namespace QuantConnect.Algorithm.CSharp
{
	using System.Drawing;
	
    public class QuantumHorizontalShield : QCAlgorithm
    {
		
		private MomentumPercent 
			spyMomentum, qqqMomentum, eq4Momentum, tltMomentum;
		public ExponentialMovingAverage 
			emaFastSPY, emaSlowSPY, emaFastQQQ, emaSlowQQQ, emaFastTLT, emaSlowTLT;
		public AverageTrueRange 
			atrSPY, atrQQQ, atrTLT;
		//
		private int momPer, emaSlowPer, emaFastPer, atrPer;
		public string setHold;
		//
        public override void Initialize()
        {
            SetStartDate(2006, 1, 1);  //Set Start Date
            SetCash(100000);           //Set Strategy Cash
            
            momPer = 21;
            emaFastPer = 34;
            emaSlowPer = 195;
            atrPer = 21;

            AddEquity("SPY", Resolution.Daily);
            AddEquity("QQQ", Resolution.Daily);
            AddEquity("TLT", Resolution.Daily);

			spyMomentum = MOMP("SPY", momPer, Resolution.Daily);  
			qqqMomentum = MOMP("QQQ", momPer, Resolution.Daily);
			tltMomentum = MOMP("TLT", momPer, Resolution.Daily);		

			emaFastSPY = EMA("SPY", emaFastPer, Resolution.Daily);
			emaSlowSPY = EMA("SPY", emaSlowPer, Resolution.Daily);
			emaFastQQQ = EMA("QQQ", emaFastPer, Resolution.Daily);
			emaSlowQQQ = EMA("QQQ", emaSlowPer, Resolution.Daily);
			emaFastTLT = EMA("TLT", emaFastPer, Resolution.Daily);
			emaSlowTLT = EMA("TLT", emaSlowPer, Resolution.Daily);

			atrSPY = ATR("SPY", atrPer, MovingAverageType.Simple);
			atrQQQ = ATR("QQQ", atrPer, MovingAverageType.Simple);
			atrTLT = ATR("TLT", atrPer, MovingAverageType.Simple);

			SetBenchmark("SPY");  
			SetWarmUp(emaSlowPer); 
			
			var spyPlot = new Chart("SPY");
			spyPlot.AddSeries(new Series("Buy", SeriesType.Scatter, "1", Color.Green, ScatterMarkerSymbol.Triangle));
			spyPlot.AddSeries(new Series("Sell", SeriesType.Scatter, "1", Color.Red, ScatterMarkerSymbol.TriangleDown));
			spyPlot.AddSeries(new Series("Price", SeriesType.Line, 0));
			spyPlot.AddSeries(new Series("EMASlow", SeriesType.Line, 0));
			spyPlot.AddSeries(new Series("EMAFast", SeriesType.Line, 0));
			spyPlot.AddSeries(new Series("ATR", SeriesType.Line, 0));
			spyPlot.AddSeries(new Series("MOMP", SeriesType.Line, 0));
            AddChart(spyPlot);
			
			var qqqPlot = new Chart("QQQ");
			qqqPlot.AddSeries(new Series("Buy", SeriesType.Scatter, "1", Color.Green, ScatterMarkerSymbol.Triangle));
			qqqPlot.AddSeries(new Series("Sell", SeriesType.Scatter, "1", Color.Red, ScatterMarkerSymbol.TriangleDown));
			qqqPlot.AddSeries(new Series("Price", SeriesType.Line, 0));
			qqqPlot.AddSeries(new Series("EMASlow", SeriesType.Line, 0));
			qqqPlot.AddSeries(new Series("EMAFast", SeriesType.Line, 0));
			qqqPlot.AddSeries(new Series("ATR", SeriesType.Line, 0));
			qqqPlot.AddSeries(new Series("MOMP", SeriesType.Line, 0));
            AddChart(qqqPlot);
            
            var tltPlot = new Chart("TLT");
			tltPlot.AddSeries(new Series("Price", SeriesType.Line, 0));
			tltPlot.AddSeries(new Series("EMASlow", SeriesType.Line, 0));
			tltPlot.AddSeries(new Series("EMAFast", SeriesType.Line, 0));
			tltPlot.AddSeries(new Series("ATR", SeriesType.Line, 0));
			tltPlot.AddSeries(new Series("MOMP", SeriesType.Line, 0));
            AddChart(tltPlot);
			
        }

        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// Slice object keyed by symbol containing the stock data
        public override void OnData(Slice data)
        {
        	if (IsWarmingUp)
        		return;
        		
			// auto plot our indicators on our symbol chart
			if (data.ContainsKey("SPY"))
			{
				Plot("SPY", "EMASlow", emaSlowSPY);
				Plot("SPY", "EMAFast", emaFastSPY);
				Plot("SPY", "ATR", atrSPY);
				Plot("SPY", "MOMP", spyMomentum);
				try {Plot("SPY", "Price", data.Bars["SPY"].Close);}
				catch {}
			}
			if (data.ContainsKey("QQQ"))
			{
				Plot("QQQ", "EMASlow", emaSlowQQQ);
				Plot("QQQ", "EMAFast", emaFastQQQ);
				Plot("QQQ", "ATR", atrQQQ);
				Plot("QQQ", "MOMP", qqqMomentum);
				try {Plot("QQQ", "Price", data["QQQ"].Close);}
				catch {}
			}
			if (data.ContainsKey("TLT"))
			{
				Plot("TLT", "EMASlow", emaSlowTLT);
				Plot("TLT", "EMAFast", emaFastTLT);
				Plot("TLT", "ATR", atrTLT);
				Plot("TLT", "MOMP", tltMomentum);
				try {Plot("TLT", "Price", data["TLT"].Close);}
				catch {}
			}

            if (spyMomentum/atrSPY > qqqMomentum/atrQQQ
            	& spyMomentum/atrSPY > tltMomentum/atrTLT)
            {
            	if (Portfolio["SPY"].Quantity == 0)
            	{
	            	if (Portfolio["QQQ"].Quantity > 0)
    	        	{
    	        		Liquidate("QQQ");
	    	        	Plot("QQQ", "Sell", -1);
    	        	}
	            	if (Portfolio["TLT"].Quantity > 0)
    	        	{
    	        		Liquidate("TLT");
    	        	}
    	        	//
					try
					{
            			if (data.Bars["SPY"].Close > emaFastSPY | data.Bars["SPY"].Close > emaSlowSPY)
   	        			{
       		    			SetHoldings("SPY", 0.99);
    	        			Plot("SPY", "Buy", 1);
   		        		}
					}
   	        		catch
   	        		{
   	    				SetHoldings("SPY", 0.99);
   		    			setHold = "SPY";
	            		Plot("SPY", "Buy", 1);
    	        	}
	           	}
            	else
            	{
					try
					{
	            		if (data.Bars["SPY"].Close < emaFastSPY & data.Bars["SPY"].Close < emaSlowSPY)
    	        		{
        	    			Liquidate("SPY");
	            			Plot("SPY", "Sell", -1);
		 	   	        	SetHoldings("TLT", 0.99);
	       	    			setHold = "TLT";
    	        		}
					}
					catch {}
            	}
            }
            else if (qqqMomentum/atrQQQ > spyMomentum/atrSPY
            	& qqqMomentum/atrQQQ > tltMomentum/atrTLT)
            {
            	if (Portfolio["QQQ"].Quantity == 0)
            	{
	            	if (Portfolio["SPY"].Quantity > 0)
    	        	{
    	        		Liquidate("SPY");
	    	        	Plot("SPY", "Sell", -1);
    	        	}
	            	if (Portfolio["TLT"].Quantity > 0)
    	        	{
    	        		Liquidate("TLT");
    	        	}
    	        	//
					try 
					{
       	    			if (data.Bars["QQQ"].Close > emaFastQQQ | data.Bars["QQQ"].Close > emaSlowQQQ)
        				{
   	    					SetHoldings("QQQ", 0.99);
       	    				setHold = "QQQ";
           					Plot("QQQ", "Buy", 1);
   	        			}
					}
					catch
   	    	    	{
           				SetHoldings("QQQ", 0.99);
   	    				setHold = "QQQ";
           				Plot("QQQ", "Buy", 1);
    	        	}
            	}
            	else 
            	{
					try 
					{
       	    			if (data.Bars["QQQ"].Close < emaFastQQQ & data.Bars["QQQ"].Close < emaSlowQQQ)
        				{
   	    					Liquidate("QQQ");
           					Plot("QQQ", "Sell", 1);
	 	   	        		SetHoldings("TLT", 0.99);
       	    				setHold = "TLT";
   	        			}
					}
					catch
   	    	    	{
    	        	}
            	}
            }
            else
            {
             	if (Portfolio["TLT"].Quantity == 0)
            	{
	             	if (Portfolio["SPY"].Quantity > 0)
   		        	{
    	        		Liquidate("SPY");
	    	        	Plot("SPY", "Sell", -1);
    	        	}
	             	if (Portfolio["QQQ"].Quantity > 0)
    	        	{
    	        		Liquidate("QQQ");
	    	        	Plot("QQQ", "Sell", -1);
    	        	}
    	        	//
            		try
            		{
      	    			if (data.Bars["TLT"].Close > emaFastTLT | data.Bars["TLT"].Close > emaSlowTLT)
	       				{
    						SetHoldings("TLT", 0.99);
   	    					setHold = "TLT";
	       				}
					}
					catch 
					{
   						SetHoldings("TLT", 0.99);
    					setHold = "TLT";
						
					}
            	}
            	else
            	{
            		try
            		{
      	    			if (data.Bars["TLT"].Close < emaFastTLT & data.Bars["TLT"].Close < emaSlowTLT)
	       				{
    	   					Liquidate("TLT");
       						setHold = "";
       					}
            		}
            		catch {}
            	}
            }
        }
    }
}