Initial commit of 2 Period RSI strategy taken from Short Term Trading Strategies That Work

strategies/TwoPeriodRSI.cs

@@ -0,0 +1,78 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class TwoPeriodRSI : Strategy
+    {
+        private SMA sma200;
+        private SMA sma5;
+        private RSI rsi;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Taken from chapter 9 of Short Term Trading Strategies That Work";
+                Name = "2 Period RSI";
+                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)
+            {
+                sma200 = SMA(200);
+                sma5 = SMA(5);
+                rsi = RSI(2, 1);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < 200) return;
+
+            double sma200Value = sma200[0];
+            double sma5Value = sma5[0];
+
+            // Entries
+            int quantity = (int)Math.Floor(1000000 / Close[0]);
+            if (Close[0] > sma200Value && rsi[0] < 5)
+            {
+                if (Position.MarketPosition != MarketPosition.Long)
+                    EnterLong(quantity);
+            }
+            else if (Close[0] < sma200Value && rsi[0] > 95)
+            {
+                if (Position.MarketPosition != MarketPosition.Short)
+                    EnterShort(quantity);
+            }
+
+            // Exits
+            if (Position.MarketPosition == MarketPosition.Long && Close[0] > sma5Value)
+                ExitLong();
+            else if (Position.MarketPosition == MarketPosition.Short && Close[0] < sma5Value)
+                ExitShort();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+    }
+}