Overall Statistics
namespace QuantConnect 
{   
    /*
    *   QuantConnect University: Futures Example
    *
    *   QuantConnect allows importing generic data sources! This example demonstrates importing a futures
    *   data from the popular open data source Quandl.
    *
    *   QuantConnect has a special deal with Quandl giving you access to Stevens Continuous Futurs (SCF) for free. 
    *   If you'd like to download SCF for local backtesting, you can download it through Quandl.com.
    */
    public class VolatilityETN : QCAlgorithm
    {
        string shortTerm = "XIV";
        string longTerm = "ZIV";

        decimal diff = 0;
        DateTime sampledToday;
        
        //Initialize the data and resolution you require for your strategy:
        public override void Initialize()
        {
			// Code Automaticly Generated  
            SetStartDate(2015,8,10);        
            SetEndDate(2015,9,30);
            SetCash(10000);
			// Code Automaticly Generated  
			AddSecurity(SecurityType.Equity, "ZIV", Resolution.Daily);
			
			// Code Automaticly Generated  
			AddSecurity(SecurityType.Equity, "XIV", Resolution.Daily);
			
        }

        public void OnData(TradeBars data) 
        {   
            diff = data[shortTerm].Close - data[longTerm].Close;
             // add logic to have orders placed once / day
            Log("XIV " + data[shortTerm].Close + " ZIV = "  + data[longTerm].Close + " diff is " + diff);
            // Add buy/sell logic
            
            int count = new int();
            
            if (diff > -5){
                count = 4;
            } else if (diff < -5 && diff > -9)
            {
                count = 2;
            }
            else if (diff < -9)
            {
            	count = 1;
            }
            
            switch (count) 
            {
                case 1:
                    SetHoldings(longTerm, 0);
                    SetHoldings(shortTerm, 0.95);
                    break;
                case 2:
                    SetHoldings(shortTerm, 0.25);
                    SetHoldings(longTerm, 0);
                    break;
                case 3:
                    //SetHoldings(shortTerm, -.25);
                    //SetHoldings(longTerm, .75);
                    break;
                case 4:
                    //SetHoldings(shortTerm, -.10);
                    //SetHoldings(longTerm, .90);
                    SetHoldings(shortTerm, 0);
                    SetHoldings(longTerm, 0.95);
                    break;
                default:
                    Log("there is an error");
                    break;
            }
            
            sampledToday = Time;
        }
    }
}