Volatility Band RSI Reversal su EUR/USD

// ============================================================
// Volatility Band RSI Reversal
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long & short
// Timeframe tested: 15 minutes
// ============================================================

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

// --- Parameters ---
positionSize = 1          // contracts per trade
bandPeriod = 35           // EMA at the centre of the bands
lowerStdPeriod = 5        // standard deviation length for the lower band
upperStdPeriod = 10       // standard deviation length for the upper band
bandWidth = 2             // band distance in standard deviations
longRsiPeriod = 11        // RSI length for the long filter
shortRsiPeriod = 5        // RSI length for the short filter
oversoldLevel = 30        // long RSI must be below this
overboughtLevel = 70      // short RSI must be above this
atrPeriod = 49            // ATR length for stop and target
stopAtrFactor = 300000    // stop in points = ATR x this factor
targetAtrFactor = 80000   // target in points = ATR x this factor

// --- Indicators ---
// Holiday calendar: no trading on 23 and 24 June and on 9 November.
IF (Month = 6 AND (Day = 23 OR Day = 24)) OR (Month = 11 AND Day = 9) THEN
  tradingDay = 0
ELSE
  tradingDay = 1
ENDIF

// Bands are only updated on trading days, as in the original, so [1] after a holiday
// still points at the last value computed.
IF tradingDay = 1 THEN
  lowerBand = ExponentialAverage[bandPeriod](close) - bandWidth * STD[lowerStdPeriod](close)
  upperBand = ExponentialAverage[bandPeriod](close) + bandWidth * STD[upperStdPeriod](close)
ENDIF

longRsi = RSI[longRsiPeriod](close)
shortRsi = RSI[shortRsiPeriod](close)
atrValue = AverageTrueRange[atrPeriod](close)