106 lines
3.1 KiB
C#
106 lines
3.1 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;
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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 TripleRSIDrop : Strategy
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{
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private SMA longTermTrend;
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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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Name = "Triple RSI Drop";
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Description = @"Similar to R3, credit to Larry Connors";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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LongTermTrendPeriod = 200;
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RSIPeriod = 5;
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ConsecutiveDays = 3;
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FirstDayRSI = 60.0;
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RSIEntry = 30.0;
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RSIExit = 50.0;
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}
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else if (State == State.DataLoaded)
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{
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longTermTrend = SMA(LongTermTrendPeriod);
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rsi = RSI(RSIPeriod, 1);
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AddChartIndicator(longTermTrend);
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AddChartIndicator(rsi);
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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 < Math.Max(LongTermTrendPeriod, ConsecutiveDays))
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return;
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if (Close[0] > longTermTrend[0])
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{
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if (RSIDrop(ConsecutiveDays) && rsi[ConsecutiveDays - 1] < FirstDayRSI && rsi[0] < RSIEntry)
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EnterLong();
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}
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if (Position.MarketPosition == MarketPosition.Long && rsi[0] > RSIExit)
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ExitLong();
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}
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private bool RSIDrop(int days)
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{
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for (int i = 0; i < days - 1; i++)
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{
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if (rsi[i] >= rsi[i + 1])
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return false;
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}
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return true;
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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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#region Properties
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "Long-Term Trend Period", GroupName = "Triple RSI Bot", Order = 1)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Range(1, int.MaxValue)]
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[Display(Name = "RSI Period", GroupName = "Triple RSI Bot", Order = 2)]
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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 = "Consecutive Days", GroupName = "Triple RSI Bot", Order = 3)]
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public int ConsecutiveDays { get; set; }
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[NinjaScriptProperty]
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[Range(0.0, 100.0)]
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[Display(Name = "First Day RSI", GroupName = "Triple RSI Bot", Order = 4)]
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public double FirstDayRSI { get; set; }
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[NinjaScriptProperty]
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[Range(0.0, 100.0)]
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[Display(Name = "RSI Entry", GroupName = "Triple RSI Bot", Order = 5)]
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public double RSIEntry { get; set; }
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[NinjaScriptProperty]
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[Range(0.0, 100.0)]
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[Display(Name = "RSI Exit", GroupName = "Triple RSI Bot", Order = 6)]
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public double RSIExit { get; set; }
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#endregion
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}
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}
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