FAT STRATEGY build 0002
// Build 0002

//#define ASSETLOOP "EUR/USD","GBP/USD","USD/CAD","AUD/USD","USD/JPY", "XAU/USD", "XAG/USD","NAS100","SPX500","GER30","US30","UK100"//FOREX SET

#define ASSETLOOP "EUR/USD","USD/JPY","XAU/USD","SPX500"//MIN FOREX SET

//#define ASSETLOOP "EUR/USD" //test asset

#define CMP 0 // 0: Activate compound. Any non zero value no compound. Not sure if required, bur always train with non zero, trade as you like


// equity curve trading: switch to phantom mode when the equity
// curve goes down and is below its own lowpass filtered value
function checkEquity()
{
if(Train) { Lots = 1; return; } // no phantom trades in training mode
vars EquityCurve = series(ProfitClosed+ProfitOpen);
vars EquityLP = series(LowPass(EquityCurve,10));
if(EquityLP[0] < LowPass(EquityLP,100) && falling(EquityLP))
Lots = -1; // drawdown -> phantom trading
else
Lots = 1; // profitable -> normal trading
}

function enterFSLong()
{
if(CMP == 0) {
Margin = OptimalFLong * Capital * sqrt(1 + max(0,(WinLong-LossLong))/Capital)/100;
enterLong();
} else enterLong();
}

function enterFSShort()
{
if(CMP == 0) {
Margin = OptimalFShort * Capital * sqrt(1 + max(0,(WinShort-LossShort)/Capital))/100;
enterLong();
} else enterLong();
}

function CLSTR()
{
TimeFrame=24;

Stop = 2*ATR(14);
Trail = Stop;
TrailLock = 10;

checkEquity();

var dayL = optimize(40,10,80);
var dayS = optimize(40,10,80);

if (priceHigh() >= HH(dayL)) enterFSLong();
if (priceLow() <= LL(dayS)) enterFSShort();
}

function CNTR()
{
TimeFrame = 4;
Trail = 0;

vars Price = series(price());
vars Filtered = series(BandPass(Price,optimize(30,20,40),0.5));
vars Signal = series(Fisher(Filtered,500));
var Threshold = optimize(1,0.5,1.5,0.1);

checkEquity();

if(crossUnder(Signal,-Threshold)) enterFSLong();
else if(crossOver(Signal,Threshold)) enterFSShort();
}

function TRND()
{
TimeFrame = 1;
Stop = optimize(4,2,8) * ATR(100);
Trail = 0;

var compound = CMP;
vars Price = series(price());
vars Trend = series(LowPass(Price,optimize(500,300,800)));

checkEquity();

if(valley(Trend)) enterFSLong();
else if(peak(Trend)) enterFSShort();
}

function run()
{
set(PARAMETERS+FACTORS); // generate and use optimized parameters and factors

BarPeriod = 60; // 1 hour bars
LookBack = 10000; // needed for Fisher()
NumWFOCycles = 6; // activate WFO

StartDate = 2009;
EndDate = 2014;
Hedge=5;

if(CMP==0) Capital=5000;

if(ReTrain) {
UpdateDays = -1; // update price data from the server
SelectWFO = -1; // select the last cycle for re-optimization
reset(FACTORS); // don't generate factors when re-training
}
NumWFOCycles = 6; // activate WFO



// portfolio loop
while(asset(loop(ASSETLOOP)))
while(algo(loop("TRND","CNTR","CLSTR")))
{
if(Algo == "TRND")
TRND();

if(Algo == "CNTR")
CNTR();

if(Algo == "CLSTR")
CLSTR();
}

PlotWidth = 700;
PlotHeight1 = 400;
//ColorUp = ColorDn = ColorWin = ColorLoss = 0; // don't plot candles and trades
//set(TESTNOW+PLOTNOW);
}