From f8f19c6a43ec2ad89151a748ab3993fe2db0328b Mon Sep 17 00:00:00 2001
From: moshferatu <moshferatu@moshferatu.dev>
Date: Sun, 30 Jun 2024 05:53:18 -0700
Subject: [PATCH] Initial commit of simple mean reversion bot

---
 strategies/MeanReversionBot.cs | 89 ++++++++++++++++++++++++++++++++++
 1 file changed, 89 insertions(+)
 create mode 100644 strategies/MeanReversionBot.cs

diff --git a/strategies/MeanReversionBot.cs b/strategies/MeanReversionBot.cs
new file mode 100644
index 0000000..f29b04c
--- /dev/null
+++ b/strategies/MeanReversionBot.cs
@@ -0,0 +1,89 @@
+#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; }
+    }
+}