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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class VIXFivePercentBot : Strategy
    {
        private const int VIXBars = 1;
        
        private SMA movingAverage;
        
        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Taken from chapter 5 of Short Term Trading Strategies That Work";
                Name = "VIX 5% Bot";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;
                EntryHandling = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy = true;
                ExitOnSessionCloseSeconds = 30;
                IsFillLimitOnTouch = false;
                MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
                OrderFillResolution = OrderFillResolution.Standard;
                Slippage = 0;
                StartBehavior = StartBehavior.WaitUntilFlat;
                TimeInForce = TimeInForce.Gtc;
                TraceOrders = false;
                RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade = 20;
                IsInstantiatedOnEachOptimizationIteration = true;

                MovingAveragePeriod = 10;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("^VIX");
            }
            else if (State == State.DataLoaded)
            {
                movingAverage = SMA(BarsArray[VIXBars], MovingAveragePeriod);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0)
                return;

            if (CurrentBars[VIXBars] < 0)
                return;

            if (CurrentBar < BarsRequiredToTrade)
                return;

            double upperThreshold = movingAverage[0] * 1.05;
            double lowerThreshold = movingAverage[0] * 0.95;

            // Entry condition: If VIX is 5% or more above its 10-day moving average.
            if (Closes[VIXBars][0] >= upperThreshold)
                EnterLong();

            // Exit condition: If VIX is 5% or more below its 10-day moving average.
            if (Position.MarketPosition == MarketPosition.Long && Closes[VIXBars][0] <= lowerThreshold)
                ExitLong();
        }

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

        [NinjaScriptProperty]
        [Display(Name = "Moving Average Period", GroupName = "VIX 5% Bot", Order = 1)]
        public int MovingAveragePeriod { get; set; }
    }
}