#define LONG 0
#define SHORT 1
bool Reinvest = false;
bool UseOptimalF = true;
var CalculateMargin(int side)
{
var value = 0.1 * Capital;
if (Reinvest)
{
value *= sqrt(Balance / Capital);
//value *= sqrt(1 + max(0, ProfitClosed/Capital));
}
if (UseOptimalF)
value *= ifelse(side == LONG, OptimalFLong, OptimalFShort);
return value;
}
int hoursLookup[300];
function Initialize()
{
int count = 0;
int startHour, endHour;
for (startHour = 0; startHour <= 23; ++startHour)
for (endHour = startHour + 1; endHour <= 24; ++endHour)
hoursLookup[count++] = (endHour % 24) * 24 + startHour;
}
int NumOpenTrades(int side)
{
string currentAsset = Asset;
string currentAlgo = Algo;
int count = 0;
for (open_trades)
{
if (strcmp(TradeAsset, currentAsset) != 0 || strcmp(TradeAlgo, currentAlgo) != 0)
continue;
if ((TradeIsLong && side == LONG) || (TradeIsShort && side == SHORT))
count++;
}
return count;
}
TRADE* EnterTrade(int side)
{
if (side == LONG)
return enterLong();
else
return enterShort();
}
void ExitTrade(int side)
{
if (side == LONG)
exitLong();
else
exitShort();
}
function TradeIS(int side)
{
int index = (int)(optimize(0, 0, 254, 1) / 254 * 299);
int startHour = hoursLookup[index] % 24;
int endHour = hoursLookup[index] / 24;
// Exit over the weekend.
if (dow() == FRIDAY && hour() >= 21)
{
exitLong();
exitShort();
}
Stop = 55 * PIP;
Trail = 10 * PIP;
// Don't trade from 00:00 to 00:00.
if (startHour == endHour)
return;
// Trade during the week.
if (dow() >= 1 && dow() <= 5)
{
Margin = CalculateMargin(side);
int numOpen = NumOpenTrades(side);
if (numOpen == 0 && hour() == startHour)
EnterTrade(side);
if (numOpen > 0 && hour() == endHour)
ExitTrade(side);
}
}
function run()
{
set(PARAMETERS + FACTORS);
StartDate = 2007;
EndDate = 2016;
BarPeriod = 60;
Capital = 10000;
DataSplit = 80;
WFOPeriod = (312 * 24) * DataSplit / (100 - DataSplit);
if (is(INITRUN))
Initialize();
while (asset(loop("AUD/USD", "EUR/USD", "GBP/USD", "NZD/USD", "USD/CAD", "USD/CHF", "USD/JPY")))
while (algo(loop("ISL", "ISS")))
{
if (Algo == "ISL")
TradeIS(LONG);
else if (Algo == "ISS")
TradeIS(SHORT);
}
}
