Initial commit of IBS + RSI strategy

2024-11-25 09:09:10 -08:00 · 2024-11-25 09:09:10 -08:00 · c62c3b7500
commit c62c3b7500
parent 3290d9ba8e
1 changed files with 63 additions and 0 deletions
--- a/strategies/ibs-rsi/IBSRSI.cs
+++ b/strategies/ibs-rsi/IBSRSI.cs
@ -0,0 +1,63 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class IBSRSI : Strategy
+    {
+        private InternalBarStrength ibs;
+        private RSI rsi;
+
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Name = "IBS + RSI";
+                Description = @"Mean reversion strategy based on the IBS and RSI indicators";
+                Calculate = Calculate.OnBarClose;
+                EntriesPerDirection = 1;
+
+                RSIPeriod = 21;
+                IBSThreshold = 0.25;
+                RSIThreshold = 45.0;
+            }
+            else if (State == State.DataLoaded)
+            {
+                ibs = InternalBarStrength();
+                rsi = RSI(RSIPeriod, 1);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (CurrentBar < 21)
+                return;
+
+            if (ibs[0] < IBSThreshold && rsi[0] < RSIThreshold)
+                EnterLong();
+
+            if (Position.MarketPosition == MarketPosition.Long && Close[0] > Close[1])
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Period", GroupName = "IBS + RSI", Order = 1)]
+        public int RSIPeriod { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "IBS Threshold", GroupName = "IBS + RSI", Order = 2)]
+        public double IBSThreshold { get; set; }
+
+        [NinjaScriptProperty]
+        [Display(Name = "RSI Threshold", GroupName = "IBS + RSI", Order = 3)]
+        public double RSIThreshold { get; set; }
+    }
+}