class DynamicVerticalCoreWave(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 1, 1)  # Set Start Date
        self.SetEndDate(2015, 12, 31)
        self.SetCash(10000)  # Set Strategy Cash
       
        self.market = "fxcm"
        self.defaultQuantity = 25000
        
        self.periodFast = 5
        self.periodSlow = 9
        
        self.symbol = self.AddForex("EURUSD", Resolution.Hour, self.market).Symbol
        
        self.emaFast = self.EMA(self.symbol, self.periodFast, Resolution.Hour)
        self.emaSlow = self.EMA(self.symbol, self.periodSlow, Resolution.Hour)
        
        self.emaFastHistory = RollingWindow[float](self.periodFast + 1)
        self.emaSlowHistory = RollingWindow[float](self.periodSlow + 1)
        
        
        
    def OnData(self, data):
        
        self.emaFastHistory.Add(self.emaFast.Current.Value)
        self.emaSlowHistory.Add(self.emaSlow.Current.Value)
        
        if not self.emaSlow.IsReady:
            return
        
        if not data.ContainsKey(self.symbol) or data[self.symbol] is None:
            return
        
        if self.Portfolio[self.symbol].IsLong:
            
            if self.Falling(self.emaSlowHistory, self.periodSlow):
                self.MarketOrder(self.symbol, -self.defaultQuantity)
                
        elif self.Portfolio[self.symbol].IsShort:
            
            if self.Rising(self.emaSlowHistory, self.periodSlow):
                self.MarketOrder(self.symbol, self.defaultQuantity)
                
        else:
            
            if self.CrossAbove(self.emaFastHistory, self.emaSlowHistory) and not self.Falling(self.emaSlowHistory, self.periodSlow):
                self.MarketOrder(self.symbol, self.defaultQuantity)
            
            if self.CrossBelow(self.emaFastHistory, self.emaSlowHistory) and not self.Rising(self.emaSlowHistory, self.periodSlow):
                self.MarketOrder(self.symbol, -self.defaultQuantity)
            
                
    
    
    
    def CrossAbove(self, window1, window2, tolerance=0):
        
        return window1[0] > window2[0] * (1 + tolerance) and window1[1] < window2[1] * (1 - tolerance)
        

    def CrossBelow(self, window1, window2, tolerance = 0):
        
        return window1[0] < window2[0] * (1 - tolerance) and window1[1] > window2[1] * (1 + tolerance)
        

    def Rising(self, window, lookback = 1, tolerance = 0):
        
        return window[0] > window[lookback] * (1 + tolerance)
        

    def Falling(self, window, lookback = 1, tolerance = 0):
        
        return window[0] < window[lookback] * (1 - tolerance)