103 lines
4.1 KiB
C#
103 lines
4.1 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 CumulativeRSIBot : Strategy
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{
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private CumulativeRSI cumulativeRSI;
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private RSI rsi;
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private SMA sma;
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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 = @"Credit to Larry Connors and his book Short Term Trading Strategies That Work";
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Name = "Cumulative RSI 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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BarsRequiredToTrade = 20;
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IsInstantiatedOnEachOptimizationIteration = true;
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RSIPeriod = 2;
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RSISmoothing = 1;
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CumulativeRSIPeriod = 2;
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CumulativePeriod = 2;
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SMAPeriod = 200;
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EntryThreshold = 35;
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ExitThreshold = 65;
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}
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else if (State == State.DataLoaded)
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{
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cumulativeRSI = CumulativeRSI(CumulativeRSIPeriod, CumulativePeriod);
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rsi = RSI(RSIPeriod, RSISmoothing);
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sma = SMA(SMAPeriod);
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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(SMAPeriod, Math.Max(RSIPeriod, CumulativePeriod)))
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return;
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if (Close[0] > sma[0] && cumulativeRSI[0] < EntryThreshold)
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EnterLong();
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if (rsi[0] > ExitThreshold && Position.MarketPosition == MarketPosition.Long)
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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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#region Properties
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[Range(1, int.MaxValue)]
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[Display(Name = "RSI Period", Description = "The period for the RSI calculation", Order = 1, GroupName = "Cumulative RSI Bot")]
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public int RSIPeriod { get; set; }
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[Range(1, int.MaxValue)]
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[Display(Name = "RSI Smoothing", Description = "The smoothing period for the RSI calculation", Order = 2, GroupName = "Cumulative RSI Bot")]
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public int RSISmoothing { get; set; }
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[Range(1, int.MaxValue)]
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[Display(Name = "Cumulative RSI Period", Description = "The period for the cumulative RSI calculation", Order = 3, GroupName = "Cumulative RSI Bot")]
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public int CumulativeRSIPeriod { get; set; }
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[Range(1, int.MaxValue)]
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[Display(Name = "Cumulative Period", Description = "The number of RSI values to add together", Order = 4, GroupName = "Cumulative RSI Bot")]
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public int CumulativePeriod { get; set; }
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[Range(1, int.MaxValue)]
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[Display(Name = "SMA Period", Description = "The period for the moving average", Order = 5, GroupName = "Cumulative RSI Bot")]
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public int SMAPeriod { get; set; }
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[Range(1, 100)]
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[Display(Name = "Entry Threshold", Description = "The cumulative RSI threshold for entering a long position", Order = 6, GroupName = "Cumulative RSI Bot")]
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public int EntryThreshold { get; set; }
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[Range(1, 100)]
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[Display(Name = "Exit Threshold", Description = "The RSI threshold for exiting a long position", Order = 7, GroupName = "Cumulative RSI Bot")]
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public int ExitThreshold { get; set; }
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#endregion
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}
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}
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