroupName = "RSI 25 / 75 Bot", Order = 8)]
        public double ShortRSIEntry { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name = "Short RSI Exit", GroupName = "RSI 25 / 75 Bot", Order = 9)]
        public double ShortRSIExit { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Aggressive Entries", GroupName = "RSI 25 / 75 Bot", Order = 10)]
        public bool EnableAggressiveEntries { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name = "Aggressive Long RSI Entry", GroupName = "RSI 25 / 75 Bot", Order = 11)]
        public double AggressiveLongRSIEntry { get; set; }

        [NinjaScriptProperty]
        [Range(0.1, double.MaxValue)]
        [Display(Name = "Aggressive Short RSI Entry", GroupName = "RSI 25 / 75 Bot", Order = 12)]
        public double AggressiveShortRSIEntry { get; set; }
    }
}