ninjatrader/strategies/r3/R3Bot.cs

#region Using declarations
using NinjaTrader.Cbi;
using NinjaTrader.NinjaScript.Indicators;
using System;
using System.ComponentModel.DataAnnotations;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    public class R3Bot : Strategy
    {
        private SMA longTermTrend;
        private RSI rsi;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Taken from chapter 4 of High Probability ETF Trading (2009) by Larry Connors";
                Name = "R3 Bot";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 2;

                LongTermTrendPeriod = 200;
                RSIPeriod = 2;
                RSISmoothing = 1;
                ConsecutiveDays = 3;
                EnableLongTrades = true;
                LongFirstDayRSI = 60.0;
                LongRSIEntry = 10.0;
                LongRSIExit = 70.0;
                EnableShortTrades = true;
                ShortFirstDayRSI = 40.0;
                ShortRSIEntry = 90.0;
                ShortRSIExit = 30.0;
                EnableAggressiveEntries = true;
            }
            else if (State == State.DataLoaded)
            {
                longTermTrend = SMA(LongTermTrendPeriod);
                rsi = RSI(RSIPeriod, RSISmoothing);

                AddChartIndicator(longTermTrend);
                AddChartIndicator(rsi);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < Math.Max(LongTermTrendPeriod, ConsecutiveDays))
                return;

            if (EnableLongTrades)
            {
                if (Position.MarketPosition == MarketPosition.Long && rsi[0] > LongRSIExit)
                    ExitLong();
                else if (Close[0] > longTermTrend[0])
                {
                    if (ConsecutiveRSIDrop(ConsecutiveDays) && rsi[ConsecutiveDays - 1] < LongFirstDayRSI)
                    {
                        if (rsi[0] < LongRSIEntry)
                        {
                            if (Position.MarketPosition == MarketPosition.Flat)
                                EnterLong();
                        }
                    }

                    if (EnableAggressiveEntries && Position.MarketPosition == MarketPosition.Long && Close[0] < Position.AveragePrice)
                        EnterLong();
                }
            }

            if (EnableShortTrades)
            {
                if (Position.MarketPosition == MarketPosition.Short && rsi[0] < ShortRSIExit)
                    ExitShort();
                else if (Close[0] < longTermTrend[0])
                {
                    if (ConsecutiveRSIRise(ConsecutiveDays) && rsi[ConsecutiveDays - 1] > ShortFirstDayRSI)
                    {
                        if (rsi[0] > ShortRSIEntry)
                        {
                            if (Position.MarketPosition == MarketPosition.Flat)
                                EnterShort();
                        }
                    }

                    if (EnableAggressiveEntries && Position.MarketPosition == MarketPosition.Short && Close[0] > Position.AveragePrice)
                        EnterShort();
                }
            }
        }

        private bool ConsecutiveRSIDrop(int days)
        {
            for (int i = 0; i < days - 1; i++)
            {
                if (rsi[i] >= rsi[i + 1])
                    return false;
            }
            return true;
        }

        private bool ConsecutiveRSIRise(int days)
        {
            for (int i = 0; i < days - 1; i++)
            {
                if (rsi[i] <= rsi[i + 1])
                    return false;
            }
            return true;
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        #region Properties

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Long-Term Trend Period", GroupName = "R3 Bot", Order = 1)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "RSI Period", GroupName = "R3 Bot", Order = 2)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "RSI Smoothing", GroupName = "R3 Bot", Order = 3)]
        public int RSISmoothing { get; set; }

        [NinjaScriptProperty]
        [Range(1, int.MaxValue)]
        [Display(Name = "Consecutive Days", GroupName = "R3 Bot", Order = 4)]
        public int ConsecutiveDays { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Long Trades", GroupName = "R3 Bot", Order = 5)]
        public bool EnableLongTrades { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "Long First Day RSI", GroupName = "R3 Bot", Order = 6)]
        public double LongFirstDayRSI { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "Long RSI Entry", GroupName = "R3 Bot", Order = 7)]
        public double LongRSIEntry { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "Long RSI Exit", GroupName = "R3 Bot", Order = 8)]
        public double LongRSIExit { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Short Trades", GroupName = "R3 Bot", Order = 9)]
        public bool EnableShortTrades { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "Short First Day RSI", GroupName = "R3 Bot", Order = 10)]
        public double ShortFirstDayRSI { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "Short RSI Entry", GroupName = "R3 Bot", Order = 11)]
        public double ShortRSIEntry { get; set; }

        [NinjaScriptProperty]
        [Range(0.0, 100.0)]
        [Display(Name = "Short RSI Exit", GroupName = "R3 Bot", Order = 12)]
        public double ShortRSIExit { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Enable Aggressive Entries", GroupName = "R3 Bot", Order = 13)]
        public bool EnableAggressiveEntries { get; set; }

        #endregion
    }
}