/*
Mean reversion system by Financial-Hacker.com
http://www.financial-hacker.com/build-better-strategies-part-2-model-based-systems/
*/

#include <profile.c>

function run()
{
	StartDate = 20050101;
	EndDate = 20101231;
	BarPeriod = 1440; // 1 day
	BarZone = ET; // SPY is in New York
	BarOffset = 15*60 + 50; // set the bar end to 15:50, 10 minutes before the market close	
	LookBack = 1000;
	asset("SPY");
	set(PRELOAD|LOGFILE|PLOTNOW);
	PlotHeight1 = 800; // height of the chart with results
	PlotWidth = 2000;

	vars Price = series(price());
	vars Filtered = series(HighPass(Price,30));
	vars Signal = series(FisherN(Filtered,500));
	vars HurstVar = series(Hurst(Price,500));
	var Threshold = 1.0;

	if(Hurst(Price,500) < 0.5) { // do we have mean reversion?
		if(crossUnder(Signal,-Threshold))
			reverseLong(1); 
		else if(crossOver(Signal,Threshold))
			reverseShort(1);
	}
	
	plot("HurstVar",HurstVar,3,DARKGREEN);
	plot("HighPass",Filtered,3,BLUE);
	plot("FisherN",Signal,3,BLUE);
}