126 lines
4.6 KiB
C#
126 lines
4.6 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;
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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 TwoPeriodRSI : Strategy
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{
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private SMA longTermTrend;
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private SMA shortTermTrend;
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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 = @"Taken from chapter 9 of Short Term Trading Strategies That Work";
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Name = "2 Period 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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IsInstantiatedOnEachOptimizationIteration = true;
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RSIPeriod = 2;
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RSISmoothing = 1;
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LongEntryThreshold = 5;
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ShortEntryThreshold = 95;
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LongTermTrendPeriod = 200;
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ShortTermTrendPeriod = 5;
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UseFixedPositionSizing = false;
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FixedPositionSize = 10000;
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LongOnly = false;
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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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shortTermTrend = SMA(ShortTermTrendPeriod);
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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 < Math.Max(LongTermTrendPeriod, ShortTermTrendPeriod))
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return;
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int quantity;
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if (UseFixedPositionSizing)
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quantity = (int)Math.Floor(FixedPositionSize / Close[0]);
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else
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quantity = 1;
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if (Close[0] > longTermTrend[0] && rsi[0] < LongEntryThreshold)
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{
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if (Position.MarketPosition != MarketPosition.Long)
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EnterLong(quantity);
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}
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else if (Close[0] < longTermTrend[0] && rsi[0] > ShortEntryThreshold && !LongOnly)
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{
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if (Position.MarketPosition != MarketPosition.Short)
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EnterShort(quantity);
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}
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if (Position.MarketPosition == MarketPosition.Long && Close[0] > shortTermTrend[0])
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ExitLong();
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else if (Position.MarketPosition == MarketPosition.Short && Close[0] < shortTermTrend[0])
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ExitShort();
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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 = "RSI Period", GroupName = "2 Period RSI", Order = 1)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Smoothing", GroupName = "2 Period RSI", Order = 2)]
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public int RSISmoothing { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long Entry Threshold", GroupName = "2 Period RSI", Order = 3)]
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public int LongEntryThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Short Entry Threshold", GroupName = "2 Period RSI", Order = 4)]
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public int ShortEntryThreshold { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long Term Trend Period", GroupName = "2 Period RSI", Order = 5)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Short Term Trend Period", GroupName = "2 Period RSI", Order = 6)]
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public int ShortTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Use Fixed Position Sizing", GroupName = "2 Period RSI", Order = 7)]
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public bool UseFixedPositionSizing { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Fixed Position Size", GroupName = "2 Period RSI", Order = 8)]
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public int FixedPositionSize { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long Only", GroupName = "2 Period RSI", Order = 9)]
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public bool LongOnly { get; set; }
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}
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}
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