Two-Day Range Midline Cross

// ============================================================
// Two-Day Range Midline Cross
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long & short
// Timeframe tested: 5 minutes
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false
DEFPARAM PreloadBars = 1000

// --- Parameters ---
positionSize = 1              // base unit; entries and each partial exit use multiples of it
longSizeMultiplier = 4        // longs open with 4 units and scale out
shortSizeMultiplier = 3       // shorts open with 3 units and scale out
daysBack = 1                  // range covers today plus this many previous days
trendPeriod = 56              // trend average length
trendMAType = 3               // average type of the trend average (applied to total price)
levelPeriod = 10              // smoothing length of the upper and lower levels
levelMAType = 4               // average type of the level smoothing
longTargetOne = 40            // first long partial exit, points above entry
longTargetTwo = 20            // second long partial exit, points above entry
longTargetThree = 18          // third long partial exit, points above entry
shortTargetOne = 40           // first short partial exit, points below entry
shortTargetTwo = 78           // second short partial exit, points below entry
trailStopPoints = 33          // trailing stop distance from the best close
stopLossPoints = 200          // protective stop in points

// --- Indicators ---
weekendBar = OpenDayOfWeek = 6 OR OpenDayOfWeek = 0

trendMA = Average[trendPeriod, trendMAType](TotalPrice)

// Highest high and lowest low of today and the previous day(s).
rangeHigh = 0
FOR i = 0 TO daysBack DO
  IF DHigh(i) > rangeHigh OR rangeHigh = 0 THEN
    rangeHigh = DHigh(i)
  ENDIF
NEXT

rangeLow = 0
FOR i = 0 TO daysBack DO
  IF DLow(i) < rangeLow OR rangeLow = 0 THEN
    rangeLow = DLow(i)
  ENDIF
NEXT

midLevel = (rangeHigh + rangeLow) / 2
upperLevel = Average[levelPeriod, levelMAType]((rangeHigh + midLevel) / 2)
lowerLevel = Average[levelPeriod, levelMAType]((rangeLow + midLevel) / 2)