2024-08-27 19:43:08 +00:00
|
|
|
#region Using declarations
|
|
|
|
|
using NinjaTrader.Cbi;
|
|
|
|
|
using NinjaTrader.NinjaScript.Indicators;
|
|
|
|
|
#endregion
|
|
|
|
|
|
|
|
|
|
namespace NinjaTrader.NinjaScript.Strategies
|
|
|
|
|
{
|
|
|
|
|
public class ConnorsRSIBot : Strategy
|
|
|
|
|
{
|
|
|
|
|
private ConnorsRSI connorsRSI;
|
|
|
|
|
|
|
|
|
|
private SMA longTermTrend;
|
|
|
|
|
private SMA shortTermTrend;
|
|
|
|
|
|
|
|
|
|
protected override void OnStateChange()
|
|
|
|
|
{
|
|
|
|
|
if (State == State.SetDefaults)
|
|
|
|
|
{
|
2024-08-28 19:15:45 +00:00
|
|
|
Description = @"Strategy based on the ConnorsRSI indicator developed by Larry Connors";
|
2024-08-27 19:43:08 +00:00
|
|
|
Name = "Connors RSI 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;
|
|
|
|
|
}
|
|
|
|
|
else if (State == State.DataLoaded)
|
|
|
|
|
{
|
|
|
|
|
connorsRSI = ConnorsRSI(3, 1, 2, 1, 100);
|
|
|
|
|
|
|
|
|
|
longTermTrend = SMA(200);
|
|
|
|
|
shortTermTrend = SMA(5);
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
protected override void OnBarUpdate()
|
|
|
|
|
{
|
|
|
|
|
if (CurrentBar < 200)
|
|
|
|
|
return;
|
|
|
|
|
|
|
|
|
|
if (Close[0] > longTermTrend[0] && connorsRSI[0] < 15)
|
|
|
|
|
EnterLong();
|
|
|
|
|
else if (Close[0] < longTermTrend[0] && connorsRSI[0] > 85)
|
|
|
|
|
EnterShort();
|
|
|
|
|
|
|
|
|
|
if (Position.MarketPosition == MarketPosition.Long && Close[0] > shortTermTrend[0])
|
|
|
|
|
ExitLong();
|
|
|
|
|
else if (Position.MarketPosition == MarketPosition.Short && Close[0] < shortTermTrend[0])
|
|
|
|
|
ExitShort();
|
|
|
|
|
}
|
|
|
|
|
|
|
|
|
|
public override string DisplayName
|
|
|
|
|
{
|
|
|
|
|
get { return Name; }
|
|
|
|
|
}
|
|
|
|
|
}
|
|
|
|
|
}
|
