class MondayForexCIIAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2007, 1, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        
        # add currency pair EUR/USD
        self.symbol = self.AddForex("EURUSD", Resolution.Hour, Market.FXCM).Symbol
        
        # parameters
        self.CCIPeriod = 30 # CCI period
        self.CCIupperBound = 100 # CCI upper bound line
        self.CCIlowerBound = -100 # CCI lower bound line
        
        self.stopLossLevel = -0.05 # stop loss percentage 
        self.stopProfitLevel = 0.01 # stop profit percentage
        
        # Commodity Channel Index (https://en.wikipedia.org/wiki/Commodity_channel_index)
        self.cci = self.CCI(self.symbol, self.CCIPeriod,  MovingAverageType.Simple, Resolution.Daily)

        
    def OnData(self, data):
        # get current price of EURUSD
        current_price = data[self.symbol.Value].Close
        
        ### Stop loss/profit
        if self.Portfolio.Invested:
            if self.isLong:
                condStopProfit = (current_price - self.buyInPrice)/self.buyInPrice > self.stopProfitLevel
                condStopLoss = (current_price - self.buyInPrice)/self.buyInPrice < self.stopLossLevel
                if condStopProfit:
                    self.Liquidate(self.symbol.Value)
                    self.Log(f"{self.Time} Long Position Stop Profit at {current_price}")
                    
                if condStopLoss:
                    self.Liquidate(self.symbol.Value)
                    self.Log(f"{self.Time} Long Position Stop Loss at {current_price}")
            else:
                condStopProfit = (self.sellInPrice - current_price)/self.sellInPrice > self.stopProfitLevel
                condStopLoss = (self.sellInPrice - current_price)/self.sellInPrice < self.stopLossLevel
                if condStopProfit:
                    self.Liquidate(self.symbol.Value)
                    self.Log(f"{self.Time} Short Position Stop Profit at {current_price}")
                    
                if condStopLoss:
                    self.Liquidate(self.symbol.Value)
                    self.Log(f"{self.Time} Short Position Stop Loss at {current_price}")
                
                
        ### On Monday
        if self.Time.weekday() == 0 and not self.Portfolio.Invested: 
            # get current value of CCI
            CCI = self.cci.Current.Value
        
            # enter long position if CCI is over UpperBound
            if CCI > self.CCIupperBound:
                self.SetHoldings(self.symbol.Value, 1)
                # get buy-in price for trailing stop loss/profit
                self.buyInPrice = current_price
                # entered long position
                self.isLong = True
                
                self.Log(f"{self.Time} Entered Long Position at {current_price}")
                
            # enter short position if CCI is under LowerBound
            if CCI < self.CCIlowerBound:
                self.SetHoldings(self.symbol.Value, -1)
                # get sell-in price for trailing stop loss/profit
                self.sellInPrice = current_price
                # entered short position
                self.isLong = False
                
                self.Log(f"{self.Time} Entered Short Position at {current_price}")