//@version=4
strategy("MSE", max_bars_back = 5000)

i = input(100, "Length")

//BitMEX Index
vf = ((1 + ((cum(volume) - cum(volume[i])) - (cum(volume[i]) - cum(volume[2 * i]))) / (cum(volume[i]) - cum(volume[2 * i])))/highest((1 + ((cum(volume) - cum(volume[i])) - (cum(volume[i]) - cum(volume[2 * i]))) / (cum(volume[i]) - cum(volume[2 * i]))), i))
simperformance() => (close - sma(close, i)) / stdev(close, i) * vf

index = security("(STRBTC + DASHBTC + ETHBTC + LTCBTC + EOSBTC + XMRBTC + XRPBTC)/7", timeframe.period, simperformance())//(close * vf)/stdev(close, i))

XBTUSD = security("Bitmex:XBTUSD", timeframe.period, simperformance())
ETHUSD = security("Bitmex:ETHUSD", timeframe.period, simperformance())
ETHU19 = security("Poloniex:ETHBTC", timeframe.period, simperformance())
XRPU19 = security("Poloniex:XRPBTC", timeframe.period, simperformance())
ADAU19 = security("Bittrex:ADABTC", timeframe.period, simperformance())
EOSU19 = security("Bitfinex:EOSBTC", timeframe.period, simperformance())
LTCU19 = security("Poloniex:LTCBTC", timeframe.period, simperformance())
TRXU19 = security("Binance:TRXBTC", timeframe.period, simperformance())

ETH_MSE = (pow(XBTUSD - ETHU19, 2))
XRP_MSE = (pow(XBTUSD - XRPU19, 2))
ADA_MSE = (pow(XBTUSD - ADAU19, 2))
EOS_MSE = (pow(XBTUSD - EOSU19, 2))
LTC_MSE = (pow(XBTUSD - LTCU19, 2))
TRX_MSE = (pow(XBTUSD - TRXU19, 2))
index_MSE = (pow(XBTUSD - index, 2))

plot(index_MSE, "Index MSE", transp = 30, style = plot.style_line, linewidth = 4)
plot(ETH_MSE, "ETH_MSE", transp = 90, style = plot.style_area)
plot(XRP_MSE, "XRP_MSE", transp = 90, style = plot.style_area)
plot(ADA_MSE, "ADA_MSE", transp = 90, style = plot.style_area)
plot(EOS_MSE, "EOS_MSE", transp = 90, style = plot.style_area)
plot(LTC_MSE, "LTC_MSE", transp = 90, style = plot.style_area)
plot(TRX_MSE, "TRX_MSE", transp = 90, style = plot.style_area)