66 lines
2.0 KiB
C#
66 lines
2.0 KiB
C#
#region Using declarations
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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 ConnorsVIXReversal3 : Strategy
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{
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private const int PrimaryBars = 0;
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private const int VIXBars = 1;
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private SMA ShortTermTrend;
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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 = "Connors VIX Reversal 3";
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Description = @"Take from Chapter 2 of Connors on Advanced Trading Strategies (1998) by Larry Connors";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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ShortTermTrendPeriod = 50;
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PercentAbove = 10;
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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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}
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else if (State == State.DataLoaded)
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{
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ShortTermTrend = SMA(Closes[VIXBars], ShortTermTrendPeriod);
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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 (PrimaryBars != BarsInProgress)
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return;
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if (CurrentBar < ShortTermTrendPeriod)
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return;
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if (Lows[VIXBars][0] > ShortTermTrend[0] && Closes[VIXBars][0] >= ShortTermTrend[0] * (1 + PercentAbove / 100))
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EnterLong();
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if (Lows[VIXBars][0] < ShortTermTrend[1])
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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 = "Short-Term Trend Period", GroupName = "Connors VIX Reversal 3 Bot", Order = 1)]
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public int ShortTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Percent Above", GroupName = "Connors VIX Reversal 3 Bot", Order = 2)]
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public double PercentAbove{ get; set; }
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}
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}
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