100 lines
3.1 KiB
C#
100 lines
3.1 KiB
C#
#region Using declarations
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using NinjaTrader.Data;
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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 TRINBot : Strategy
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{
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private RSI rsi;
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private SMA longTermTrend;
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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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Name = "TRIN Bot";
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Description = @"Taken from chapter 12 of Short Term Trading Strategies That Work";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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LongTermTrendPeriod = 200;
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RSIPeriod = 2;
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RSISmoothing = 1;
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RSIEntryThreshold = 50;
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RSIExitThreshold = 65;
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TRINEntryThreshold = 1.0;
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DaysAboveThreshold = 3;
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}
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else if (State == State.Configure)
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{
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AddDataSeries("^TRIN", BarsPeriodType.Day, 1);
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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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longTermTrend = SMA(LongTermTrendPeriod);
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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 (BarsInProgress != 0)
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return;
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if (CurrentBar < LongTermTrendPeriod || CurrentBars[1] < DaysAboveThreshold)
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return;
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if (Close[0] > longTermTrend[0] && rsi[0] < RSIEntryThreshold)
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{
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for (int i = 0; i < DaysAboveThreshold; i++)
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{
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if (Closes[1][i] <= TRINEntryThreshold)
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return;
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}
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EnterLong();
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}
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else if (rsi[0] > RSIExitThreshold)
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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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[Display(Name = "Long-Term Trend Period", GroupName = "TRIN Bot", Order = 1)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Period", GroupName = "TRIN Bot", Order = 2)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Smoothing", GroupName = "TRIN Bot", Order = 3)]
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public int RSISmoothing { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Entry Threshold", GroupName = "TRIN Bot", Order = 4)]
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public int RSIEntryThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Exit Threshold", GroupName = "TRIN Bot", Order = 5)]
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public int RSIExitThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "TRIN Entry Threshold", GroupName = "TRIN Bot", Order = 6)]
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public double TRINEntryThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Days Above Threshold", GroupName = "TRIN Bot", Order = 7)]
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public int DaysAboveThreshold { get; set; }
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}
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}
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