ewmac.c

// EWMAC Trading ///////////////////
#include <profile.c>

function run()
{
	//+----------------------------------------------+
	//| Settings                                     |
	//+----------------------------------------------+
	// simulation period 2010-2016
	StartDate = 2010;
	EndDate = 2016; 
	Commission=0;
	Spread=0.01;
	
	PlotWidth = 1200;
	PlotHeight1 = 400;
	set(LOGFILE); // log all trades

	//+----------------------------------------------+
	//| Trading Logic                                |
	//+----------------------------------------------+
	vars Price = series(price());
	vars ret =   series(Price[0]-Price[1]);
	vars ema32 = series(EMA(Price,32));
	vars ema128 = series(EMA(Price,128));

	
	vars sd = series(StdDev(ret,25));
	vars rawdata = series(2.0*(ema32[0]-ema128[0])/sd[0]);
	vars ewmac = series(max(-20.0,min(20,rawdata[0])));

	
   
   // Entry 
	if(TradeIsOpen)
	{
		if(ewmac[0]>-5.0 && ewmac[1]<=-5.0)	exitShort();
		else if(ewmac[0]<5.0 && ewmac[1]>=5.0)exitLong();	
	}
	if(!TradeIsOpen)
	{
		if(ewmac[0]>10.0 && ewmac[1]<=10.0)	enterLong();
		else if(ewmac[0]<-10.0 && ewmac[1]>=-10.0)enterShort();		
	}

	set(PLOTNOW);
	plot("EWMAC",ewmac,NEW,RED);
	
}