// Workshop 5: Counter trend trading, optimized ////////////////

function reverseShort(int MaxTrades)
{
	// update the stops and profit targets of open trades
	if(Stop > 0) exitShort(0,priceClose()+Stop);
	if(TakeProfit > 0) exitShort(0,-(priceClose()-TakeProfit));
 
	// if MaxTrades is not reached, open a new trade
	if(NumOpenShort < MaxTrades)
	{
		// reinvest the square root of profits
		//var MarginShort = sqrt(WinShort-LossShort)*OptimalFShort;
		//Margin = clamp(MarginShort, 5, 300); //max $300 per trade
		enterShort();
	}

	// otherwise, close all opposite trades
	else if(!mode(HEDGING)) exitLong();
	return 0;
}

function reverseLong(int MaxTrades)
{
	// update the stops and profit targets of open trades
	if(Stop > 0) exitLong(0,priceClose()-Stop);
	if(TakeProfit > 0) exitLong(0,-(priceClose()+TakeProfit));
 
	// if MaxTrades is not reached, open a new trade
	if(NumOpenLong < MaxTrades)
	{
		// reinvest the square root of profits
		//var MarginLong = sqrt(WinLong-LossLong)*OptimalFLong;
		//Margin = clamp(MarginLong, 5, 300); //max $300 per trade
		enterLong(); }

	//otherwise, close all opposite trades
	else if(!mode(HEDGING)) exitShort();
	return 0;
}

function run()
{
	set(PARAMETERS+FACTORS+NFA);  // generate and use optimized parameters
	BarPeriod = 240;	// 4 hour bars
	LookBack = 500;
	StartDate = 2002;
	//EndDate = 2009;
	NumWFOCycles = 5; // activate WFO

	if(ReTrain) {
		UpdateDays = -1;	// update price data from the server 
		SelectWFO = -1;	// select the last cycle for re-optimization
	}

// portfolio loop
	while(asset(loop("EURDKK","GBPCHF","EURUSD","GBPJPY","GBPNZD","AUDJPY","AUDCAD","EURJPY",
		"CHFJPY","EURGBP","GBPCAD","GBPAUD","EURAUD","EURCHF","EURNZD","NZDCHF")))
	{	
		// calculate the buy/sell signal
		vars Price = series(price());
		vars DomPeriod = series(DominantPeriod(Price,30));
		var LowPeriod = LowPass(DomPeriod,500);
		vars HP = series(HighPass(Price,LowPeriod*optimize(1,0.5,2)));
		vars Signal = series(Fisher(HP,500));
		var Threshold = optimize(1,0.5,2,0.1);

		Stop = optimize(4,2,8) * ATR(100);
		Trail = 4*ATR(100);

		//when training, force all trades so we can see what would be profitable via OptimalF
		if(is(TRAINMODE))
		{
			if(crossUnder(Signal,-Threshold)) reverseLong(1);
			else if(crossOver(Signal,Threshold)) reverseShort(1);
		}

		//when testing/trading only trade those known profitable via OptimalF
		if(is(TESTMODE) || (TRADEMODE)) 
		{
			//Allow more long trades for known-more-profitable
			if(crossUnder(Signal,-Threshold) && (OptimalFLong >= .15)) reverseLong(3); //known very big win
			else if(crossUnder(Signal,-Threshold) && (OptimalFLong >= .1)) reverseLong(2); //known big win
			else if(crossUnder(Signal,-Threshold) && (OptimalFLong >= .001)) reverseLong(1); //known win
	
			//Allow more short trades for known-more-profitable
			else if(crossOver(Signal,Threshold) && (OptimalFShort >= .15)) reverseShort(3); //known very big win
			else if(crossOver(Signal,Threshold) && (OptimalFShort >= .1)) reverseShort(2); //known big win
			else if(crossOver(Signal,Threshold) && (OptimalFShort >= .001)) reverseShort(1); //known win
		}

	} //while loop

	PlotWidth = 1000;
	PlotHeight1 = 600;
}