using MathNet.Numerics.Statistics;

namespace QuantConnect 
{   
    public class TradingTheOdds : QCAlgorithm
    {
    	RollingWindow<double> _closingPrices;
    	ExponentialMovingAverage _ema;
    	string _symbolVIX = "YAHOO/INDEX_VIX";
    	
        public override void Initialize() 
        {
            SetStartDate(2014, 1, 1);         
            SetEndDate(2016,1,1);
            SetCash(25000);
            AddSecurity(SecurityType.Equity, "SPY", Resolution.Daily);
            AddSecurity(SecurityType.Equity, "XIV", Resolution.Daily);
            AddSecurity(SecurityType.Equity, "VXX", Resolution.Daily);
            
            //AddData<Quandl>(_symbolVIX, Resolution.Daily);
            AddData<Quandl>(_symbolVIX, Resolution.Daily);
            
            //Initialize:
            _closingPrices = new RollingWindow<double>(5);
            _ema = new ExponentialMovingAverage("AvgVixLessASTD", 5);
        }

        public override void OnData(Slice data) 
        {   
        	//Save off the closing prices
        	_closingPrices.Add((double)data.Bars["SPY"].Close);
        	
        	//Wait till we've got a week data:
        	if (!_closingPrices.IsReady) return;
        	
        	//Save Vix price:
        	var vix = data.Get<Quandl>(_symbolVIX);
        	
        	//Calculate the annualized standard deviation of the last 2 days
        	//standard deviation((LN(todaysclose/yesterdaysclose), LN(yesterdaysclose/twodaysagoclose)) * 100 * sqrt(252))
        	var samples = new List<double>() { 
        		Math.Log(_closingPrices[0]/_closingPrices[1]), 
        		Math.Log(_closingPrices[1]/_closingPrices[2]) 
        	};
        	var astd = (decimal) (samples.StandardDeviation() * Convert.ToDouble(Math.Pow(252, 0.5)) * 100);
        	
        	//Calculate the raw unaveraged value:
        	_ema.Update(new IndicatorDataPoint(Time, vix.Value - astd));
        	
    		//More than 5 EMA points:
        	if (_ema.IsReady) 
        	{
        		Log(string.Format("EMA : {0}, VIX : {1}, ASTD : {2}", _ema, vix.Value, astd));
        		
        		if (_ema > 1.0) {
        			SetHoldings("XIV", 0.9, true);
        		} else {
        			SetHoldings("VXX", 0.9, true);
        		}
        	}
        }
        
    }
}