90 lines
3.0 KiB
C#
90 lines
3.0 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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//This namespace holds Strategies in this folder and is required. Do not change it.
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namespace NinjaTrader.NinjaScript.Strategies
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{
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public class MeanReversionBot : Strategy
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{
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private SMA fastMA;
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private SMA slowMA;
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private StdDev stdDev;
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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 = @"Mean reversion strategy based on standard deviations from a moving average";
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Name = "Mean Reversion 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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FastPeriod = 10;
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SlowPeriod = 100;
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}
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else if (State == State.DataLoaded)
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{
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fastMA = SMA(FastPeriod);
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slowMA = SMA(SlowPeriod);
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stdDev = StdDev(FastPeriod);
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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 < SlowPeriod)
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return;
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double zScore = (Close[0] - fastMA[0]) / stdDev[0];
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// Exits
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if (zScore > -0.5 && zScore < 0.5)
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{
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if (Position.MarketPosition == MarketPosition.Long)
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ExitLong();
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else if (Position.MarketPosition == MarketPosition.Short)
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ExitShort();
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}
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if (Position.MarketPosition != MarketPosition.Flat)
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return;
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// Entries
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if (zScore < -1 && fastMA[0] > slowMA[0])
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EnterLong();
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else if (zScore > 1 && fastMA[0] < slowMA[0])
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EnterShort();
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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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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "Fast Period", Order = 1, GroupName = "Mean Reversion Bot")]
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public int FastPeriod { get; set; }
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "Slow Period", Order = 2, GroupName = "Mean Reversion Bot")]
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public int SlowPeriod { get; set; }
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}
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}
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