Initial commit of VIX Stretches strategy

strategies/vix-stretches/VixStretchesBot.cs

@@ -0,0 +1,117 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class VIXStretchesBot : Strategy
+    {
+        private const int VIXBars = 1;
+
+        private SMA longTermTrend;
+        private SMA vixMovingAverage;
+        private RSI rsi;
+
+        private int vixStretchDays;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Taken from chapter 12 of Short Term Trading Strategies That Work";
+                Name = "VIX Stretches 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;
+                VIXMovingAveragePeriod = 10;
+                VIXStretchDaysThreshold = 3;
+                RSIPeriod = 2;
+                RSISmoothing = 1;
+                RSIExitThreshold = 65;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries("^VIX");
+
+                vixStretchDays = 0;
+            }
+            else if (State == State.DataLoaded)
+            {
+                longTermTrend = SMA(LongTermTrendPeriod);
+                vixMovingAverage = SMA(BarsArray[VIXBars], VIXMovingAveragePeriod);
+                rsi = RSI(RSIPeriod, RSISmoothing);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != 0)
+                return;
+
+            if (CurrentBars[VIXBars] < 0)
+                return;
+
+            if (CurrentBar < BarsRequiredToTrade)
+                return;
+
+            double upperThreshold = vixMovingAverage[0] * 1.05;
+
+            if (Closes[VIXBars][0] >= upperThreshold)
+                vixStretchDays++;
+            else
+                vixStretchDays = 0;
+
+            if (Close[0] > longTermTrend[0] && vixStretchDays >= VIXStretchDaysThreshold)
+                EnterLong();
+
+            if (Position.MarketPosition == MarketPosition.Long && rsi[0] >= RSIExitThreshold)
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long Term Trend Period", GroupName = "VIX Stretches Bot", Order = 1)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "VIX Moving Average Period", GroupName = "VIX Stretches Bot", Order = 2)]
+        public int VIXMovingAveragePeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "VIX Stretch Days", GroupName = "VIX Stretches Bot", Order = 3)]
+        public int VIXStretchDaysThreshold { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Period", GroupName = "VIX Stretches Bot", Order = 4)]
+        public int RSIPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Smoothing", GroupName = "VIX Stretches Bot", Order = 5)]
+        public int RSISmoothing { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Exit Threshold", GroupName = "VIX Stretches Bot", Order = 6)]
+        public int RSIExitThreshold { get; set; }
+    }
+}