namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Bollinger Bands Example:
    */
    public class BitcoinMomentum: QCAlgorithm
    {
        string _symbol = "SPY";

        AverageTrueRange _atr;
        Maximum _max;
        Minimum _min;
        Maximum _maxC;
        Minimum _minC;
        
        //RSI Custom Data:
        
        decimal _price;
        DateTime sampledToday = DateTime.Now;
        decimal percentRisk = 0;
        
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
            //Initialize
            SetStartDate(1998, 1, 1);         
            SetEndDate(2015, 4, 29); 
            SetCash(25000);
            
            
            //Add as many securities as you like. All the data will be passed into the event handler:
            AddSecurity(SecurityType.Equity, _symbol, Resolution.Minute);
            
            //Add the Custom Data:
            
            
            //Set up Indicators:
            _atr = ATR(_symbol, 100, MovingAverageType.Simple, Resolution.Daily);
            _max = MAX(_symbol, 50, Resolution.Daily);
            _min = MIN(_symbol, 50, Resolution.Daily); 
            _maxC = MAX(_symbol, 25, Resolution.Daily);
            _minC = MIN(_symbol, 25, Resolution.Daily); 
            
            //Custom Data Indicator:
        }
        
        //Custom data event handler:
        public void OnData(TradeBars data) {
            
           //One data point per day:
            if (sampledToday.Date == data[_symbol].Time.Date) return;
            
            //Only take one data point per day (opening price)
            _price = Securities[_symbol].Close;
            sampledToday = data[_symbol].Time;
            
            if (!_max.IsReady) return;
            if (!_min.IsReady) return;
            
            //Get fresh cash balance: Set purchase quantity to equivalent 10% of portfolio.
            decimal cash = Portfolio.Cash;
            int holdings = Portfolio[_symbol].Quantity;
            percentRisk = .5m / (_atr);
            
           if (holdings > 0) {
                //If we're long: check if close is lower than lowest close in last 25 days
                if (_minC > _price)
                {
                    //Now go flat:
                    Liquidate(_symbol);
                    Log(Time.ToShortDateString() + "Going Flat after being long: "  + holdings.ToString() + " Quantity:" + percentRisk.ToString());
                }
                
            } else if (holdings < 0) {
                //If we're short, check if close is higher than lowest close in last 25 days
                if (_maxC < _price) 
                {
                    //Now go flat: 
                    Liquidate(_symbol);
                    Log(Time.ToShortDateString() + "Going flat after being short: " + holdings.ToString() + " Quantity:" + percentRisk.ToString());
                }
                    
            } else if (holdings == 0) {
            //If we're flat: check if close is higher than highest in last 50 and go long
                if (_max <= _price) 
                {
                    //Now go long: 
                    SetHoldings(_symbol, percentRisk);
                    Log(Time.ToShortDateString() + "> Go Long >  Holdings: " + holdings.ToString() + " Quantity:" + percentRisk.ToString()); 
                } else if (_min >= _price) {
                    //If we're flat: check if close is lower than lowest in last 50 and go short
                    //Now go short: 
                    SetHoldings(_symbol, -(percentRisk));
                    Log(Time.ToShortDateString() + "> Go Short >  Holdings: " + holdings.ToString() +"  Quantity:" + percentRisk.ToString()); 
                }
            }
        }
    }
}