int TrailingStop(var range )

{

  if(TradeIsLong and TradeIsOpen and TradeProfit > 0)

    TradeStopLimit = max(TradeStopLimit,LL(range));

  else if(TradeIsShort and TradeIsOpen and TradeProfit > 0)      

           TradeStopLimit = min(TradeStopLimit,HH(range));

return 0;

}

 

function run()

{

 

          set(PARAMETERS+FACTORS); 

          AssetList = "AssetsOandaEUR100extended.csv";

          BarPeriod = 60;        // 1 hour bars

          LookBack = 1800;    

          NumYears = 10;

          NumWFOCycles = 10;

          Hedge = 2;

          Weekend = 2;

          StartWeek = 10400; // start Monday 4 am

          EndWeek = 51900; // end Friday 7 pm

          if(Train) {

          Detrend = PRICES;

          NumSampleCycles = 4; }

         

 

          Capital = slider(1,4000,0,7000,"Capital","initial captial");

         

          Margin = 0.5 * OptimalF * Capital;

         

         

          int i=0;

 

          for(i=0; Assets[i]; i++)

          {asset(Assets[i]);

          i++;}

         

          var Threshold = optimize(1,0.25,3,0.25);

          int r = optimize(20,1,20,2);

         

 

  

          ccyReset();

  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();

   asset(Best);

   vars Prices_b = series(priceClose());

          vars roc_b = series(ROC(Prices_b,1));

          vars zscore_b = series(zscore(roc_b[0],1800));

          asset(Worst);

          vars Prices_w = series(priceClose());

          vars roc_w = series(ROC(Prices_w,1));

          vars zscore_w = series(zscore(roc_w[0],1800));

 

                   

          static char OldBest[8], OldWorst[8]; // static for keeping contents between runs

  if(*OldBest && !strstr(Best,OldBest)) { // new strongest asset?

    asset(OldBest);

    exitLong();

    if(zscore_b[0] > Threshold) {

      asset(Best);

                    Stop = 2*ATR(20);

      enterLong(TrailingStop,r);

    }

  }

  if(*OldWorst && !strstr(Worst,OldWorst)) { // new weakest asset?

    asset(OldWorst);

    exitShort();

    if(zscore_w[0] < -Threshold) {

      asset(Worst);

                    Stop = 2*ATR(20);

      enterShort(TrailingStop,r);

    }

  }

 

// store previous strongest and weakest asset names 

  strcpy(OldBest,Best);

  strcpy(OldWorst,Worst);


}