// XGBoost on S&P500

#include <r.h>
#include <profile.c>
#include <contract.c>

var neural ........................
{	
...................................	
...................................	
}	
	
function run()
{	
	NumCores = 8;
set(RULES|PLOTNOW|OPENEND);
	StartDate = 20020101;
//	EndDate = 20180515;
	BarPeriod = 1440;
	LookBack = 400;
	asset("ES");  // Fantastic results when comment and select it from scrollbox
   DataSplit = 90;
   WFOPeriod = 25 * DataSplit/(100-DataSplit); /* One month test and one year train, but better profits when lower test period, this made the suspicions */
	

	vars Close = series(priceClose());
	var desv = 2;
	var volumeDown = marketVol();
	var volumeUp = marketVal();
	
/* And the signals and transformations.............
.......................................
........................................ */

	if(Train) 
	{
		 
		Hedge = 2;
		NumSampleCycles = 4;
		LifeTime = 1;
		if(adviseLong(NEURAL+BALANCED, 0, 
			Sig1,Sig2, Sig3, Sig4,Sig5,Sig6,Sig11,Sig16,Sig17,Sig18,Sig20) > 0.5)
		{
			enterLong(1);
		}
		if(adviseShort() > 0.5)
		{
			enterShort(1);
		}
	}
	
	if(!Train)
	{
		var LongPrediction = adviseLong(NEURAL+BALANCED,0, Sig1,Sig2, Sig3,Sig4,Sig5,Sig6,Sig7,Sig11,Sig16,Sig17,Sig18,Sig20);
			
		var ShortPrediction = adviseShort();

		if(LongPrediction > 0.5 && ShortPrediction < 0.5)
			{	Stop = 4*ATR(20);
		      TakeProfit = 6*ATR(20);
				reverseLong(1);
			}

		
		if(ShortPrediction > 0.5 && LongPrediction < 0.5)
			{  Stop = 4*ATR(20);
		      TakeProfit = 4*ATR(20);
				reverseShort(1);
			}
		 PlotWidth = 800;
	    PlotHeight1 = 600;
	}
 
}