Heikin Ashi TDI Cross: RSI Signal Lines With Heikin Ashi Filters

// ============================================================
// Heikin Ashi TDI Cross
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Momentum
// Direction: Long & short
// Timeframe tested: 4 hours
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
startingEquity = 20000    // equity base added to strategy profit for sizing
equityPerStep = 100000    // each step of this much equity adds one contract
baseSize = 3              // normal size before equity steps
streakSize = 5            // size after three winning trades in a row
lossCut = 2               // size reduction after three losing trades in a row
minSize = 2               // never trade fewer contracts than this
rsiPeriod = 13            // RSI length
fastSignalPeriod = 2      // fast RSI signal line length
slowSignalPeriod = 7      // slow RSI signal line length
priceMAPeriod = 5         // typical price average used as the price filter
midLevel = 50             // RSI signal midline
longExitCap = 68          // long exit only while the fast line is below this
shortExitFloor = 32       // short exit only while the fast line is above this

// --- Indicators ---
// Size grows with equity, shrinks after three losers, jumps after three winners.
equity = StrategyProfit + startingEquity
riskSteps = round(equity / equityPerStep)
lossStreak = PositionPerf(1) < 0 AND PositionPerf(2) < 0 AND PositionPerf(3) < 0
winStreak = PositionPerf(1) > 0 AND PositionPerf(2) > 0 AND PositionPerf(3) > 0
IF lossStreak THEN
  positionSize = Max(abs(round(Max(baseSize + riskSteps - lossCut, riskSteps - lossCut))), minSize)
ELSE
  positionSize = Max(abs(round(Max(baseSize + riskSteps, riskSteps))), minSize)
ENDIF
IF winStreak THEN
  positionSize = Max(abs(round(Max(streakSize + riskSteps, riskSteps))), minSize)
ENDIF

// Heikin Ashi candle. High and low here are the max and min of the HA open and close.
haClose = (open + high + low + close) / 4
IF BarIndex > 2 THEN
  haOpen = (haOpen[1] + haClose[1]) / 2
  haHigh = Max(haOpen, haClose)
  haLow = Min(haOpen, haClose)
ENDIF

rsiValue = RSI[rsiPeriod](close)
fastSignal = Average[fastSignalPeriod](rsiValue)
slowSignal = Average[slowSignalPeriod](rsiValue)
priceMA = Average[priceMAPeriod](TypicalPrice)[2]