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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class TradingNewHighs : Strategy
    {
        private const int FiftyTwoWeeksInDays = 252;

        private ConnorsRSI connorsRSI;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "Trading New Highs";
                Description = @"Taken from chapter 7 of Buy the Fear, Sell the Greed (2018) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;

                MaxDaysSinceHigh = 20;
                RSIPeriod = 3;
                StreakRSIPeriod = 2;
                PercentRankPeriod = 100;
                EntryThreshold = 15;
                ExitThreshold = 70;
            }
            else if (State == State.DataLoaded)
            {
                connorsRSI = ConnorsRSI(RSIPeriod, StreakRSIPeriod, PercentRankPeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (CurrentBar < FiftyTwoWeeksInDays)
                return;

            int barsAgo52WeekHigh = HighestBar(Highs[0], FiftyTwoWeeksInDays);
            if (barsAgo52WeekHigh <= MaxDaysSinceHigh && connorsRSI[0] < EntryThreshold)
                EnterLong();
            else if (connorsRSI[0] > ExitThreshold)
                ExitLong();
        }

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

        [NinjaScriptProperty]
        [Display(Name = "Max Days Since High", GroupName = "Trading New Highs", Order = 1)]
        public double MaxDaysSinceHigh { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "RSI Period", GroupName = "Trading New Highs", Order = 2)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Streak RSI Period", GroupName = "Trading New Highs", Order = 3)]
        public int StreakRSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Percent Rank Period", GroupName = "Trading New Highs", Order = 4)]
        public int PercentRankPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "ConnorsRSI Entry Threshold", GroupName = "Trading New Highs", Order = 5)]
        public double EntryThreshold { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "ConnorsRSI Exit Threshold", GroupName = "Trading New Highs", Order = 6)]
        public double ExitThreshold { get; set; }
    }
}