ninjatrader/strategies/rsi-divergence/RSIDivergenceBot.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class RSIDivergenceBot : Strategy
    {
        private RSI rsi;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Simple strategy based on RSI divergence";
                Name = "RSI Divergence Bot";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;
                EntryHandling = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy = false;
                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;
            }
            else if (State == State.DataLoaded)
            {
                rsi = RSI(14, 3);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < BarsRequiredToTrade)
                return;

            if (rsi[0] > rsi[5] && Close[0] < Close[5])
            {
                int quantity = (int)Math.Floor(100000 / Close[0]);
                EnterLong(quantity);
            }

            if (Position.MarketPosition == MarketPosition.Long && rsi[0] > 70.0)
                ExitLong();
        }

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