Initial commit of 2-Period RSI Highs strategy

strategies/2-period-rsi-highs-and-lows/TwoPeriodRSIHighs.cs

@@ -0,0 +1,72 @@
+#region Using declarations
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class TwoPeriodRSIHighs : Strategy
+    {
+        private RSI rsi;
+        private SMA longTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "2-Period RSI Highs";
+                Description = @"Based on chatper 11 of How Markets Really Work (2012) by Larry Connors";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+
+                RSIPeriod = 2;
+                RSISmoothing = 1;
+                RSIEntry = 85;
+                LongTermTrendPeriod = 200;
+                DaysToExit = 5;
+            }
+            else if (State == State.DataLoaded)
+            {
+                rsi = RSI(RSIPeriod, RSISmoothing);
+                longTermTrend = SMA(LongTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < RSIPeriod)
+                return;
+
+            if (rsi[0] > RSIEntry && Close[0] > longTermTrend[0])
+                EnterLong();
+
+            if (BarsSinceEntryExecution(0, "", 0) >= DaysToExit)
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Period", GroupName = "2-Period RSI Highs", Order = 1)]
+        public int RSIPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Smoothing", GroupName = "2-Period RSI Highs", Order = 2)]
+        public int RSISmoothing { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Entry", GroupName = "2-Period RSI Highs", Order = 3)]
+        public int RSIEntry { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long-Term Trend Period", GroupName = "2-Period RSI Highs", Order = 4)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Days to Exit", GroupName = "2-Period RSI Highs", Order = 5)]
+        public int DaysToExit { get; set; }
+    }
+}