117 lines
4.1 KiB
C#
117 lines
4.1 KiB
C#
#region Using declarations
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using System;
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using System.ComponentModel.DataAnnotations;
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using NinjaTrader.Cbi;
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using NinjaTrader.NinjaScript.Indicators;
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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 RandomBotRSI : Strategy
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{
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private Random RNG = new Random();
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private ATR atr;
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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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Description = @"Randomly places trades based on the current RSI value";
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Name = "Random Bot (RSI)";
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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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PercentageChanceToEnterTrade = 25;
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RSIPeriod = 14;
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RSISmoothing = 3;
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ATRPeriod = 14;
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ATRMultiplier = 2;
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}
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else if (State == State.DataLoaded)
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{
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RNG = new Random();
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atr = ATR(ATRPeriod);
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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 (CurrentBar < BarsRequiredToTrade)
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return;
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if (Position.MarketPosition != MarketPosition.Flat)
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return;
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if (ShouldEnterTrade())
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{
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double atrValue = atr[0];
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double stopLoss = ATRMultiplier * atrValue;
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double profitTarget = ATRMultiplier * atrValue;
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if (rsi[0] > 80.0)
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{
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EnterLong();
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SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
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SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
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}
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else if (rsi[0] < 20.0)
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{
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EnterShort();
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SetStopLoss(CalculationMode.Ticks, stopLoss / TickSize);
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SetProfitTarget(CalculationMode.Ticks, profitTarget / TickSize);
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}
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}
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}
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private bool ShouldEnterTrade()
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{
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return RNG.Next(100) < PercentageChanceToEnterTrade;
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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, 100), NinjaScriptProperty]
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[Display(Name = "Percentage Chance to Enter Trade", GroupName = "Random Bot (RSI)", Order = 1)]
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public int PercentageChanceToEnterTrade { get; set; }
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "RSI Period", GroupName = "Random Bot (RSI)", 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 = "RSI Smoothing", GroupName = "Random Bot (RSI)", Order = 3)]
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public int RSISmoothing { get; set; }
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[Range(1, int.MaxValue), NinjaScriptProperty]
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[Display(Name = "ATR Period", GroupName = "Random Bot (RSI)", Order = 4)]
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public int ATRPeriod { get; set; }
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[Range(0.1, double.MaxValue), NinjaScriptProperty]
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[Display(Name = "ATR Multiplier", GroupName = "Random Bot (RSI)", Order = 5)]
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public double ATRMultiplier { get; set; }
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}
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}
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