Initial commit of 5-Period RSI strategy

strategies/5-period-rsi/FivePeriodRSI.cs

@@ -0,0 +1,56 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class FivePeriodRSI : Strategy
+    {
+        private RSI rsi;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "5-Period RSI";
+                Description = @"Simple strategy based on a 5-Period RSI";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+
+                RSIPeriod = 5;
+                EntryThreshold = 35;
+            }
+            else if (State == State.DataLoaded)
+            {
+                rsi = RSI(RSIPeriod, 1);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < RSIPeriod)
+                return;
+
+            if (rsi[0] < EntryThreshold)
+                EnterLong();
+
+            if (Position.MarketPosition == MarketPosition.Long && Close[0] > High[1])
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Period", GroupName = "5-Period RSI", Order = 1)]
+        public int RSIPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Entry Threshold", GroupName = "5-Period RSI", Order = 2)]
+        public int EntryThreshold { get; set; }
+    }
+}