while(algo(loop("TRND"))) //,"ALGO2","ALGO3","ALGO4")))
		{
			NumComponents = NumLoops1*NumLoops2;
			algoSetup();
			equityCurve();
			switch(Algo) {
				case "TRND": tradeTRND(); break;
				//case "ALGO2": tradeCNTR(); break;
				//case "ALGO3": tradeALGO3(); break;
				//case "ALGO4": tradeALGO4(); break;
// add more algos here
			}

if (0 == strcmp(Algo, "TRND"))
				tradeTRND();
			else if (0 == strcmp(Algo, "CNTR"))
				tradeCNTR();

#include "stdafx.h"
#include <zorro.h>
#include <Reflex.c>

/* Trading 4 user specified algorithms
for a portfolio of assets
in a separate asset list.
User control by Capital and Panic (profit lock) sliders.
Exit by reversal and trailing stop loss.
Equity curve (phantom) trading.
OptimalF capital allocation.
Reinvestment with square root rule.
WFO training.*/


// User definitions ////////////////////////////////

#define ASSETLIST		"AssetsCurTest"	
#define STARTDATE		2012	// backtest period
#define BARPERIOD		60	
#define LOOKBACKBARS	500
#define ATRPERIOD		30		// for stop distance
#define MAXCAPITAL	10000	// slider limit
#define CAPITALFACTOR 30	// adjust for slider capital ~ required capital
//#define ZERO_COST		// Test with no spread & commission
#define WFOCYCLES		10
#define MAXTRADES		2
#define RETRAINDAYS	100	// retraining period
#define PHANTOMTIME	20		// equity curve trading

/////////////////////////////////////////////////////
//Trading Algos

vars Prices;
var Atr, Panic;
int NumComponents = 1;

// example algo

void tradeTRND()
{
	var TimePeriod = optimize(0.1, 0.025, 0.5, 0.025, 0);
	vars SmoothPrice = series(Laguerre(Prices, TimePeriod));
	int FilterPeriod = optimize(300, 50, 500, 100, 0);

	vars MMI_Raws = series(MMI(Prices, 300));
	vars MMI_Avgs = series(SMA(MMI_Raws, 300));

	if (falling(MMI_Avgs)) {
		if (valley(SmoothPrice)) {
			exitShort(); enterLong();
		}
		else if (peak(SmoothPrice)) {
			exitLong(); enterShort();
		}
	}
}

void tradeCNTR()
{
	// calculate the buy/sell signal with optimized parameters
	vars PriceAvg = series(price(0));
	vars Filtereds = series(BandPass(PriceAvg, optimize(30, 20, 40, 3, 0), 0.5));
	vars Signals = series(FisherN(Filtereds, 500));
	var Threshold = optimize(1, 0.5, 1.5, 0.1, 0);

	// buy and sell
	Stop = optimize(4, 2, 10, 2, 0) * ATR(100);
	Trail = 4 * ATR(100);

	if (crossUnder(Signals, -Threshold))
		enterLong();
	else if (crossOver(Signals, Threshold))
		enterShort();
}


void algoSetup()
{
	MaxLong = MaxShort = MAXTRADES;
	// order comment
	brokerCommand(SET_COMMENT, (DWORD)Algo);
	// Reinvestment with square root rule. 
	var CapitalPerComponent = abs(Capital) / NumComponents;
	Margin = OptimalF * CapitalPerComponent * CAPITALFACTOR * sqrt(max(0.5, 1 + ProfitClosed / CapitalPerComponent));
	// Exit by reversal and trailing stop loss. 
	Hedge = 5;
	Stop = optimize(10, 4, 30, 2, 0) * Atr;
	Trail = Stop;
	TrailLock = Panic;
}

// Equity curve (phantom) trading
void equityCurve()
{
#ifdef PHANTOMTIME
	vars Equities = series(LowPass(series(ProfitClosed + ProfitOpen), 8));
	var EquitySmooth = LowPass(Equities, PHANTOMTIME);
	if (falling(Equities) && Equities[0] < EquitySmooth && LossStreakLong + LossStreakShort > 2) {
		setf(TradeMode, TR_PHANTOM);
	}
	else {
		resf(TradeMode, TR_PHANTOM);
	}
#endif
	return;
}

/////////////////////////////////////////////////////

DLLFUNC void run()
{
	set(LOGFILE, PLOTNOW);
	BarPeriod = BARPERIOD;	// 1 hour bars
	LookBack = LOOKBACKBARS;	// needed for Fisher()
	StartDate = STARTDATE;
	setf(PlotMode, PL_DIFF);

#ifdef WFOCYCLES	
	NumCores = 16;		// use multiple cores (Zorro S only)
	set(PARAMETERS, FACTORS);  // generate and use optimized parameters and factors
	NumWFOCycles = WFOCYCLES; // activate WFO
#endif

// User control by Capital and Panic (profit lock) sliders. 
	Capital = -slider(1, MAXCAPITAL / 4, 0, MAXCAPITAL, "Capital", "Invested capital");
	Panic = slider(2, 0, 0, 100, "Panic", "Profit lock %");
#ifdef ZERO_COST // for testing only
	Spread = Commission = Slippage = RollLong = RollShort = 0;
#endif

#ifdef RETRAINDAYS
	ReTrainDays = RETRAINDAYS;
	if (ReTrain) {
		UpdateDays = -1;	// update price data from the server 
		SelectWFO = -1;	// select the last cycle for re-optimization
		set(FACTORS | OFF);	// don't generate factors when re-training
	}
#endif

	// portfolio loop
	assetList(ASSETLIST);
	while (asset(loop(Assets)))
	{
		Prices = series(priceClose(0));
		Atr = ATR(ATRPERIOD);
		while (algo(loop("TRND", "CNTR"))) //"TRND",,"ALGO2","ALGO3","ALGO4")))
		{

			NumComponents = NumLoops1 * NumLoops2;
			algoSetup();
			equityCurve();

			
			if (0 == strcmp(Algo, "TRND"))
				tradeTRND();
			else if (0 == strcmp(Algo, "CNTR"))
				tradeCNTR();

				//case "AI": tradeAI(); break;
				//case "AI2": tradeAI2(); break;
// add more algos here
		
		}
	}
	if (Init) printf("\n%i components", NumComponents);
}