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

namespace NinjaTrader.NinjaScript.Strategies
{
    public class ConnorsVIXReversal2 : Strategy
    {
        private const int PrimaryBars = 0;
        private const int VIXBars = 1;

        private RSI VIXRSI;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "Connors VIX Reversal 2";
                Description = @"Taken from Chapter 2 of Connors on Advanced Trading Strategies (1998) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;

                RSIPeriod = 5;
                OverboughtLevel = 70;
                DaysToExit = 3;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("^VIX");
            }
            else if (State == State.DataLoaded)
            {
                VIXRSI = RSI(Closes[VIXBars], RSIPeriod, 1);
            }
        }

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

            if (CurrentBar < RSIPeriod)
                return;

            if (VIXRSI[1] > OverboughtLevel && VIXRSI[0] < VIXRSI[1])
                EnterLong();

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

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

        [NinjaScriptProperty]
        [Display(Name = "RSI Period", GroupName = "Connors VIX Reversal RSI Bot", Order = 1)]
        public int RSIPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Overbought Level", GroupName = "Connors VIX Reversal RSI Bot", Order = 2)]
        public int OverboughtLevel { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Days to Exit", GroupName = "Connors VIX Reversal RSI Bot", Order = 3)]
        public int DaysToExit { get; set; }
    }
}