// ============================================================================
// Shiller NN EUR/USD — ML trading demo (Zorro / lite-C)
//
// • Learner: PERCEPTRON (+BALANCED) on a compact 8-feature vector.
// • Trigger: edge = predL - predS with a simple RSI + momentum fallback.
// • Plots: (name, value, color, style); panels anchored correctly.
// ============================================================================

#include <default.c>

// ===== Configuration =====
#define LOOKBACK   200     // Bars required before running the model/logic
#define BarMins    1440    // Daily bars
#define LotsFixed  1       // Position size per entry
#define EdgeMin    0.05    // ML edge threshold (predL - predS) to trigger a trade

// ===== Safe helpers =====
var safe_div(var a, var b)
{
  if (invalid(a) || invalid(b) || b == 0) return 0;
  return a/b;
}

var safe_logratio(var a, var b)
{
  if (invalid(a) || invalid(b) || b == 0) return 0;
  var r = a/b;
  if (invalid(r) || r <= 0) return 0;
  return log(r);
}

// NOTE: plot(name, value, color, style)
// We'll pass color first, then style flags (e.g., LINE, NEW, MAIN, etc.)
void plot_safe(string name, var v, int color, int style)
{
  if (!invalid(v) && v > -1e-12 && v < 1e12)
    plot(name, v, color, style);
}

// ===== Main strategy =====
function run()
{
  // Session (file-free; no RULES ? no rule files created/loaded)
  StartDate = 2010;
  EndDate   = 2025;
  BarPeriod = BarMins;
  LookBack  = LOOKBACK;
  Capital   = 10000;
  set(PARAMETERS|PLOTNOW);
  Hedge = 0;
  asset("EUR/USD");

  // Base series
  vars PC = series(priceClose());  // Close series for returns/momentum
  vars PX = series(price());       // Price series for RSI

  // Derived series (allocated once, updated every bar)
  static vars R1;     if (!R1)    R1    = series(0);  // 1-bar log return
  static vars MOM5;   if (!MOM5)  MOM5  = series(0);  // 5-bar momentum
  static vars MOM20;  if (!MOM20) MOM20 = series(0);  // 20-bar momentum
  static vars DP;     if (!DP)    DP    = series(0);  // dp proxy = log(D/P)

  if (Bar > 0)  R1[0]    = safe_logratio(PC[0], PC[1]);   else R1[0]    = 0;
  if (Bar > 5)  MOM5[0]  = safe_logratio(PC[0], PC[5]);   else MOM5[0]  = 0;
  if (Bar > 20) MOM20[0] = safe_logratio(PC[0], PC[20]);  else MOM20[0] = 0;

  // Constant carry vs price ? dp_t = log(D_t / P_t) (simple demonstration proxy)
  var carryDaily = 0.015/252.;  // ~1.5% p.a.
  if (Bar > 0) DP[0] = safe_logratio(carryDaily, PC[0]); else DP[0] = 0;

  // Indicators with warmup guards
  var vola  = 0;  if (Bar >= 21) vola  = StdDev(R1, 20);
  var atr20 = 0;  if (Bar >= 21) atr20 = ATR(20);
  var rsi14 = 50; if (Bar >= 15) rsi14 = RSI(PX, 14);

  // dp z-score (window Wz)
  var zDP = 0; int Wz = 500;
  if (Bar >= Wz) {
    int i; var mean = 0, s2 = 0;
    for (i = 0; i < Wz; i++) mean += DP[i];
    mean /= (var)Wz;
    for (i = 0; i < Wz; i++) { var d = DP[i] - mean; s2 += d*d; }
    var sd = sqrt(max(1e-12, s2/(Wz - 1)));
    if (sd > 0) {
      zDP = (DP[0] - mean) / sd;
      if (zDP >  10) zDP =  10;
      if (zDP < -10) zDP = -10;
    }
  }

  if (Bar < LOOKBACK) {
    // Anchor price panel early so the chart opens immediately
    plot_safe("Close", priceClose(), 0, MAIN|LINE);
    return;
  }

  // Feature vector (?20)
  var F[8];
  F[0] = zDP;
  F[1] = MOM5[0];
  F[2] = MOM20[0];
  F[3] = vola;
  F[4] = rsi14/100.;
  F[5] = safe_div(atr20, PC[0]);
  F[6] = R1[0];
  F[7] = safe_logratio(PC[0], PC[10]);

  // Built-in ML (file-free: no RULES)
  var predL = adviseLong (PERCEPTRON + BALANCED, 0, F, 8);
  var predS = adviseShort(PERCEPTRON + BALANCED, 0, F, 8);

  // Trading logic: edge trigger with simple fallback
  var edge = predL - predS;
  Lots = LotsFixed;

  int didTrade = 0;
  if (!invalid(edge) && edge > EdgeMin) {
    exitShort(); enterLong();  didTrade = 1;
  } else if (!invalid(edge) && edge < -EdgeMin) {
    exitLong();  enterShort(); didTrade = 1;
  }

  if (!didTrade) {
    if (rsi14 > 55 && MOM5[0] > 0) { exitShort(); enterLong();  didTrade = 1; }
    else if (rsi14 < 45 && MOM5[0] < 0) { exitLong(); enterShort(); didTrade = 1; }
    else { exitLong(); exitShort(); }
  }

  // ===== Plots (color, style) =====
  // Price on the main chart
  plot_safe("Close", priceClose(), 0, MAIN|LINE);

  // Open a NEW indicator panel with 'edge', then add other lines to the same panel
  plot_safe("edge",  edge,  0, NEW|LINE);   // NEW opens the panel
  plot_safe("predL", predL, 0, LINE);
  plot_safe("predS", predS, 0, LINE);
  plot_safe("RSI",   rsi14, 0, LINE);
  plot_safe("z(dp)", zDP,   0, LINE);
}

// ============================================================================
// BLA03x10_WFO_train_test.c
// EUR/USD — Single-script ML trading with explicit Train/Test separation.
// Zorro / lite-C
//
// • Train run (click “Train”): writes per-cycle RULE files (no TESTNOW).
// • Test/Trade run (click “Test” or “Trade”): loads the RULE files created in Train.
// • Learner: PERCEPTRON + BALANCED 
// • WFO supported via NumWFOCycles + DataHorizon (same in Train & Test).
// • Consistent asset() + algo() + advise* signature in both phases.
// • No ternary operator; guarded indicators; compact 8-feature vector.
// ============================================================================

#include <default.c>

// ===== Switches / Knobs =====
#define USE_WFO         1        // 0 = single IS block; 1 = Walk-Forward (IS/OOS cycles)
#define WFO_CYCLES      6        // number of WFO cycles (Train & Test must match)
#define WFO_OOS_BARS    252      // OOS length per cycle in bars (daily ? 1y)

#define LOOKBACK        200      // warmup bars before any model/logic
#define BarMins         1440     // 1D bars
#define LotsFixed       1        // fixed position size
#define EdgeMin         0.05     // edge = predL - predS threshold

// ===== Safe helpers =====
var safe_div(var a,var b){ if(invalid(a)||invalid(b)||b==0) return 0; return a/b; }
var safe_logratio(var a,var b){
  if(invalid(a)||invalid(b)||b==0) return 0;
  var r=a/b; if(invalid(r)||r<=0) return 0; return log(r);
}
// plot(name, value, color, style)
void plot_safe(string n, var v, int c, int s){ if(!invalid(v)&&v>-1e12&&v<1e12) plot(n,v,c,s); }

// ===== Main =====
function run()
{
  // -------- Session (identical in Train and Test except RULES/Hedge flags) --------
  StartDate = 2010;
  EndDate   = 2025;
  BarPeriod = BarMins;
  LookBack  = LOOKBACK;
  Capital   = 10000;

  if(USE_WFO){
    NumWFOCycles = WFO_CYCLES;
    DataHorizon  = WFO_OOS_BARS;         // OOS size per cycle
  } else {
    NumWFOCycles = 1;
    DataHorizon  = 0;
  }

  set(PARAMETERS|PLOTNOW);               // common flags

  // Explicit Train/Test separation (no TESTNOW auto phase switching)
  if(Train){
    set(RULES);                          // write RULE files during Train only
    Hedge = 2;                           // generate both L/S samples while training
  } else {
    Hedge = 0;                           // Test/Trade loads RULE files, no writing
  }

  asset("EUR/USD");
  algo("dp");                            // part of RULE key: <Asset>:<Algo>:<L|S>

  // -------- Base series --------
  vars PC = series(priceClose());        // close for returns/momentum
  vars PX = series(price());             // price for RSI

  // -------- Derived series (allocated once, updated every bar) --------
  static vars R1;     if(!R1)    R1    = series(0);  // 1-bar log return
  static vars MOM5;   if(!MOM5)  MOM5  = series(0);  // 5-bar log momentum
  static vars MOM20;  if(!MOM20) MOM20 = series(0);  // 20-bar log momentum
  static vars DP;     if(!DP)    DP    = series(0);  // dp proxy = log(D/P)

  if(Bar > 0)  R1[0]    = safe_logratio(PC[0],PC[1]);  else R1[0]    = 0;
  if(Bar > 5)  MOM5[0]  = safe_logratio(PC[0],PC[5]);  else MOM5[0]  = 0;
  if(Bar > 20) MOM20[0] = safe_logratio(PC[0],PC[20]); else MOM20[0] = 0;

  var carryDaily = 0.015/252.;
  if(Bar > 0) DP[0] = safe_logratio(carryDaily, PC[0]); else DP[0] = 0;

  // -------- Indicators with guards --------
  var vola  = 0;  if(Bar >= 21) vola  = StdDev(R1,20);
  var atr20 = 0;  if(Bar >= 21) atr20 = ATR(20);
  var rsi14 = 50; if(Bar >= 15) rsi14 = RSI(PX,14);

  // -------- dp z-score (window Wz) --------
  var zDP = 0; int Wz = 500;
  if(Bar >= Wz){
    int i; var mean=0, s2=0;
    for(i=0;i<Wz;i++) mean += DP[i];
    mean /= (var)Wz;
    for(i=0;i<Wz;i++){ var d = DP[i]-mean; s2 += d*d; }
    var sd = sqrt(max(1e-12, s2/(Wz-1)));
    if(sd > 0){
      zDP = (DP[0]-mean)/sd;
      if(zDP > 10)  zDP = 10;
      if(zDP < -10) zDP = -10;
    }
  }

  // Anchor main panel early
  if(Bar < LOOKBACK){
    plot_safe("Close", priceClose(), BLACK, MAIN|LINE);
    return;
  }

  // -------- Feature vector (? 20) --------
  var F[8];
  F[0] = zDP;
  F[1] = MOM5[0];
  F[2] = MOM20[0];
  F[3] = vola;
  F[4] = rsi14/100.;
  F[5] = safe_div(atr20, PC[0]);
  F[6] = R1[0];
  F[7] = safe_logratio(PC[0], PC[10]);

  // -------- Built-in ML calls (IDENTICAL in Train & Test) --------
  // Important: same method flags, same slot number, same feature length & order,
  // same asset() and algo() ? ensures matching rule keys and file names.
  var predL = adviseLong (PERCEPTRON + BALANCED, 0, F, 8);
  var predS = adviseShort(PERCEPTRON + BALANCED, 0, F, 8);

  // -------- Execution logic (common) --------
  var edge = predL - predS;
  Lots = LotsFixed;

  int didTrade = 0;
  if(!invalid(edge) && edge > EdgeMin){ exitShort(); enterLong();  didTrade = 1; }
  else if(!invalid(edge) && edge < -EdgeMin){ exitLong(); enterShort(); didTrade = 1; }

  if(!didTrade){
    if(rsi14 > 55 && MOM5[0] > 0) { exitShort(); enterLong();  didTrade = 1; }
    else if(rsi14 < 45 && MOM5[0] < 0) { exitLong(); enterShort(); didTrade = 1; }
    else { exitLong(); exitShort(); }
  }

  // -------- Plots --------
  plot_safe("Close", priceClose(), BLACK, MAIN|LINE);
  plot_safe("edge",  edge,  GREEN, NEW|LINE);
  plot_safe("predL", predL, BLUE,  LINE);
  plot_safe("predS", predS, RED,   LINE);
  plot_safe("RSI",   rsi14, 0x404040, LINE);
  plot_safe("z(dp)", zDP,   0x800080, LINE);
}