/// Concretum Intraday SPY strategy ///
/// Based on https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4824172 ///

var UpperBoundary;
var LowerBoundary;

function calculateNoiseArea() {
   int Lookback = 14;
   int i; 
   int BarsPerDay = 13; 
   var volatilityMultiplier = 1.; 
   var OpenPrice = priceOpen(0);
   var SumMove = 0;

   for(i = 1; i <= Lookback; i++) {
      var PreviousOpen = priceOpen(i * BarsPerDay); 
      var PreviousClose = priceClose(i * BarsPerDay - (BarsPerDay - 1)); 
      var Move = abs(PreviousClose / PreviousOpen - 1);
      SumMove += Move;
   }

   var AvgMove = SumMove / Lookback;

   UpperBoundary = OpenPrice * (1 + volatilityMultiplier * AvgMove);
   LowerBoundary = OpenPrice * (1 - volatilityMultiplier * AvgMove);

   var PreviousClose = priceClose(1); 
   if(OpenPrice > PreviousClose) {
      UpperBoundary += (OpenPrice - PreviousClose);
   } else {
      LowerBoundary -= (PreviousClose - OpenPrice);
   }
}

void run() {
   Verbose = 3;
   NumCores = -2; 
   set(PLOTNOW|LOGFILE|TESTNOW);
   setf(PlotMode, PL_DIFF);
   StartDate = 2011;
   EndDate = 2023;
   LookBack = 14 * 13 + 1;
   BarPeriod = 1;  
   // BarZone = EST;
   StartMarket = 0930;  // Start of market hours
   EndMarket = 1600;    // End of market hours
   Capital = Margin = 10000;
	BarMode = BR_NOSHIFT+BR_SLEEP; // Only calculate and trade during market hours 
   asset("SPY");
   MaxLong = MaxShort = -1;
   
   vars Prices = series(priceClose());
   vars Volumes = series(marketVol());
   var VWAP = VWAV(Prices, Volumes, 14); 

   calculateNoiseArea();

   if(crossOver(Prices, UpperBoundary))  
      enterLong();
   
   if(crossUnder(Prices, LowerBoundary)) 
      enterShort();
   
   if(TradeIsLong && (Prices[0] < UpperBoundary || crossUnder(Prices, VWAP)))
      exitLong();

   if(TradeIsShort && (Prices[0] > LowerBoundary || crossOver(Prices, VWAP)))
      exitShort();

   if(tod() == 1530){ 
      exitShort();
      exitLong();
   }

   // Plot the indicators
   plot("VWAP", VWAP, LINE, PURPLE);
   plot("Upper Boundary", UpperBoundary, LINE, BLUE);
   plot("Lower Boundary", LowerBoundary, LINE, YELLOW);
   plot("MarketVol", marketVol(), BARS|NEW, BLUE);
}