Dual Momentum in Zorro

/*
=================
= DUAL MOMENTUM =
=================

   Recommended Assets:
       - US: IVV or VOO or VTI
       - WORLD: VEU or VXUS or VEA
       - BONDS: AGG or BND or TLT
       - TBILLS: BIL or SHV (if IR near 0)
*/

#include <profile.c>

//Settings:
#define MONTHS 12
//#define DAYS 252 // comment out to use daily closing prices
string asset_us = "IVV";
string asset_world = "VEU";
string asset_bonds = "AGG";
string asset_tbills = "BIL";
string current_position = "";
var return_us = 0;
var return_world = 0;
var return_tbills = 0;
var prices_us[MONTHS];
var prices_world[MONTHS];
var prices_tbills[MONTHS];

void changeAsset(string old_asset, string new_asset){
    // If there is no change skip the rest
    if(!strcmp(old_asset, new_asset)){
        print(TO_FILE, "No change in held asset.");
        return;
    }

    // Exit previous position
    string prev_position = old_asset;
    if(!strcmp(prev_position, "")) prev_position = "NONE"; // just for the log
    print(TO_FILE, "Changing position from %s to %s.\n", prev_position, new_asset);
    if(strcmp(old_asset, "")){
        asset(old_asset);
        exitLong();
    }

    // Enter new position
    asset(new_asset);
    enterLong();
    current_position = new_asset;
}

void addPrice(var asset_price, vars price_array){
    print(TO_FILE, "\nMonthly closing price for %s is %f", Asset, asset_price);
    int i;
    for(i=0; i<MONTHS-1; i++){
        price_array[i] = price_array[i+1];
    }
    price_array[MONTHS-1] = asset_price;
}

function run()
{
   BarPeriod = 1440;
   #ifdef DAYS
        LookBack = DAYS + 21;
    #else
        LookBack = MONTHS * 21;
    #endif
    StartDate = 20080615;
    Verbose = 0;

    if(is(INITRUN)) {
        set(PRELOAD+LOGFILE);
        assetHistory(asset_us, FROM_YAHOO);
        assetHistory(asset_world, FROM_YAHOO);
        assetHistory(asset_bonds, FROM_YAHOO);
        assetHistory(asset_tbills, FROM_YAHOO);
        // Loop through the assets to avoid Error 030
        while(asset(loop("EUR/USD", asset_us, asset_world, asset_bonds, asset_tbills)));
    }

    if(tdm() == tom()){
        while(asset(loop("EUR/USD", asset_us, asset_world, asset_tbills)))
        {
            var *prices;
            var *asset_return;

            if(!strcmp(Asset, asset_us)){
                prices = prices_us;
                asset_return = &return_us;
            }
            else if(!strcmp(Asset, asset_world)){
                prices = prices_world;
                asset_return = &return_world;
            }
            else if(!strcmp(Asset, asset_tbills)){
                prices = prices_tbills;
                asset_return = &return_tbills;
            }

            if(strcmp(Asset, "EUR/USD")){
                var old_price = prices[0];
                #ifdef DAYS
                    old_price = priceClose(DAYS);
                #endif
                addPrice(priceClose(), prices);
                if(old_price > 0){
                    *asset_return = (priceClose()-old_price)/old_price;
                    print(TO_FILE, "\n%s return = (%f-%f)/%f = %f", Asset,
                            priceClose(), old_price, old_price, *asset_return);
                }
            }
        }
    }

    if(tdm() == 1 && !is(LOOKBACK) && (abs(return_us) + abs(return_world) + abs(return_tbills) != 0)) {
        print(TO_FILE, "\nReturns (US, WORLD, TBILLS): %f, %f, %f\n",
                return_us, return_world, return_tbills);

        if(return_us - return_tbills >= 0){
            if(return_us > return_world)
                changeAsset(current_position, asset_us);
            else if(return_world - return_tbills >= 0)
                changeAsset(current_position, asset_world);
            else
                changeAsset(current_position, asset_bonds);
        }
        else {
            changeAsset(current_position, asset_bonds);
        }
    }
}