ninjatrader/strategies/connors-vix-reversals/strategy-3/ConnorsVIXReversal3.cs

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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class ConnorsVIXReversal3 : Strategy
    {
        private const int PrimaryBars = 0;
        private const int VIXBars = 1;

        private SMA ShortTermTrend;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "Connors VIX Reversal 3";
                Description = @"Taken from Chapter 2 of Connors on Advanced Trading Strategies (1998) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;

                ShortTermTrendPeriod = 50;
                PercentAbove = 10;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("^VIX");
            }
            else if (State == State.DataLoaded)
            {
                ShortTermTrend = SMA(Closes[VIXBars], ShortTermTrendPeriod);
            }
        }

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

            if (CurrentBar < ShortTermTrendPeriod)
                return;

            if (Lows[VIXBars][0] > ShortTermTrend[0] && Closes[VIXBars][0] >= ShortTermTrend[0] * (1 + PercentAbove / 100))
                EnterLong();

            if (Lows[VIXBars][0] < ShortTermTrend[1])
                ExitLong();
        }

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

        [NinjaScriptProperty]
        [Display(Name = "Short-Term Trend Period", GroupName = "Connors VIX Reversal 3 Bot", Order = 1)]
        public int ShortTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Percent Above", GroupName = "Connors VIX Reversal 3 Bot", Order = 2)]
        public double PercentAbove{ get; set; }
    }
}