Add 2-3-5 scale-in version of Vol Panics strategy

2024-10-07 06:17:47 -07:00 · 2024-10-07 06:17:47 -07:00 · 0cfc537ad3
commit 0cfc537ad3
parent 54d30eaa16
1 changed files with 99 additions and 0 deletions
--- a/strategies/vol-panics/VolPanicsBot235.cs
+++ b/strategies/vol-panics/VolPanicsBot235.cs
@ -0,0 +1,99 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class VolPanicsBot235 : Strategy
+    {
+        private SMA movingAverage;
+        private RSI rsi;
+
+        private int entryCount;
+        private double latestEntryPrice;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "Vol Panics Bot (2-3-5 Scale-In)";
+                Description = @"Taken from chapter 5 of Buy the Fear, Sell the Greed (2018) by Larry Connors";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 3;
+
+                MovingAveragePeriod = 5;
+                RSIPeriod = 4;
+                RSISmoothing = 1;
+                EntryThreshold = 70;
+                TotalPositionSize = 1000;
+            }
+            else if (State == State.DataLoaded)
+            {
+                movingAverage = SMA(MovingAveragePeriod);
+                rsi = RSI(RSIPeriod, RSISmoothing);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < Math.Max(MovingAveragePeriod, RSIPeriod))
+                return;
+
+            if (Position.MarketPosition == MarketPosition.Flat && Close[0] > movingAverage[0] && rsi[0] > EntryThreshold)
+            {
+                entryCount = 1;
+                latestEntryPrice = Close[0];
+                EnterShort(CalculateQuantity(20));
+            }
+
+            if (Position.MarketPosition == MarketPosition.Short && Close[0] > latestEntryPrice)
+            {
+                entryCount += 1;
+                latestEntryPrice = Close[0];
+
+                if (entryCount == 2)
+                    EnterShort(CalculateQuantity(30));
+                else if (entryCount == 3)
+                    EnterShort(CalculateQuantity(50));
+            }
+
+            if (Position.MarketPosition == MarketPosition.Short && Close[0] < movingAverage[0])
+                ExitShort();
+        }
+
+        private int CalculateQuantity(double percent)
+        {
+            double dollarAmount = TotalPositionSize * (percent / 100.0);
+            int quantity = Convert.ToInt32(Math.Floor(dollarAmount / Close[0]));
+            return quantity > 0 ? quantity : 1;
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Moving Average Period", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 1)]
+        public int MovingAveragePeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Period", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 2)]
+        public int RSIPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Smoothing", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 3)]
+        public int RSISmoothing { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Entry Threshold", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 4)]
+        public int EntryThreshold { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Total Position Size", GroupName = "Vol Panics Bot (2-3-5 Scale-In)", Order = 5)]
+        public int TotalPositionSize { get; set; }
+    }
+}