83 lines
2.9 KiB
C#
83 lines
2.9 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 VolPanicsBot : Strategy
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{
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private SMA movingAverage;
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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 5 of Buy the Fear, Sell the Greed (2018) by Larry Connors";
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Name = "Vol Panics 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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IsInstantiatedOnEachOptimizationIteration = true;
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MovingAveragePeriod = 5;
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RSIPeriod = 4;
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RSISmoothing = 1;
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EntryThreshold = 70;
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}
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else if (State == State.DataLoaded)
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{
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movingAverage = SMA(MovingAveragePeriod);
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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(MovingAveragePeriod, RSIPeriod))
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return;
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if (Close[0] > movingAverage[0] && rsi[0] > EntryThreshold)
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EnterShort();
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if (Position.MarketPosition == MarketPosition.Short && Close[0] < movingAverage[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 = "Moving Average Period", GroupName = "Vol Panics Bot", Order = 1)]
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public int MovingAveragePeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Period", GroupName = "Vol Panics Bot", Order = 2)]
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public int RSIPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Smoothing", GroupName = "Vol Panics Bot", Order = 3)]
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public int RSISmoothing { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "RSI Entry Threshold", GroupName = "Vol Panics Bot", Order = 4)]
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public int EntryThreshold { get; set; }
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}
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}
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