83 lines
2.8 KiB
C#
83 lines
2.8 KiB
C#
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#region Using declarations
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using NinjaTrader.Cbi;
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using NinjaTrader.NinjaScript.Indicators;
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using System.ComponentModel.DataAnnotations;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class VIXFivePercentBot : Strategy
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{
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private const int VIXBars = 1;
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private SMA movingAverage;
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Description = @"Taken from chapter 5 of Short Term Trading Strategies That Work";
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Name = "VIX 5% Bot";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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EntryHandling = EntryHandling.AllEntries;
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IsExitOnSessionCloseStrategy = true;
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ExitOnSessionCloseSeconds = 30;
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IsFillLimitOnTouch = false;
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MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
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OrderFillResolution = OrderFillResolution.Standard;
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Slippage = 0;
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StartBehavior = StartBehavior.WaitUntilFlat;
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TimeInForce = TimeInForce.Gtc;
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TraceOrders = false;
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RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
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StopTargetHandling = StopTargetHandling.PerEntryExecution;
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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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MovingAveragePeriod = 10;
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}
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else if (State == State.Configure)
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{
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AddDataSeries("^VIX");
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}
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else if (State == State.DataLoaded)
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{
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movingAverage = SMA(BarsArray[VIXBars], MovingAveragePeriod);
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}
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}
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protected override void OnBarUpdate()
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{
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if (BarsInProgress != 0)
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return;
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if (CurrentBars[VIXBars] < 0)
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return;
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if (CurrentBar < BarsRequiredToTrade)
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return;
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double upperThreshold = movingAverage[0] * 1.05;
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double lowerThreshold = movingAverage[0] * 0.95;
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// Entry condition: If VIX is 5% or more above its 10-day moving average.
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if (Closes[VIXBars][0] >= upperThreshold)
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EnterLong();
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// Exit condition: If VIX is 5% or more below its 10-day moving average.
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if (Position.MarketPosition == MarketPosition.Long && Closes[VIXBars][0] <= lowerThreshold)
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ExitLong();
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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[NinjaScriptProperty]
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[Display(Name = "Moving Average Period", GroupName = "VIX 5% Bot", Order = 1)]
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public int MovingAveragePeriod { get; set; }
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}
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}
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