#define Y "AUD/USD"
#define X "XAU/USD"

function run() 
{
 
 set(PLOTNOW,LOGFILE);
 BarPeriod = 1440;	
 StartDate = 20100101;
 EndDate   = 20101231; 
 Capital   = 100000;
 LotAmount  = 1;
  
 int period = 6;
 int ATRperiod = 20;
 int RiskAllocation = 10000;
 int MidUpper = 55;
 int MidLower = 45; 
 int upperThreshold = 90;
 int lowerThreshold = 10; 
 int maxOpen = 2;
 
 LOOKBACK = max(ATRperiod,period);


	asset(Y);
	 vars percntReturnsY = series(((priceClose(0)-priceClose(1))/priceClose(0))*100);
	 vars stocY    = series((priceClose(period)- priceLow(period))/(priceHigh(period)-priceLow(period)));
	 var AtrY      =  ATR(ATRperiod);
	 
	asset(X);
	vars percntReturnsX = series(((priceClose(0)-priceClose(1))/priceClose(0))*100);
	vars stocX    = series((priceClose(period)- priceLow(period))/(priceHigh(period)-priceLow(period)));	 
	var AtrX      =  ATR(ATRperiod);

	vars stocDiff = series(stocY[0] - stocX[0]);
	vars ZScore   = series(zscore(stocDiff[0], period));
	vars stocNorm = series((normalize(stocDiff[0], period)*0.5)+50);

	var  yLots =  max(round(RiskAllocation/(priceClose(0)*LotAmount)),1);
	var  xLots = max(round((RiskAllocation/(priceClose(0)*LotAmount))*(AtrY/AtrX)),1);

	
// -------------------------------
// Exit all trades  on friday at 6pm
// -------------------------------	
	if(dow() == FRIDAY && hour() >= 18) {   exitLong("*");  exitShort("*");}

// -------------------------------
// trade logic 
// -------------------------------
    // exit on cross midpoints
    if(crossOver(stocNorm, MidLower) or crossUnder(stocNorm, MidUpper)) 
    {
        asset(X);
        exitLong(); exitShort();
        asset(Y);
        exitLong(); exitShort();
    }
	


	  if(NumOpenTotal < maxOpen)  {
        if(crossUnder(stocNorm, lowerThreshold)) // buying the spread (long Y, short X)
        {
	   asset(Y);
	   Lots = yLots;
            enterLong();

            asset(X);
	    Lots = xLots;
            enterShort();
        }
        if(crossOver(stocNorm, upperThreshold)) // shorting the spread (short Y, long X)
        {
		asset(Y);
		Lots = yLots;
		enterShort();

		asset(X);
		Lots = xLots;
		enterLong();
        }
     }

}