class VerticalQuantumAtmosphericScrubbers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2002, 10, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.dict = {}
        self.SetBrokerageModel(BrokerageName.AlphaStreams)
        self.AddEquity("SPY", Resolution.Daily)
        #define our bb indicator for SPY
        self.bb = self.BB("SPY", 20, 2, MovingAverageType.Simple, Resolution.Daily);
        #tradelock keeps track of whether our entry conditions have been met
        # if trade lock is true, entry conditions are not yet met, we cannot enter a trade
        # if trade lock is false, entry conditions have been met and we can now enter a trade 
        # when available
        self.lowerBollingerFirstHit = False
        self.lowerLow = 0.0
        self.higherLow = 0.0
        self.higherHigh = 1.0
        self.lowerHigh = 1.0
        self.tradeBuyReady = False
        self.upperBollingerFirstHit = False
        
        self.buyTradeActive = False
        self.sellTradeActive = False
        self.buyAndHold = True
        
        
        
    
    
    def OnData(self, data):
        #make sure our indicator is ready
        if not self.bb.IsReady:
            return
        
        price = self.Securities["SPY"].Price
        bollingerValue = (price - self.bb.LowerBand.Current.Value)/(self.bb.UpperBand.Current.Value - self.bb.LowerBand.Current.Value)
        
        if self.buyAndHold is False:
            #if the price is below 0% BB
            if not self.Portfolio["SPY"].Invested:
                if bollingerValue < 0.0 and bollingerValue<self.lowerLow and self.buyTradeActive is False:
                    #if we are already in a long position, we liquidate and cut our losses
                    #if self.Portfolio["SPY"].Invested:
                    #self.Liquidate()
                    #we set trade lock to false, allowing us to enter a trade next time price crosses above 0% BB
                    self.lowerLow = bollingerValue
                    self.lowerBollingerFirstHit = True
                    self.buyTradeActive = False
                elif bollingerValue >= 0.0 and bollingerValue > self.lowerLow and self.lowerBollingerFirstHit is True:
                    self.buyTradeActive = True
                    self.higherLow = bollingerValue
                elif self.buyTradeActive is True and bollingerValue < self.higherLow and bollingerValue > self.lowerLow:
                    self.SetHoldings("SPY", 1)
                    self.buyPrice = price
                    self.buyTradeActive = False
                    self.lowerBollingerFirstHit = False
            elif self.Portfolio["SPY"].Invested:
                if price<self.buyPrice and ((self.buyPrice - price)/price)*100 > 6.66:
                    self.Liquidate()
                elif bollingerValue > 1.0 and bollingerValue > self.higherHigh and self.sellTradeActive is False:
                    self.higherHigh = bollingerValue
                    self.upperBollingerFirstHit = True
                elif bollingerValue <= 1.0 and bollingerValue < self.higherHigh and self.upperBollingerFirstHit is True:
                    self.sellTradeActive = True
                    self.lowerHigh = bollingerValue
                elif self.sellTradeActive is True and bollingerValue > 1.0 and bollingerValue > self.lowerHigh:
                    self.Liquidate()
                    self.sellTradeActive = True
                    self.upperBollingerFirstHit = False
        else:
            self.SetHoldings("SPY", 1)