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

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

#include <profile.c>

//Settings:
#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 = "";

// Function uset to exit the old position (if there's any) and enter the new one
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 (%s).", old_asset);
        return;
    }

    // Exit previous position
    print(TO_FILE, "Changing position from %s to %s.\n", old_asset, new_asset);
    if(strcmp(old_asset, "-")){
        asset(old_asset);
        exitLong();
    }

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

function run()
{
   BarPeriod = 1440;
    LookBack = DAYS + 21;
    StartDate = 20070101;
    EndDate = 20180802;
    Verbose = 0;

    var return_us = 0;
    var return_world = 0;
    var return_tbills = 0;


    // If it is the last trading day of the month
    while(asset(loop(asset_us, asset_world, asset_tbills, 0)))
    {
        if(is(INITRUN)) {
            set(PRELOAD+LOGFILE);
            assetHistory(asset_us, FROM_AV);
            assetHistory(asset_world, FROM_AV);
            assetHistory(asset_bonds, FROM_AV);
            assetHistory(asset_tbills, FROM_AV);
        }

        // Calculate return always on the first trading day of the month
        if(tdm() == 1 && !is(LOOKBACK)){
            var *asset_return;

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

            var old_price = priceClose(DAYS+1);
            *asset_return = (priceClose(1)-old_price)/old_price;
            print(TO_FILE, "\n%s return = (%f-%f)/%f = %f", Asset,
                    priceClose(), old_price, old_price, *asset_return);

        }
    }

    // If it is the first trading day of the month and the returns were calculated
    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);
        }
    }
}