Optimization

// Currency Strength Strategy /////////////////////
// Exploits price shocks f.i. by CHF cap and Brexit

function run()
{
	set(PARAMETERS);  // Not as original
 	NumYears = 7; 		// Not as original
  	BarPeriod = 60;
  	Margin = 50;  		// Not as original
  	ccyReset();  // reset strengths at begin of any bar
  
  	string Name;
  	while(Name = (loop(Assets)))
  	{
    	if(assetType(Name) != FOREX) 
      continue; // Currency pairs only
    	asset(Name);
    	vars Prices = series(priceClose());
    	ccySet(ROC(Prices, 1)); // store price change as strength
  	}
  
// get currency pairs with highest and lowest strength difference
  	string Best = ccyMax(), Worst = ccyMin();
  	var Threshold = optimize(1.0, 1.0, 2.0, 0.1);  // Not as original

  	static char OldBest[10], OldWorst[10];  // static for keeping contents between runs
  	if(*OldBest && !strstr(Best,OldBest)) { // new strongest asset?
  		asset(OldBest);
   	exitLong();
  		if(ccyStrength(Best) > Threshold) {
   		asset(Best);
     		enterLong();
   	}
  	} 
  
 	if(*OldWorst && !strstr(Worst,OldWorst)) { // new weakest asset?
   	asset(OldWorst);
   	exitShort();
   	if(ccyStrength(Worst) < -Threshold) {
      	asset(Worst);
      	enterShort();
   	}
  	}