85 lines
2.9 KiB
C#
85 lines
2.9 KiB
C#
#region Using declarations
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using NinjaTrader.Cbi;
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using NinjaTrader.NinjaScript.Indicators;
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using System.ComponentModel.DataAnnotations;
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#endregion
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class RSIDivergenceBot : Strategy
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{
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private RSI rsi;
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protected override void OnStateChange()
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{
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if (State == State.SetDefaults)
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{
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Description = @"Simple strategy based on RSI divergence";
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Name = "RSI Divergence Bot";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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EntryHandling = EntryHandling.AllEntries;
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IsExitOnSessionCloseStrategy = false;
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ExitOnSessionCloseSeconds = 30;
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IsFillLimitOnTouch = false;
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MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
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OrderFillResolution = OrderFillResolution.Standard;
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Slippage = 0;
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StartBehavior = StartBehavior.WaitUntilFlat;
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TimeInForce = TimeInForce.Gtc;
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TraceOrders = false;
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RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
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StopTargetHandling = StopTargetHandling.PerEntryExecution;
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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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RSIPeriod = 14;
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RSISmoothing = 3;
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DivergencePeriod = 5;
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ExitThreshold = 70;
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}
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else if (State == State.DataLoaded)
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{
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rsi = RSI(RSIPeriod, RSISmoothing);
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}
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}
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protected override void OnBarUpdate()
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{
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if (CurrentBar < DivergencePeriod)
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return;
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if (rsi[0] > rsi[DivergencePeriod] && Close[0] < Close[DivergencePeriod])
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EnterLong();
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if (Position.MarketPosition == MarketPosition.Long && rsi[0] > ExitThreshold)
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ExitLong();
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}
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public override string DisplayName
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{
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get { return Name; }
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}
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "RSI Period", GroupName = "RSI Divergence Bot", Order = 1)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "RSI Smoothing", GroupName = "RSI Divergence Bot", Order = 2)]
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public int RSISmoothing { get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Divergence Period", GroupName = "RSI Divergence Bot", Order = 3)]
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public int DivergencePeriod { get; set; }
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[NinjaScriptProperty]
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[Range(0.1, 100)]
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[Display(Name = "Exit Threshold", GroupName = "RSI Divergence Bot", Order = 4)]
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public double ExitThreshold { get; set; }
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}
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}
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