DAX Survivor

// ============================================================
// DAX Survivor
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Volatility
// Direction: Long & short
// Timeframe tested: 4 hours
// ============================================================

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

// --- Parameters ---
positionSize = 1                // contracts per trade
atrPeriod = 14                  // ATR length for candle size and volatility cap
adxPeriod = 14                  // ADX length for the regime switch
adxLongThreshold = 36           // longs: ADX above = breakout regime, below = mean reversion
adxShortThreshold = 24          // shorts: ADX above = breakout regime, below = mean reversion
atrMaxLong = 100                // no longs when ATR is at or above this
atrMaxShort = 200               // no shorts when ATR is at or above this
longReversionMultiplier = 1     // long after a down candle larger than this many ATRs
longBreakoutMultiplier = 1      // long after an up candle larger than this many ATRs
shortReversionMultiplier = 1    // short after an up candle larger than this many ATRs
shortBreakoutMultiplier = 2     // short after a down candle larger than this many ATRs
maxBarsLong = 30                // close a long after this many bars
maxBarsShort = 5                // close a short after this many bars
midMonthDay = 15                // days up to this count as the first half of the month

// Seasonal weights per half month. Only zero matters now: zero blocks new longs.
janFirstHalf = 3
janSecondHalf = 0
febFirstHalf = 3
febSecondHalf = 3
marFirstHalf = 3
marSecondHalf = 2
aprFirstHalf = 3
aprSecondHalf = 3
mayFirstHalf = 1
maySecondHalf = 1
junFirstHalf = 1
junSecondHalf = 2
julFirstHalf = 3
julSecondHalf = 2
augFirstHalf = 2
augSecondHalf = 3
sepFirstHalf = 3
sepSecondHalf = 0
octFirstHalf = 3
octSecondHalf = 2
novFirstHalf = 1
novSecondHalf = 3
decFirstHalf = 3
decSecondHalf = 2

// --- Indicators ---
atrValue = AverageTrueRange[atrPeriod]
adxValue = ADX[adxPeriod]
candleBody = abs(open - close)

longVolatilityOk = atrValue < atrMaxLong
shortVolatilityOk = atrValue < atrMaxShort
longBreakoutRegime = adxValue > adxLongThreshold
longReversionRegime = adxValue < adxLongThreshold
shortBreakoutRegime = adxValue > adxShortThreshold
shortReversionRegime = adxValue < adxShortThreshold

firstHalf = Day <= midMonthDay
IF CurrentMonth = 1 THEN
  IF firstHalf THEN
    seasonWeight = janFirstHalf
  ELSE
    seasonWeight = janSecondHalf
  ENDIF
ELSIF CurrentMonth = 2 THEN
  IF firstHalf THEN
    seasonWeight = febFirstHalf
  ELSE
    seasonWeight = febSecondHalf
  ENDIF
ELSIF CurrentMonth = 3 THEN
  IF firstHalf THEN
    seasonWeight = marFirstHalf
  ELSE
    seasonWeight = marSecondHalf
  ENDIF
ELSIF CurrentMonth = 4 THEN
  IF firstHalf THEN
    seasonWeight = aprFirstHalf
  ELSE
    seasonWeight = aprSecondHalf
  ENDIF
ELSIF CurrentMonth = 5 THEN
  IF firstHalf THEN
    seasonWeight = mayFirstHalf
  ELSE
    seasonWeight = maySecondHalf
  ENDIF
ELSIF CurrentMonth = 6 THEN
  IF firstHalf THEN
    seasonWeight = junFirstHalf
  ELSE
    seasonWeight = junSecondHalf
  ENDIF
ELSIF CurrentMonth = 7 THEN
  IF firstHalf THEN
    seasonWeight = julFirstHalf
  ELSE
    seasonWeight = julSecondHalf
  ENDIF
ELSIF CurrentMonth = 8 THEN
  IF firstHalf THEN
    seasonWeight = augFirstHalf
  ELSE
    seasonWeight = augSecondHalf
  ENDIF
ELSIF CurrentMonth = 9 THEN
  IF firstHalf THEN
    seasonWeight = sepFirstHalf
  ELSE
    seasonWeight = sepSecondHalf
  ENDIF
ELSIF CurrentMonth = 10 THEN
  IF firstHalf THEN
    seasonWeight = octFirstHalf
  ELSE
    seasonWeight = octSecondHalf
  ENDIF
ELSIF CurrentMonth = 11 THEN
  IF firstHalf THEN
    seasonWeight = novFirstHalf
  ELSE
    seasonWeight = novSecondHalf
  ENDIF
ELSE
  IF firstHalf THEN
    seasonWeight = decFirstHalf
  ELSE
    seasonWeight = decSecondHalf
  ENDIF
ENDIF

// The weight used to scale size; with fixed size a zero weight still means "no long".
seasonAllowsLong = seasonWeight <> 0