// Regime switching ///////////////////
#include <profile.c>
#define USE_PREDICT

function run()
{
	//StartDate = 20150101;
	EndDate = 20171231; // fixed simulation period 
	Verbose = 2;
	BarPeriod = 1440;

	LookBack = 300;	// needed for MMI
	asset("SPY");
	set(LOGFILE,PLOTNOW); // log all trades

	vars Prices = series(priceClose());
	
	// get the trend series  	
	vars Osc = series(StochEhlers(series(price()),10,20,10));
	
	// get the RSI series  
   vars RSI12 = series(RSI(Prices,12));
		
	// Regime decision ////////////////////
	// Calc indicator	- percentrank(MA(percentrank(Stdev(close,21),252),21),250)
	vars std = series(StdDev(Prices,20));	
	vars pcr_std = series(PercentRank(std, 252,std[0])); // returns a value
	vars sma_pcr = series(SMA(pcr_std,21));
	vars pcr_sma = series(PercentRank(sma_pcr, 252,sma_pcr[0]));		

	
	// Trend following - Ehler's 
	if(pcr_sma[0] < 50) 
	{
		#ifndef USE_PREDICT	
		if(crossOver(Osc,0.8)) 
			enterShort();
		if(crossUnder(Osc,0.2))
			enterLong();
		#else		
		if(predict(CROSSOVER,series(Osc[0]-0.8),10,0.01) > -5) 
			enterShort();
		if(predict(CROSSOVER,series(0.2-Osc[0]),10,0.01) > -5) 
			enterLong();
	}	



	// MR - RSI 2
	else
	{				 
		// set up stop / profit levels
		  Stop = 200*PIP;
		  TakeProfit = 200*PIP;
		 
		// if rsi crosses over buy level, exit short and enter long
		  if(crossOver(RSI12,75))
			 enterLong();
		// if rsi crosses below sell level, exit long and enter short
		  if(crossUnder(RSI12,25))
			 enterShort();
	
	}
	// Plotting

	//plotTradeProfile(-50); 
	
	plot("StochEhlers",Osc,NEW,RED);
	plot("Threshold1",.2,0,BLACK);
	plot("Threshold2",.8,0,BLACK);
	
	
	
	
	
	
}

    vars c1 = series(Osc[0]-0.8);
	vars c2 = series(0.2-Osc[0]);
	// Trend following - Ehler's 
	if(pcr_sma[0] < 50) 
	{
		#ifndef USE_PREDICT	
		if(crossOver(Osc,0.8)) 
			enterShort();
		if(crossUnder(Osc,0.2))
			enterLong();
		#else		
		if(predict(CROSSOVER,c1,10,0.01) > -5) 
			enterShort();
		if(predict(CROSSOVER,c2,10,0.01) > -5) 
			enterLong();
        #endif
	}