Add VIX 5% Bot, taken from Chapter 5 of Short Term Trading Strategies That Work

2024-07-21 05:53:36 -07:00 · 2024-07-21 05:53:36 -07:00 · fb5a073eac
commit fb5a073eac
parent bdac441f1e
1 changed files with 82 additions and 0 deletions
--- a/strategies/VIXFivePercentBot.cs
+++ b/strategies/VIXFivePercentBot.cs
@ -0,0 +1,82 @@
+#region Using declarations
+using NinjaTrader.Cbi;
+using NinjaTrader.NinjaScript.Indicators;
+using System.ComponentModel.DataAnnotations;
+#endregion
+
+namespace NinjaTrader.NinjaScript.Strategies
+{
+    public class VIXFivePercentBot : Strategy
+    {
+        private const int VIXBars = 1;
+        
+        private SMA movingAverage;
+        
+        protected override void OnStateChange()
+        {
+            if (State == State.SetDefaults)
+            {
+                Description = @"Taken from chapter 5 of Short Term Trading Strategies That Work";
+                Name = "VIX 5% 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;
+
+                MovingAveragePeriod = 10;
+            }
+            else if (State == State.Configure)
+            {
+                AddDataSeries("^VIX");
+            }
+            else if (State == State.DataLoaded)
+            {
+                movingAverage = SMA(BarsArray[VIXBars], MovingAveragePeriod);
+            }
+        }
+
+        protected override void OnBarUpdate()
+        {
+            if (BarsInProgress != 0)
+                return;
+
+            if (CurrentBars[VIXBars] < 0)
+                return;
+
+            if (CurrentBar < BarsRequiredToTrade)
+                return;
+
+            double upperThreshold = movingAverage[0] * 1.05;
+            double lowerThreshold = movingAverage[0] * 0.95;
+
+            // Entry condition: If VIX is 5% or more above its 10-day moving average.
+            if (Closes[VIXBars][0] >= upperThreshold)
+                EnterLong();
+
+            // Exit condition: If VIX is 5% or more below its 10-day moving average.
+            if (Position.MarketPosition == MarketPosition.Long && Closes[VIXBars][0] <= lowerThreshold)
+                ExitLong();
+        }
+
+        public override string DisplayName
+        {
+            get { return Name; }
+        }
+
+        [NinjaScriptProperty]
+        [Display(Name = "Moving Average Period", GroupName = "VIX 5% Bot", Order = 1)]
+        public int MovingAveragePeriod { get; set; }
+    }
+}