class AccelDualMomentum(QCAlgorithm):
    def Initialize(self):
        
        self.SetStartDate(1995, 1, 3)  # Set Start Date
        #self.SetEndDate(2022,2,28)  # Set End Date
        self.SetCash(10000)  # Set Strategy Cash
   
        self.aVFINX = self.AddData(VFINX, "VFINX", Resolution.Daily).Symbol
        self.aQQQ = self.AddData(QQQ, "QQQ", Resolution.Daily).Symbol

        self.aVINEX = self.AddData(VINEX, "VINEX", Resolution.Daily).Symbol
        self.aVUSTX = self.AddData(VUSTX, "VUSTX", Resolution.Daily).Symbol
        self.aLBMA = self.AddData(LBMA, "LBMA", Resolution.Daily).Symbol
        #self.aGLD = self.AddData(GLD, "GLD", Resolution.Daily).Symbol
        self.aVIPSX = self.AddData(VIPSX, "VIPSX", Resolution.Daily).Symbol
        self.aCASH = self.AddData(CASH, "CASH", Resolution.Daily).Symbol
        self.indicator = self.AddData(MOMENTUM, "MOMENTUM", Resolution.Daily).Symbol
        
        self.leverage = 1   # Set leverage | A value of 1 indicates no leverage | A value of 2 indicates 100% leverage
        self.Securities["VFINX"].SetLeverage(self.leverage)
        self.Securities["QQQ"].SetLeverage(self.leverage)

        self.Securities["VINEX"].SetLeverage(self.leverage)
        self.Securities["VUSTX"].SetLeverage(self.leverage)
        self.Securities["LBMA"].SetLeverage(self.leverage)
        #self.Securities["GLD"].SetLeverage(self.leverage)
        self.Securities["VIPSX"].SetLeverage(self.leverage)
        self.Securities["CASH"].SetLeverage(self.leverage)
        
        # Set trading frequency
        
        self.monthly = 0 
        self.annual = 0
        self.daily = 1

        self.trading_fee = 5  # Fee per trade
        
        self.trading_day = 21 # Set trading day | Value = 21 is last trading day of month
        self.GetParameter("trading_day") 
        
    def shiftAssets(self, target):
        if not (self.Portfolio[target].Invested):
            for symbol in self.Portfolio.Keys:
                self.Liquidate(symbol)
            if not self.Portfolio.Invested:
                self.SetHoldings(target, 1*self.leverage)
    
    def getMonthTradingDay(self):
        month_last_day = DateTime(self.Time.year, self.Time.month, DateTime.DaysInMonth(self.Time.year, self.Time.month))
        tradingDays = self.TradingCalendar.GetDaysByType(TradingDayType.BusinessDay, DateTime(self.Time.year, self.Time.month, 1), month_last_day)
        tradingDays = [day.Date.date() for day in tradingDays]
        return tradingDays[-22 + self.trading_day]
        
    def getYearLastTradingDay(self):
        year_last_day = DateTime(self.Time.year, 12, DateTime.DaysInMonth(self.Time.year, 12))
        tradingDays = self.TradingCalendar.GetDaysByType(TradingDayType.BusinessDay, DateTime(self.Time.year, 12, 1), year_last_day)
        tradingDays = [day.Date.date() for day in tradingDays]
        return tradingDays [-1]
        
        
    def OnData(self, data):
    
    
        if (self.daily ==1):
            if data.ContainsKey(self.indicator):
                ticker = data[self.indicator].GetProperty('Indicator')
                if (ticker =="VINEX"):
                        #self.Securities["VINEX"].SetFeeModel(MonthlyCustomFeeModel())
                        self.shiftAssets(self.aVINEX)
                elif (ticker =="QQQ"):
                        #self.Securities["QQQ"].SetFeeModel(MonthlyCustomFeeModel())
                    self.shiftAssets(self.aQQQ)
                elif (ticker =="VUSTX"):
                        #self.Securities["VUSTX"].SetFeeModel(MonthlyCustomFeeModel())
                    self.shiftAssets(self.aVUSTX)
                elif (ticker =="LBMA"):
                        #self.Securities["LBMA"].SetFeeModel(MonthlyCustomFeeModel())
                    self.shiftAssets(self.aLBMA)
                elif (ticker =="VIPSX"):
                        #self.Securities["VIPSX"].SetFeeModel(MonthlyCustomFeeModel())
                    self.shiftAssets(self.aVIPSX)
                elif (ticker =="CASH"):
                        #self.Securities["CASH"].SetFeeModel(MonthlyCustomFeeModel())
                    self.shiftAssets(self.aCASH)
                elif (ticker =="GLD"):
                        #self.Securities["GLD"].SetFeeModel(MonthlyCustomFeeModel())
                    self.shiftAssets(self.aGLD)
        
        
        if (self.monthly ==1):
            if (self.Time.date() == self.getMonthTradingDay()):
                if data.ContainsKey(self.indicator):
                    ticker = data[self.indicator].GetProperty('Indicator')
                    if (ticker =="VINEX"):
                        self.Securities["VINEX"].SetFeeModel(MonthlyCustomFeeModel())
                        self.shiftAssets(self.aVINEX)
                    elif (ticker =="QQQ"):
                        self.Securities["QQQ"].SetFeeModel(MonthlyCustomFeeModel())
                        self.shiftAssets(self.aQQQ)
                    elif (ticker =="VUSTX"):
                        self.Securities["VUSTX"].SetFeeModel(MonthlyCustomFeeModel())
                        self.shiftAssets(self.aVUSTX)
                    elif (ticker =="LBMA"):
                        self.Securities["LBMA"].SetFeeModel(MonthlyCustomFeeModel())
                        self.shiftAssets(self.aLBMA)
                    elif (ticker =="VIPSX"):
                        self.Securities["VIPSX"].SetFeeModel(MonthlyCustomFeeModel())
                        self.shiftAssets(self.aVIPSX)
                    elif (ticker =="CASH"):
                        self.Securities["CASH"].SetFeeModel(MonthlyCustomFeeModel())
                        self.shiftAssets(self.aCASH)
                    elif (ticker =="GLD"):
                        self.Securities["GLD"].SetFeeModel(MonthlyCustomFeeModel())
                        self.shiftAssets(self.aGLD)
                        
        if (self.annual ==1):
            if (self.Time.date() == self.getYearLastTradingDay()):
                if data.ContainsKey(self.indicator):
                    ticker = data[self.indicator].GetProperty('Indicator')
                    if (ticker =="VINEX"):
                        self.Securities["VINEX"].FeeModel = ConstantFeeModel(self.trading_fee)
                        self.shiftAssets(self.aVINEX)
                    elif (ticker =="QQQ"):
                        self.Securities["QQQ"].FeeModel = ConstantFeeModel(self.trading_fee)
                        self.shiftAssets(self.aQQQ)
                    elif (ticker =="VUSTX"):
                        self.Securities["VUSTX"].FeeModel = ConstantFeeModel(self.trading_fee)
                        self.shiftAssets(self.aVUSTX)
                    elif (ticker =="LBMA"):
                        self.Securities["LBMA"].FeeModel = ConstantFeeModel(self.trading_fee)
                        self.shiftAssets(self.aLBMA)
                    elif (ticker =="VIPSX"):
                        self.Securities["VIPSX"].FeeModel = ConstantFeeModel(self.trading_fee)
                        self.shiftAssets(self.aVIPSX)
                    elif (ticker =="CASH"):
                        self.Securities["CASH"].FeeModel = ConstantFeeModel(self.trading_fee)
                        self.shiftAssets(self.aCASH)
                    elif (ticker =="GLD"):
                        self.Securities["GLD"].FeeModel = ConstantFeeModel(self.trading_fee)
                        self.shiftAssets(self.aGLD)
                    
        # Charts
                
        self.Plot("Margin", "Remaining", self.Portfolio.MarginRemaining)
        self.Plot("Margin", "Used", self.Portfolio.TotalMarginUsed)
        self.Plot("Cash", "Remaining", self.Portfolio.Cash)
        self.Plot("Cash", "Remaining", self.Portfolio.TotalHoldingsValue)
        
        self.Plot("VFINX", "Held", self.Portfolio["VFINX"].Quantity)
        self.Plot("VINEX", "Held", self.Portfolio["VINEX"].Quantity)
        self.Plot("VUSTX", "Held", self.Portfolio["VUSTX"].Quantity)
        self.Plot("VIPSX", "Held", self.Portfolio["VIPSX"].Quantity)
        #self.Plot("GLD", "Held", self.Portfolio["GLD"].Quantity)
        self.Plot("CASH", "Held", self.Portfolio["CASH"].Quantity)
        self.Plot("LBMA", "Held", self.Portfolio["LBMA"].Quantity)

        
class LBMA(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/81ixmlr8cx1uxgq/LBMA.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
        
    def Reader(self, config, line, date, isLive):
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = LBMA()
        index.Symbol = config.Symbol
        
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%d/%m/%Y")
        index.EndTime = index.Time + timedelta(days=1)
        index.Value = data[1]
        index["LBMA"] = float(data[1])
        
        return index

class VIPSX(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/51npkwxesct345x/VIPSX.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, isLive):
        
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = VIPSX()
        index.Symbol = config.Symbol
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%d/%m/%Y")
        index.EndTime = index.Time + timedelta(days=1)
        index.Value = data[4]
        index["Open"] = float(data[1])
        index["High"] = float(data[2])
        index["Low"] = float(data[3])
        index["Close"] = float(data[4])

        return index 
        
class VUSTX(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/hnv2swusm9wra5w/VUSTX.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, isLive):
        
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = VUSTX()
        index.Symbol = config.Symbol
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%d/%m/%Y")
        index.EndTime = index.Time + timedelta(days=1)
        index.Value = data[4]
        index["Open"] = float(data[1])
        index["High"] = float(data[2])
        index["Low"] = float(data[3])
        index["Close"] = float(data[4])
        
        return index
        
class VFINX(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/zzh0ydo8t8l5ds4/VFINX.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, isLive):
        
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = VFINX()
        index.Symbol = config.Symbol
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%d/%m/%Y")
        index.EndTime = index.Time + timedelta(days=1)
        index.Value = data[4]
        index["Open"] = float(data[1])
        index["High"] = float(data[2])
        index["Low"] = float(data[3])
        index["Close"] = float(data[4])
        
        return index
        
class VINEX(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/3otgob32pyl0hz8/VINEX.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, isLive):
        
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = VINEX()
        index.Symbol = config.Symbol
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%d/%m/%Y")
        index.EndTime = index.Time + timedelta(days=1)
        index.Value = data[4]
        index["Open"] = float(data[1])
        index["High"] = float(data[2])
        index["Low"] = float(data[3])
        index["Close"] = float(data[4])
        
        return index
        
class GLD(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/c9asn799ugf8kja/GLD.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, isLive):
        
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = GLD()
        index.Symbol = config.Symbol
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%d/%m/%Y")
        index.EndTime = index.Time + timedelta(days=1)
        index.Value = data[4]
        index["Open"] = float(data[1])
        index["High"] = float(data[2])
        index["Low"] = float(data[3])
        index["Close"] = float(data[4])
        
        return index
        
class CASH(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/496wpuy5qrlq9za/CASH.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, isLive):
        
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = CASH()
        index.Symbol = config.Symbol
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%d/%m/%Y")
        index.EndTime = index.Time + timedelta(days=1)
        index.Value = data[1] 
        index["Close"] = float(data[1])
        
        return index
        
class QQQ(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/53tqrfh84h7h1ax/QQQ.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, isLive):
        
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = QQQ()
        index.Symbol = config.Symbol
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%Y-%m-%d")
        index.EndTime = index.Time + timedelta(days=1)
        index.Value = data[1]
        index["Close"] = float(data[1])

        
        return index
        
class MOMENTUM(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("https://www.dropbox.com/s/j9lacl1a67xpdpx/Indicator_QQQ.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
    def Reader(self, config, line, date, isLive):
        
        if not (line.strip() and line[0].isdigit()): 
            return None
        
        index = MOMENTUM()
        index.Symbol = config.Symbol
        data = line.split(',')
        index.Time = datetime.strptime(data[0], "%Y-%m-%d")
        index.EndTime = index.Time + timedelta(days=1)
        index.SetProperty("Indicator", str(data[1]))
        
        return index
        
class MonthlyCustomFeeModel:
    def GetOrderFee(self, parameters):
        self.margin_rate = 0.015  #Set Margin Fee
        self.trading_fee = 5    #Set fee per trade
        fee = self.trading_fee + (parameters.Security.Leverage-1)*parameters.Security.Price*parameters.Order.AbsoluteQuantity*(self.margin_rate/12)
        return OrderFee(CashAmount(fee, 'USD'))