#define _LONG 1
#define _SHORT 2
#define _WRONG -999

//#define _DEBUG_ 
#define _PLOT_
//#genparam

bool Reinvest = true;
bool UseOptimalF = true;

var CalculateMargin(int side)
{
	var value = 0.03 * Capital;
	
	if (Reinvest)
	{
		//value *= sqrt(1+Balance / Capital);
		value *= sqrt(1 + max(0, ProfitClosed/Capital));
	}
	
	if (UseOptimalF)
		value *= ifelse(side == _LONG, OptimalFLong, OptimalFShort);

	return value;
}

void run(){
  	
	BarPeriod = 5;
	TimeFrame = 12;
	LookBack = 1800;
	NumYears = 1;
	TradesPerBar = 12;
	MaxLong = MaxShort = 2;
	
	//NumWFOCycles = 12;
	NumCores = -1;
	//MaxBars = 2400;
  
	if(Train) Hedge = 2;
	set(RULES|TESTNOW|FACTORS);
	#ifdef genparam
	set(PARAMETERS);
	#endif
	#ifdef _DEBUG_
	set(STEPWISE);
	#endif
	#ifdef _PLOT_
	set(PLOTNOW);
	PlotScale = 8;
	//PlotWidth = 400;
	PlotHeight1 = 450;
	PlotHeight2 = 120;
	PlotDate = 20170701; 
	PlotBars = 200;
	ColorEquity = 0;
	#endif
	
	//set(TICKS|FAST);
	
	Capital = 50000;
		
	// -- PREPARE fpi

	asset("EUR/USD");
	#ifdef genparam
	int nLowUS = optimize(800,800,2000);
	#else
	int nLowUS = 1000;
	#endif
	
	vars A = series(LowPass(series( priceClose()),nLowUS));
	
	asset("GBP/USD");
	#ifdef genparam
	int nLowGS = optimize(800,800,2000);
	#else
	int nLowGS = 1000;
	#endif
	
	vars B = series(LowPass(series( priceClose()),nLowGS));
	
	asset("EUR/GBP");
	#ifdef genparam
	int nLowEG = optimize(800,800,2000);
	#else
	int nLowEG = 1000;
	#endif
	
	vars C = series(LowPass(series( priceClose()),nLowEG));
	
	var pom= (1-C[0]*B[0]/A[0])*100;
	var aTest[2];
	aTest[0]=(scale(pom,100));


	asset("EUR/USD");
		#ifdef genparam
		int nHiUS = optimize(400,400,1200);
		int nTP = optimize(2,2,10);
		#else
		int nHiUS = 800;
		int nTP = 2;
		#endif
		
		aTest[1]= 100*HighPass(A,nHiUS);
		#ifdef _PLOT_
		plot("FPI",series(aTest[0]),NEW|BARS,BLUE);
		plot("HP",series(aTest[1]),NEW|BARS,BLUE);
		#endif
		
		Stop = 5*ATR(100); 
		TakeProfit = nTP*ATR(100);

		if(adviseLong(DTREE,0,aTest,2) > 0){
			Margin=CalculateMargin(_LONG);
			enterLong();
			#ifdef _PLOT_
			plot("LONG",priceClose(),MAIN|CROSS,GREEN);
			#endif
		}
		if(adviseShort(DTREE,0,aTest,2) > 0){
			Margin=CalculateMargin(_SHORT);
			enterShort();
			#ifdef _PLOT_
			plot("SHORT",priceClose(),MAIN|CROSS,RED);
			#endif
		}

	asset("GBP/USD");
	
		#ifdef genparam
		int nHiGS = optimize(400,400,1200);
		int nTPGS = optimize(2,2,10);
		#else
		int nHiGS = 800;
		int nTPGS = 2;
		#endif
		
		aTest[1]= 100*HighPass(B,nHiGS);
		Stop = 5*ATR(100); 
		TakeProfit = nTPGS*ATR(100);

		if(adviseLong(DTREE,0,aTest,2) > 0){
			Margin=CalculateMargin(_LONG);
			enterLong();
		}
		if(adviseShort(DTREE,0,aTest,2) > 0){
			Margin=CalculateMargin(_SHORT);
			enterShort();
		}
		
	asset("EUR/GBP");
	
		#ifdef genparam
		int nHiEG = optimize(400,400,1200);
		int nTPEG = optimize(2,2,10);
		#else
		int nHiEG = 800;
		int nTPEG = 2;
		#endif

		aTest[1]= 100*HighPass(C,nHiEG);
		Stop = 5*ATR(100); 
		TakeProfit = nTPEG*ATR(100);

		if(adviseLong(DTREE,0,aTest,2) > 0){
			Margin=CalculateMargin(_LONG);
			enterLong();
		}
		if(adviseShort(DTREE,0,aTest,2) > 0){
			Margin=CalculateMargin(_SHORT);
			enterShort();
		}

}

asset("EUR/USD");
       nE=optimize(...);

	asset("EUR/NZD");
       nN=optimize(...);

	asset("EUR/JPY");
       nY=optimize(...);

...
...

	asset("EUR/USD");
       nE2=optimize(...);

	asset("EUR/NZD");
       nN2=optimize(...);

	asset("EUR/JPY");
       nY2=optimize(...);