Initial commit of VIX Above Moving Average strategy

strategies/vix-above-and-below-moving-average/VIXAboveMovingAverage.cs

@@ -0,0 +1,74 @@
+#region Using declarations
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class VIXAboveMovingAverage : Strategy
+    {
+        private const int PrimaryBars = 0;
+        private const int VIXBars = 1;
+
+        private SMA ShortTermTrend;
+        private SMA LongTermTrend;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "VIX Above Moving Average";
+                Description = @"Based on chatper 10 of How Markets Really Work (2012) by Larry Connors";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+
+                MovingAveragePeriod = 10;
+                LongTermTrendPeriod = 200;
+                PercentAbove = 10;
+                DaysToExit = 5;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries("^VIX");
+            }
+            else if (State == State.DataLoaded)
+            {
+                ShortTermTrend = SMA(Closes[VIXBars], MovingAveragePeriod);
+                LongTermTrend = SMA(LongTermTrendPeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (PrimaryBars != BarsInProgress || CurrentBar < MovingAveragePeriod)
+                return;
+
+            if (Close[0] > LongTermTrend[0] && Closes[VIXBars][0] >= ShortTermTrend[0] * (1 + PercentAbove / 100))
+                EnterLong();
+
+            if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Moving Average Period", GroupName = "VIX Above Moving Average", Order = 1)]
+        public int MovingAveragePeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Long-Term Trend Period", GroupName = "VIX Above Moving Average", Order = 2)]
+        public int LongTermTrendPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Percent Above", GroupName = "VIX Above Moving Average", Order = 3)]
+        public double PercentAbove { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Days to Exit", GroupName = "VIX Above Moving Average", Order = 4)]
+        public int DaysToExit { get; set; }
+    }
+}