123 lines
4.3 KiB
C#
123 lines
4.3 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 VIXStretchesBot : Strategy
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{
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private const int VIXBars = 1;
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private SMA longTermTrend;
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private SMA vixMovingAverage;
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private RSI rsi;
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private int vixStretchDays;
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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 = @"Taken from chapter 12 of Short Term Trading Strategies That Work";
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Name = "VIX Stretches 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 = true;
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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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LongTermTrendPeriod = 200;
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VIXMovingAveragePeriod = 10;
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VIXThresholdPercentage = 5.0;
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VIXStretchDaysThreshold = 3;
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RSIPeriod = 2;
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RSISmoothing = 1;
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RSIExitThreshold = 65;
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}
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else if (State == State.Configure)
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{
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AddDataSeries("^VIX");
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vixStretchDays = 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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vixMovingAverage = SMA(BarsArray[VIXBars], VIXMovingAveragePeriod);
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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 (BarsInProgress != 0)
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return;
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if (CurrentBars[VIXBars] < 0)
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return;
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if (CurrentBar < BarsRequiredToTrade)
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return;
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double upperThreshold = vixMovingAverage[0] * (1 + VIXThresholdPercentage / 100.0);
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if (Closes[VIXBars][0] >= upperThreshold)
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vixStretchDays++;
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else
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vixStretchDays = 0;
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if (Close[0] > longTermTrend[0] && vixStretchDays >= VIXStretchDaysThreshold)
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EnterLong();
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if (Position.MarketPosition == MarketPosition.Long && 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 = "VIX Stretches Bot", Order = 1)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "VIX Moving Average Period", GroupName = "VIX Stretches Bot", Order = 2)]
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public int VIXMovingAveragePeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "VIX Threshold Percentage", GroupName = "VIX Stretches Bot", Order = 3)]
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public double VIXThresholdPercentage { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "VIX Stretch Days", GroupName = "VIX Stretches Bot", Order = 4)]
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public int VIXStretchDaysThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Period", GroupName = "VIX Stretches Bot", Order = 5)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Smoothing", GroupName = "VIX Stretches Bot", Order = 6)]
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public int RSISmoothing { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Exit Threshold", GroupName = "VIX Stretches Bot", Order = 7)]
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public int RSIExitThreshold { get; set; }
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}
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}
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