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Initial commit of simple mean reversion bot

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moshferatu 2024-06-30 05:53:18 -07:00
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commit f8f19c6a43
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strategies/MeanReversionBot.cs Normal file
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#region Using declarations
using NinjaTrader.Cbi;
using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations;
#endregion
//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
public class MeanReversionBot : Strategy
{
private SMA fastMA;
private SMA slowMA;
private StdDev stdDev;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Mean reversion strategy based on standard deviations from a moving average";
Name = "Mean Reversion 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;
FastPeriod = 10;
SlowPeriod = 100;
}
else if (State == State.DataLoaded)
{
fastMA = SMA(FastPeriod);
slowMA = SMA(SlowPeriod);
stdDev = StdDev(FastPeriod);
}
}
protected override void OnBarUpdate()
{
if (CurrentBar < SlowPeriod)
return;
double zScore = (Close[0] - fastMA[0]) / stdDev[0];
// Exits
if (zScore > -0.5 && zScore < 0.5)
{
if (Position.MarketPosition == MarketPosition.Long)
ExitLong();
else if (Position.MarketPosition == MarketPosition.Short)
ExitShort();
}
if (Position.MarketPosition != MarketPosition.Flat)
return;
// Entries
if (zScore < -1 && fastMA[0] > slowMA[0])
EnterLong();
else if (zScore > 1 && fastMA[0] < slowMA[0])
EnterShort();
}
public override string DisplayName
{
get { return Name; }
}
[Range(1, int.MaxValue), NinjaScriptProperty]
[Display(Name = "Fast Period", Order = 1, GroupName = "Mean Reversion Bot")]
public int FastPeriod { get; set; }
[Range(1, int.MaxValue), NinjaScriptProperty]
[Display(Name = "Slow Period", Order = 2, GroupName = "Mean Reversion Bot")]
public int SlowPeriod { get; set; }
}
}