Add ConnorsRSI Bot

2024-08-27 12:43:08 -07:00 · 2024-08-27 12:43:08 -07:00 · 8d4a805b6e
commit 8d4a805b6e
parent 2219562372
1 changed files with 68 additions and 0 deletions
--- a/strategies/connors-rsi/ConnorsRSIBot.cs
+++ b/strategies/connors-rsi/ConnorsRSIBot.cs
@ -0,0 +1,68 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class ConnorsRSIBot : Strategy
+    {
+        private ConnorsRSI connorsRSI;
+
+        private SMA longTermTrend;
+        private SMA shortTermTrend;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"";
+                Name = "Connors 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;
+            }
+            else if (State == State.DataLoaded)
+            {
+                connorsRSI = ConnorsRSI(3, 1, 2, 1, 100);
+
+                longTermTrend = SMA(200);
+                shortTermTrend = SMA(5);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < 200)
+                return;
+            
+            if (Close[0] > longTermTrend[0] && connorsRSI[0] < 15)
+                EnterLong();
+            else if (Close[0] < longTermTrend[0] && connorsRSI[0] > 85)
+                EnterShort();
+
+            if (Position.MarketPosition == MarketPosition.Long && Close[0] > shortTermTrend[0])
+                ExitLong();
+            else if (Position.MarketPosition == MarketPosition.Short && Close[0] < shortTermTrend[0])
+                ExitShort();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+    }
+}