#============= DMI CODE =================

input DMI_LENGTH = 14;
def averageType = AverageType.WILDERS;

def hiDiff = high - high[1];
def loDiff = low[1] - low;

def plusDM = if hiDiff > loDiff and hiDiff > 0 then hiDiff else 0;
def minusDM =  if loDiff > hiDiff and loDiff > 0 then loDiff else 0;

def ATR = MovingAverage(averageType, TrueRange(high, close, low), DMI_LENGTH);
def DMI_PLUS = 100 * MovingAverage(averageType, plusDM, DMI_LENGTH) / ATR;
def DMI_MINUS = 100 * MovingAverage(averageType, minusDM, DMI_LENGTH) / ATR;

def DX = if (DMI_PLUS + DMI_MINUS > 0) then 100 * AbsValue(DMI_PLUS - DMI_MINUS) / (DMI_PLUS + DMI_MINUS) else 0;
def ADX = MovingAverage(averageType, DX, DMI_LENGTH);


#========== END DMI CODE =====================


#========= VWAP CODE =============

def numDevDn = -2.0;
def numDevUp = 2.0;
input VWAPtimeFrame = {default DAY, WEEK, MONTH};

def cap = getAggregationPeriod();
def errorInAggregation =
    VWAPtimeFrame == VWAPtimeFrame and cap >= AggregationPeriod.WEEK or
    VWAPtimeFrame == VWAPtimeFrame and cap >= AggregationPeriod.MONTH;
assert(!errorInAggregation, "timeFrame should be not less than current chart aggregation period");

def yyyyMmDd = getYyyyMmDd();
def periodIndx;
switch (VWAPtimeFrame) {
case DAY:
    periodIndx = yyyyMmDd;
case WEEK:
    periodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 7);
case MONTH:
    periodIndx = roundDown(yyyyMmDd / 100, 0);
}
def isPeriodRolled = compoundValue(1, periodIndx != periodIndx[1], yes);

def volumeSum;
def volumeVwapSum;
def volumeVwap2Sum;

if (isPeriodRolled) {
    volumeSum = volume;
    volumeVwapSum = volume * vwap;
    volumeVwap2Sum = volume * Sqr(vwap);
} else {
    volumeSum = compoundValue(1, volumeSum[1] + volume, volume);
    volumeVwapSum = compoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap);
    volumeVwap2Sum = compoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap));
}
def price = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));

def MiddleBand = price;
def UpperBand = price + numDevUp * deviation;
def LowerBand = price + numDevDn * deviation;

#=========== END VWAP CODE =====================















input RSI_BUY_LIMIT = 50;
input EMA_LENGTH = 13;
input CCILengthForSell = 5;

def rising = close > close from 1 bars ago and low > low from 1 bars ago;

def closeAboveEMA = close from 1 bars ago > MovAvgExponential(EMA_LENGTH);

def isAboveMiddleVWAP = close > MiddleBand;

def withinTradingDay = SecondsFromTime(21.0) > 32900 and SecondsFromTime(21.0) < 55000;

def adxLowerLows = ADX from 1 bars ago > ADX;
def adxHigherHighs = ADX from 1 bars ago < ADX;
def dmiMinusLowerLows = DMI_MINUS from 1 bars ago > DMI_MINUS;
def dmiPlusHigherHighs = DMI_PLUS from 1 bars ago < DMI_PLUS;
def dmiBuySignal = (dmiPlusHigherHighs and adxLowerLows and dmiMinusLowerLows) or (dmiPlusHigherHighs and adxHigherHighs);

def topTail = ((high - close) / high) * 100;

def higherHighs = high from 2 bars ago > high from 1 bars ago and high from 1 bars ago > high;

def buy = RSI() > RSI_BUY_LIMIT and rising and closeAboveEMA and isAboveMiddleVWAP and withinTradingDay and CCI(22) > 13 and CCI(22) < 100 and dmiBuySignal;

def sell = close < MovAvgExponential(EMA_LENGTH) or topTail > 0.3 or SecondsFromTime(21.0) > 55000 or CCI(5) < 0;

AddOrder(OrderType.BUY_TO_OPEN, buy, open[-1], 50, Color.GREEN, Color.GREEN, name = "CALL");
AddOrder(OrderType.SELL_TO_CLOSE, sell, close[-1], 50, Color.RED, Color.RED, name = "CLOSE CALL");