Initial commit of VIX RSI strategy

2024-09-19 05:05:47 -07:00 · 2024-09-19 05:05:47 -07:00 · 43a6bb2e7d
commit 43a6bb2e7d
parent b51fd2c3c6
1 changed files with 104 additions and 0 deletions
--- a/strategies/vix-rsi/VIXRSIBot.cs
+++ b/strategies/vix-rsi/VIXRSIBot.cs
@ -0,0 +1,104 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class VIXRSIBot : Strategy
+    {
+        private const int VIXBars = 1;
+
+        private RSI rsi;
+        private RSI vixRsi;
+        private SMA longTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Taken from chapter 12 of Short Term Trading Strategies That Work";
+                Name = "VIX 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;
+
+                LongTermTrendPeriod = 200;
+                RSIPeriod = 2;
+                RSISmoothing = 1;
+                RSIEntryThreshold = 30;
+                RSIExitThreshold = 65;
+                VIXRSIEntryThreshold = 90;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries("^VIX");
+            }
+            else if (State == State.DataLoaded)
+            {
+                rsi = RSI(RSIPeriod, RSISmoothing);
+                vixRsi = RSI(BarsArray[VIXBars], RSIPeriod, RSISmoothing);
+                
+                longTermTrend = SMA(LongTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != 0)
+                return;
+
+            if (CurrentBars[VIXBars] < 0)
+                return;
+
+            if (CurrentBar < BarsRequiredToTrade)
+                return;
+
+            if (Close[0] > longTermTrend[0] && 
+                vixRsi[0] > VIXRSIEntryThreshold && 
+                Opens[VIXBars][0] > Closes[VIXBars][1] && 
+                rsi[0] < RSIEntryThreshold)
+                EnterLong();
+            else if (rsi[0] > RSIExitThreshold)
+                ExitLong();
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long Term Trend Period", GroupName = "VIX RSI Bot", Order = 1)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Period", GroupName = "VIX RSI Bot", Order = 2)]
+        public int RSIPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Smoothing", GroupName = "VIX RSI Bot", Order = 3)]
+        public int RSISmoothing { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Entry Threshold", GroupName = "VIX RSI Bot", Order = 4)]
+        public int RSIEntryThreshold { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Exit Threshold", GroupName = "VIX RSI Bot", Order = 5)]
+        public int RSIExitThreshold { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "VIX RSI Entry Threshold", GroupName = "VIX RSI Bot", Order = 6)]
+        public int VIXRSIEntryThreshold { get; set; }
+    }
+}