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

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

        private PutCallRatio PCR;
        private MAX PCRHighs;
        private SMA LongTermTrend;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "Put / Call Ratio Highs";
                Description = @"Based on chatper 9 of How Markets Really Work (2012) by Larry Connors";
                Calculate = Calculate.OnBarClose;
                EntriesPerDirection = 1;

                HighPeriod = 5;
                LongTermTrendPeriod = 200;
                DaysToExit = 5;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("VPOT");
                AddDataSeries("VCOT");
            }
            else if (State == State.DataLoaded)
            {
                PCR = PutCallRatio();
                PCRHighs = MAX(PCR, HighPeriod);
                LongTermTrend = SMA(LongTermTrendPeriod);
            }
        }

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

            if (PCR[0] == PCRHighs[0] && Close[0] > LongTermTrend[0])
                EnterLong();

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

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

        [NinjaScriptProperty]
        [Display(Name = "High Period", GroupName = "Put / Call Ratio Highs", Order = 1)]
        public int HighPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Long-Term Trend Period", GroupName = "Put / Call Ratio Highs", Order = 2)]
        public int LongTermTrendPeriod { get; set; }

        [NinjaScriptProperty]
        [Display(Name = "Days to Exit", GroupName = "Put / Call Ratio Highs", Order = 3)]
        public int DaysToExit { get; set; }
    }
}