Initial commit of Triple RSI Drop strategy

2024-12-10 10:35:21 -08:00 · 2024-12-10 10:35:21 -08:00 · 1dc2ccad46
commit 1dc2ccad46
parent 59433beb36
1 changed files with 111 additions and 0 deletions
--- a/strategies/triple-rsi-drop/TripleRSIDrop.cs
+++ b/strategies/triple-rsi-drop/TripleRSIDrop.cs
@ -0,0 +1,111 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class TripleRSIDrop : Strategy
+    {
+        private SMA longTermTrend;
+        private RSI rsi;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "Triple RSI Drop";
+                Description = @"Similar to R3, credit to Larry Connors";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+
+                LongTermTrendPeriod = 200;
+                RSIPeriod = 5;
+                RSISmoothing = 1;
+                ConsecutiveDays = 3;
+                FirstDayRSI = 60.0;
+                RSIEntry = 30.0;
+                RSIExit = 50.0;
+            }
+            else if (State == State.DataLoaded)
+            {
+                longTermTrend = SMA(LongTermTrendPeriod);
+                rsi = RSI(RSIPeriod, RSISmoothing);
+
+                AddChartIndicator(longTermTrend);
+                AddChartIndicator(rsi);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < Math.Max(LongTermTrendPeriod, ConsecutiveDays))
+                return;
+
+            if (Close[0] > longTermTrend[0])
+            {
+                if (RSIDrop(ConsecutiveDays) && rsi[ConsecutiveDays - 1] < FirstDayRSI && rsi[0] < RSIEntry)
+                    EnterLong();
+            }
+
+            if (Position.MarketPosition == MarketPosition.Long && rsi[0] > RSIExit)
+                ExitLong();
+        }
+
+        private bool RSIDrop(int days)
+        {
+            for (int i = 0; i < days - 1; i++)
+            {
+                if (rsi[i] >= rsi[i + 1])
+                    return false;
+            }
+            return true;
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        #region Properties
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Long-Term Trend Period", GroupName = "Triple RSI Bot", Order = 1)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "RSI Period", GroupName = "Triple RSI Bot", Order = 2)]
+        public int RSIPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "RSI Smoothing", GroupName = "Triple RSI Bot", Order = 3)]
+        public int RSISmoothing { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(1, int.MaxValue)]
+        [Display(Name = "Consecutive Days", GroupName = "Triple RSI Bot", Order = 4)]
+        public int ConsecutiveDays { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(0.0, 100.0)]
+        [Display(Name = "First Day RSI", GroupName = "Triple RSI Bot", Order = 6)]
+        public double FirstDayRSI { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(0.0, 100.0)]
+        [Display(Name = "RSI Entry", GroupName = "Triple RSI Bot", Order = 7)]
+        public double RSIEntry { get; set; }
+
+        [NinjaScriptProperty]
+        [Range(0.0, 100.0)]
+        [Display(Name = "RSI Exit", GroupName = "Triple RSI Bot", Order = 8)]
+        public double RSIExit { get; set; }
+
+        #endregion
+    }
+}