74 lines
2.4 KiB
C#
74 lines
2.4 KiB
C#
#region Using declarations
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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 ConnorsVIXReversal1 : Strategy
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{
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private const int PrimaryBars = 0;
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private const int VIXBars = 1;
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private MAX ShortTermHighs;
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private SMA LongTermTrend;
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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 = @"Take from Chapter 2 of Connors on Advanced Trading Strategies (1998) by Larry Connors";
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Name = "Connors VIX Reversal 1";
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Calculate = Calculate.OnBarClose;
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EntriesPerDirection = 1;
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ShortTermHighPeriod = 15;
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LongTermTrendPeriod = 200;
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DaysToExit = 3;
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}
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else if (State == State.Configure)
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{
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AddDataSeries("^VIX");
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}
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else if (State == State.DataLoaded)
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{
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ShortTermHighs = MAX(Highs[VIXBars], ShortTermHighPeriod);
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LongTermTrend = SMA(LongTermTrendPeriod);
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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 (PrimaryBars != BarsInProgress)
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return;
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if (CurrentBar < Math.Max(LongTermTrendPeriod, ShortTermHighPeriod))
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return;
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if (Highs[VIXBars][0] == ShortTermHighs[0] && Closes[VIXBars][0] < Opens[VIXBars][0] && Close[0] > LongTermTrend[0])
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EnterLong();
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if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
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ExitLong();
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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 = "Short-Term High Period", GroupName = "Connors VIX Reversal 1 Bot", Order = 1)]
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public int ShortTermHighPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Long-Term Trend Period", GroupName = "Connors VIX Reversal 1 Bot", Order = 2)]
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public int LongTermTrendPeriod { get; set; }
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[NinjaScriptProperty]
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[Display(Name = "Days to Exit", GroupName = "Connors VIX Reversal 1 Bot", Order = 3)]
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public int DaysToExit { get; set; }
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}
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}
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