{
    public class Toby : QCAlgorithm
    {
        string tickersString = "EURUSD,EURCAD,EURAUD,EURGBP,NZDCHF,NZDUSD,NZDSGD,USDCAD,,USDSGD,SGDJPY,SGDCHF,AUDNZD,AUDJPY,AUDCAD";
        static decimal totalMarginAvailable = 42m;
        decimal margin = totalMarginAvailable * 0.85m;
        int emaPeriod = 13;
        int wilrPeriod = 6;
        int rsiPeriod = 13;
        int longestIndicatorPeriod = 14;
        decimal emaPipRange = 0.0050m;
        decimal buyLongRSICutoff = 30.5m;
        decimal buyLongWILRCutoff = -76.5m;
        decimal buyShortRSICutoff = 73.5m;
        decimal buyShortWILRCutoff = -9.8m;
        decimal sellLongRSICutoff = 80.5m;
        decimal sellLongWILRCutoff = -08m;
        decimal sellShortRSICutoff = 23m;
        decimal sellShortWILRCutoff = -69.5m;

        Resolution resolution = Resolution.hour;
        List<StockData> stockDatas = new List<StockData>();

        public override void Initialize()
        {
            // backtest parameters
            SetStartDate(2016, 1, 1);
            SetEndDate(DateTime.Now);
            SetCash(25000);
            SetBrokerageModel(BrokerageName.OandaBrokerage);
            string[] tickers = tickersString.Split(new string[1] { "," }, StringSplitOptions.RemoveEmptyEntries);
            foreach (string ticker in tickers)
            {
                AddSecurity(SecurityType.Forex, ticker, resolution);
                StockData stockData = new StockData(ticker);
                stockData.ema = EMA(ticker, emaPeriod, resolution);
                stockData.wilr = WILR(ticker, wilrPeriod, resolution);
                stockData.rsi = RSI(ticker, rsiPeriod, MovingAverageType.Exponential, resolution);
                var history = History<QuoteBar>(ticker, longestIndicatorPeriod, resolution);
                foreach (var tradeBar in history)
                {
                    stockData.ema.Update(tradeBar.EndTime, tradeBar.Close);
                    stockData.wilr.Update(tradeBar);
                    stockData.rsi.Update(tradeBar.EndTime, tradeBar.Close);
                }
                stockDatas.Add(stockData);
            }
        }

        public override void OnData(Slice data)
        {
            decimal marginPerStock = margin / (decimal)stockDatas.Count;
            foreach (StockData stockData in stockDatas)
            {
                decimal price = data[stockData.ticker].Close;
                if (stockData.holdingLong == false & stockData.holdingShort == false)
                {
                    //not holding anything
                    //check to see if buy long requirement is met
                    if (stockData.rsi < buyLongRSICutoff)
                    {
                        if (stockData.wilr < buyLongWILRCutoff)
                        {
                            if (stockData.ema - emaPipRange > price)
                            {
                                SetHoldings(stockData.ticker, marginPerStock);
                                stockData.holdingLong = true;
                            }
                        }
                    }

                    //check to see if buy short requirement is met
                    if (stockData.rsi > buyShortRSICutoff)
                    {
                        if (stockData.wilr > buyShortWILRCutoff)
                        {
                            if (stockData.ema + emaPipRange < price)
                            {
                                SetHoldings(stockData.ticker, -marginPerStock);
                                stockData.holdingShort = true;
                            }
                        }
                    }

                }

                if (stockData.holdingLong == true)
                {
                    //check to see if sell long requirement is met
                    if (stockData.rsi > sellLongRSICutoff)
                    {
                        if (stockData.wilr > sellLongWILRCutoff)
                        {
                            if (stockData.ema + emaPipRange < price)
                            {
                                SetHoldings(stockData.ticker, 0);
                                stockData.holdingLong = false;
                            }
                        }
                    }
                }

                if (stockData.holdingShort == true)
                {
                    //check to see if sell short requirement is met
                    if (stockData.rsi < sellShortRSICutoff)
                    {
                        if (stockData.wilr < sellShortWILRCutoff)
                        {
                            if (stockData.ema - emaPipRange > price)
                            {
                                SetHoldings(stockData.ticker, 0);
                                stockData.holdingShort = false;
                            }
                        }
                    }
                }
            }
        }

        class StockData
        {
            public StockData(string inTicker)
            {
                ticker = inTicker;
            }

            public string ticker;
            public ExponentialMovingAverage ema;
            public WilliamsPercentR wilr;
            public RelativeStrengthIndex rsi;
            public bool holdingLong = false;
            public bool holdingShort = false;
        }
    }
}