class X(QCAlgorithm):
    
    def Initialize(self):
        self.params = {
            "symbol": "USO",
            "long_ratio": +1.0,
            "short_ratio": -0.8,
            "macd_signal_tolerance": 0.0024,
            "resolution": Resolution.Daily,
        }
        
        self.SetStartDate(2012, 1, 1)
        self.SetEndDate(2019, 1, 1)
        self.SetCash(10000)

        self.AddEquity(self.params["symbol"], self.params["resolution"])
        self.SetBenchmark(self.params["symbol"])

        # define our daily macd(12,26) with a 9 day signal
        self.__macd = self.MACD(self.params["symbol"], 12, 26, 9, MovingAverageType.Exponential, self.params["resolution"])
        self.__previous = datetime.min
        self.PlotIndicator("MACD", True, self.__macd, self.__macd.Signal)
        self.PlotIndicator(self.params["symbol"], self.__macd.Fast, self.__macd.Slow)


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
        # wait for our macd to fully initialize
        if not self.__macd.IsReady: return

        # only once per day
        if self.__previous.date() == self.Time.date(): return

        # define a small tolerance on our checks to avoid bouncing
        # tolerance = 0.0025
        tolerance = self.params["macd_signal_tolerance"]

        holdings = self.Portfolio[self.params["symbol"]].Quantity
        if holdings != 0:
            msg = "Holdings no zero: " + str(holdings)
            self.Debug(msg)

        signalDeltaPercent = (self.__macd.Current.Value - self.__macd.Signal.Current.Value)/self.__macd.Fast.Current.Value

        # if our macd is greater than our signal, then let's go long
        if holdings <= 0 and signalDeltaPercent > tolerance:  # 0.01%
            # longterm says buy as well
            self.SetHoldings(self.params["symbol"], self.params["long_ratio"])

        # of our macd is less than our signal, then let's sell our longs and go short
        elif holdings >= 0 and signalDeltaPercent < -tolerance:
            # self.Liquidate(self.params["symbol"])
            self.SetHoldings(self.params["symbol"], self.params["short_ratio"])

        self.__previous = self.Time