diff --git a/strategies/vix-rsi/VIXRSIBot.cs b/strategies/vix-rsi/VIXRSIBot.cs new file mode 100644 index 0000000..0c61b85 --- /dev/null +++ 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; } + } +}