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

//This namespace holds Strategies in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Strategies
{
    public class MeanReversionBot : Strategy
    {
        private SMA fastMA;
        private SMA slowMA;
        private StdDev stdDev;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description = @"Mean reversion strategy based on standard deviations from a moving average";
                Name = "Mean Reversion 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;

                FastPeriod = 10;
                SlowPeriod = 100;
            }
            else if (State == State.DataLoaded)
            {
                fastMA = SMA(FastPeriod);
                slowMA = SMA(SlowPeriod);
                stdDev = StdDev(FastPeriod);
            }
        }

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

            double zScore = (Close[0] - fastMA[0]) / stdDev[0];

            // Exits
            if (zScore > -0.5 && zScore < 0.5)
            {
                if (Position.MarketPosition == MarketPosition.Long)
                    ExitLong();
                else if (Position.MarketPosition == MarketPosition.Short)
                    ExitShort();
            }

            if (Position.MarketPosition != MarketPosition.Flat)
                return;

            // Entries
            if (zScore < -1 && fastMA[0] > slowMA[0])
                EnterLong();
            else if (zScore > 1 && fastMA[0] < slowMA[0])
                EnterShort();
        }

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

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Fast Period", Order = 1, GroupName = "Mean Reversion Bot")]
        public int FastPeriod { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(Name = "Slow Period", Order = 2, GroupName = "Mean Reversion Bot")]
        public int SlowPeriod { get; set; }
    }
}