116 lines
4.0 KiB
C#
116 lines
4.0 KiB
C#
#region Using declarations
|
|
using NinjaTrader.Cbi;
|
|
using NinjaTrader.NinjaScript.Indicators;
|
|
using System;
|
|
using System.ComponentModel.DataAnnotations;
|
|
#endregion
|
|
|
|
//This namespace holds Strategies in this folder and is required. Do not change it.
|
|
namespace NinjaTrader.NinjaScript.Strategies
|
|
{
|
|
public class PairsTradingBot : Strategy
|
|
{
|
|
private const int FirstSymbolBars = 0;
|
|
private const int SecondSymbolBars = 1;
|
|
|
|
private const double EntryZScore = 2.0;
|
|
private const double ExitZScore = 0.5;
|
|
|
|
private double spread;
|
|
private double meanSpread;
|
|
private double stdDevSpread;
|
|
private Series<double> spreadSeries;
|
|
|
|
protected override void OnStateChange()
|
|
{
|
|
if (State == State.SetDefaults)
|
|
{
|
|
Description = @"Simple pairs trading strategy";
|
|
Name = "Pairs Trading Bot";
|
|
Calculate = Calculate.OnBarClose;
|
|
EntriesPerDirection = 1;
|
|
EntryHandling = EntryHandling.AllEntries;
|
|
IsExitOnSessionCloseStrategy = true;
|
|
ExitOnSessionCloseSeconds = 30;
|
|
IsFillLimitOnTouch = false;
|
|
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
|
|
OrderFillResolution = OrderFillResolution.Standard;
|
|
Slippage = 0;
|
|
StartBehavior = StartBehavior.WaitUntilFlat;
|
|
TimeInForce = TimeInForce.Gtc;
|
|
TraceOrders = false;
|
|
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
|
|
StopTargetHandling = StopTargetHandling.PerEntryExecution;
|
|
BarsRequiredToTrade = 20;
|
|
IsInstantiatedOnEachOptimizationIteration = true;
|
|
|
|
SecondSymbol = "AAPL";
|
|
LookbackPeriod = 20;
|
|
}
|
|
else if (State == State.Configure)
|
|
{
|
|
// First symbol in the pair is the primary data series.
|
|
AddDataSeries(SecondSymbol, BarsPeriod);
|
|
}
|
|
else if (State == State.DataLoaded)
|
|
{
|
|
spreadSeries = new Series<double>(this);
|
|
}
|
|
}
|
|
|
|
protected override void OnBarUpdate()
|
|
{
|
|
if (BarsInProgress != 0)
|
|
return;
|
|
|
|
double instrument1Price = Closes[FirstSymbolBars][0];
|
|
double instrument2Price = Closes[SecondSymbolBars][0];
|
|
|
|
spread = instrument1Price - instrument2Price;
|
|
spreadSeries[0] = spread;
|
|
|
|
if (CurrentBar < LookbackPeriod)
|
|
return;
|
|
|
|
meanSpread = SMA(spreadSeries, LookbackPeriod)[0];
|
|
stdDevSpread = StdDev(spreadSeries, LookbackPeriod)[0];
|
|
|
|
double zScore = (spread - meanSpread) / stdDevSpread;
|
|
|
|
if (zScore > EntryZScore)
|
|
{
|
|
if (Position.MarketPosition != MarketPosition.Short)
|
|
{
|
|
EnterShort(FirstSymbolBars, 1, "Symbol 1 Short");
|
|
EnterLong(SecondSymbolBars, 1, "Symbol 2 Short");
|
|
}
|
|
}
|
|
else if (zScore < -EntryZScore)
|
|
{
|
|
if (Position.MarketPosition != MarketPosition.Long)
|
|
{
|
|
EnterLong(FirstSymbolBars, 1, "Symbol 1 Long");
|
|
EnterShort(SecondSymbolBars, 1, "Symbol 2 Long");
|
|
}
|
|
}
|
|
else if (Math.Abs(zScore) < ExitZScore)
|
|
{
|
|
ExitLong();
|
|
ExitShort();
|
|
}
|
|
}
|
|
|
|
public override string DisplayName
|
|
{
|
|
get { return Name; }
|
|
}
|
|
|
|
[Display(Name = "Second Symbol", GroupName = "Pairs Trading Bot", Order = 1)]
|
|
public string SecondSymbol { get; set; }
|
|
|
|
[Range(1, int.MaxValue), NinjaScriptProperty]
|
|
[Display(Name = "Lookback Period", GroupName = "Pairs Trading Bot", Order = 2)]
|
|
public int LookbackPeriod { get; set; }
|
|
}
|
|
}
|