#region Using declarations
using NinjaTrader.NinjaScript.Indicators;
using System.ComponentModel.DataAnnotations;
#endregion

namespace NinjaTrader.NinjaScript.Strategies
{
    public class VIXBelowMovingAverage : Strategy
    {
        private const int PrimaryBars = 0;
        private const int VIXBars = 1;

        private SMA ShortTermTrend;
        private SMA LongTermTrend;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "VIX Below Moving Average";
                Description = @"Based on chatper 10 of How Markets Really Work (2012) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;

                MovingAveragePeriod = 10;
                LongTermTrendPeriod = 200;
                PercentAbove = 10;
                DaysToExit = 5;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("^VIX");
            }
            else if (State == State.DataLoaded)
            {
                ShortTermTrend = SMA(Closes[VIXBars], MovingAveragePeriod);
                LongTermTrend = SMA(LongTermTrendPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (PrimaryBars != BarsInProgress || CurrentBar < MovingAveragePeriod)
                return;

            if (Close[0] > LongTermTrend[0] && Closes[VIXBars][0] < ShortTermTrend[0] * (1 + PercentAbove / 100))
                EnterLong();

            if (BarsSinceEntryExecution(PrimaryBars, "", 0) >= DaysToExit)
                ExitLong();
        }

        public override string DisplayName
        {
            get { return Name; }
        }

        [NinjaScriptProperty]
        [Display(Name = "Moving Average Period", GroupName = "VIX Below Moving Average", Order = 1)]
        public int MovingAveragePeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Long-Term Trend Period", GroupName = "VIX Below Moving Average", Order = 2)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Percent Above", GroupName = "VIX Below Moving Average", Order = 3)]
        public double PercentAbove { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Days to Exit", GroupName = "VIX Below Moving Average", Order = 4)]
        public int DaysToExit { get; set; }
    }
}