//////////////////////////////////////////	jbmarwood.com
//     20. Linear Reg & ATR             //
//////////////////////////////////////////

SetOption( "InitialEquity",  10000);			// Start with USD 10000//
SetOption( "MinShares", 0.01 );
SetOption( "MarginRequirement", 100);
SetOption( "UsePrevBarEquityForPosSizing", True ); 	// Use prev bar for equity sizing//
SetTradeDelays( 0, 0, 0, 0 );				// Trade delays applied with REF function//
SetOption( "MaxOpenpositions", 12);
SetOption("SeparateLongShortRank", True ); 
MOL = 12;
MOS = 6;
SetOption ("Maxopenlong",MOL);
SetOption ("Maxopenshort",MOS);
SetOption( "AllowSameBarExit", True );
numberpositions = 12;
SetOption("Maxopenpositions",numberpositions);
SetPositionSize( 1, spsShares );
PositionSize= -100/12;//numberpositions;

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

Index = Foreign ("SPY","C",True); 

Indexfastma = MA (Index, 13); 

Indexslowma = MA (Index, 39); 

ATR1 = Ref(ATR(20),-1);
PositionScore = ATR1-100;

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

Lopt1 = Optimize("lopt1",5,1,10,1);
Lopt2 = 15 ;
Lopt3 = 60 ;

Lin1 = MA(LinearReg(O,Lopt1),Lopt2);
Lin2 = MA(LinearReg(O,Lopt1),Lopt3);

Lin3= Cross(Lin1,Lin2);
Lin4= Cross(Lin2,Lin1);

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

Buy = Lin3 AND O>1;// AND Indexfastma > Indexslowma;// AND Volume > 100000;
Sell = Lin4;

Short = Lin4 AND O>1;
Cover = Lin3;

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

BuyPrice = (C + H) / 2;
SellPrice = (C + L) /2;
ShortPrice = SellPrice;//C;
CoverPrice = BuyPrice;//C;

Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );

Short = ExRem( Short, Cover);
Cover = ExRem( Cover, Short);

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///////////////////////// end ///////////////////////////