/*
Disclaimer: Trading in financial instruments is risky. This code is provided for educational purposes only. No responsibility shall we accepted for any loss. 
See the full disclaimer at jbmarwood.com/disclaimer. All rights reserved. JBMARWOOD.COM.
*/

SetFormulaName("Reverse Splits");
SetOption("InitialEquity",100*1000);                   
SetOption("CommissionMode",3);              
SetOption("CommissionAmount",0); 
SetOption("AllowSameBarExit",1);
SetOption("MaxOpenPositions",2500);                
SetOption("AccountMargin",100);                   
SetOption("UsePrevBarEquityForPosSizing",False); 
SetOption("AllowPositionShrinking", True);   
SetTradeDelays(1,0,1,0); 
SetOption("ActivateStopsImmediately",True);                       
SetPositionSize(1,spsShares); 
RoundLotSize = 1;

Buy = Sell = Short = Cover = 0;
BuyPrice = ShortPrice = O;
SellPrice = CoverPrice = C;

// Rules For Delisted Shares

NonTradedPeriod = 30; //in calendar days
SecurityIsInactive = LastValue(DateTimeDiff(Now(5),DateTimeAdd(DateTime(), NonTradedPeriod, inDaily))) >= 0;
OnSecondLastBarOfInactiveSecurity = BarIndex() == (LastValue(BarIndex()) -1) AND SecurityIsInactive;
OnLastTwoBarsOfInactiveSecurity = BarIndex() >= (LastValue(BarIndex()) -1) AND SecurityIsInactive;

// Liquidity & Reverse Split Rules

Liquid=	Ref(OpenInt,-1) < 50 AND IsIndexConstituent("$RUmic") AND NOT OnLastTwoBarsOfInactiveSecurity;
RealChange = C/Ref(C,-1);
UnadjustedChange = OpenInt/Ref(OpenInt,-1);
ReverseSplit = RealChange < 1.999 AND UnadjustedChange > 1.999;

// Entry and exit rules

Buy = Short = Liquid AND ReverseSplit;
Sell = Cover =  OnLastTwoBarsOfInactiveSecurity;

Sellperiod = Optimize("prd",9,1,50,1);
ApplyStop( stopTypeNBar, stopModeBars, sellperiod);