# NEOTICKER DATA BEGIN
ScriptType=Indicator
Description=Example Delphi Pair System
Name=ex_del_pair_sys
Language=DelphiScript
Links=4
MinBars=0
TimerInterval=100
EarlyBinding=0
MetaStyle=Normal
ValueRange=Same as Source
Placement=New Pane
Multiplot_num_plots=4
Multiplot_color_0=255
Multiplot_style_0=Line
Multiplot_width_0=1
Multiplot_enabled_0=1
Multiplot_name_0=system equity
Multiplot_breakstyle_0=0
Multiplot_color_1=255
Multiplot_style_1=Line
Multiplot_width_1=1
Multiplot_enabled_1=0
Multiplot_name_1=spread calculation 
Multiplot_breakstyle_1=0
Multiplot_color_2=255
Multiplot_style_2=HLine
Multiplot_width_2=1
Multiplot_enabled_2=0
Multiplot_name_2=+vb
Multiplot_breakstyle_2=0
Multiplot_color_3=255
Multiplot_style_3=HLine
Multiplot_width_3=1
Multiplot_enabled_3=0
Multiplot_name_3=-vb
Multiplot_breakstyle_3=0
UpdateByTick=0
FloatMarker=1
DepthData=0
TradingSystemUI=1
PrimaryLinkOnly=0
NotifyOnRemoval=0
Param_count=2
Param_name_0=period
Param_inuse_0=1
Param_type_0=integer.gte.1
Param_default_0=30
Param_name_1=Volatility Factor
Param_inuse_1=1
Param_type_1=real
Param_default_1=1.5
Explanation_Lines=0
# NEOTICKER DATA END

function ex_del_pair_sys : double;
var hv1, hv2, cr : variant;
    xbelow_posvb, xabove_negvb, xzero : variant;
    vb, sp : double;
begin
   if not (data1.valid[0] and data2.valid[0]) then
   begin
      itself.successall := false;
      exit;
   end;

   //daily data series for link1 and link2 to calculate volatility band.
   itself.compressseries('OneDaily', '1', ppDaily, 1);
   itself.compressseries('TwoDaily', '2', ppDaily, 1);

   hv1 := itself.updateindicatorex(1);
   if hv1 = nil then
      hv1 := itself.makeindicatorex('hv1', 1, 'historical_vola', ['$OneDaily'],
                                     [params.items['period'].str,'1']);

   hv2 := itself.updateindicatorex(2);
   if hv2 = nil then
      hv2 := itself.makeindicatorex('hv2', 2, 'historical_vola', ['$TwoDaily'],
                                     [params.items['period'].str,'1']);

   cr := itself.updateindicatorex(3);
   if cr = nil then
      cr := itself.makeindicatorex('cr', 3, 'correl', ['$OneDaily','$TwoDaily'],
                                    [params.items['period'].str]);

   if hv1.valid[1] and hv2.valid[1] and cr.valid[1] then
   begin
      vb := (hv1.value[1]+hv2.value[1])*ntlib.sqrt(1/252)*(1-cr.value[1]);
      itself.setseries('nvb', -1*vb, true);
      itself.setseries('pvb', vb, true);
      itself.plot[3] := vb;
      itself.plot[4] := -1*vb;
   end
   else
   begin
      vb := 0;
      itself.setseries('nvb', vb, false);
      itself.setseries('pvb', vb, false);
      itself.successex[3] := false;
      itself.successex[4] := false;
   end;

   if (itself.series('OneDaily').close[1]>0) and
      (itself.series('TwoDaily').close[1]>0) then
   begin
      sp := (data1.value[0]/itself.series('OneDaily').close[1])-
            (data2.value[0]/itself.series('TwoDaily').close[1]);
      itself.setseries('xsp', sp, true);
   end
   else
      itself.setseries('xsp', 0, false);

   xabove_negvb := itself.updateindicatorex(4);
   if xabove_negvb = nil then
      xabove_negvb := itself.makeindicatorex('xab', 4, 'xabove',
                                             ['$xsp','$nvb'], ['']);

   xbelow_posvb := itself.updateindicatorex(5);
   if xbelow_posvb = nil then
      xbelow_posvb := itself.makeindicatorex('xbl', 5, 'xbelow',
                                             ['$xsp','$pvb'], ['']);

   xzero := itself.updateindicatorex(6);
   if xzero = nil then
      xzero := itself.makeindicatorex('xz', 6, 'xcrossconst', ['$xsp'], ['0']);

   if (xabove_negvb.value[0]>0) and itself.series('nvb').valid[0] and
      Trade.OpenPositionFlatEx[1] and Trade.OpenPositionFlatEx[2] then
      Trade.LongStopEx(1, data1.high[0], trade.defaultordersize,
                         otfFillorKill, 'Long Pair A');

   if trade.Openpositionlongex[1] and trade.openpositionflatex[2] then
      trade.shortatmarketex(2, trade.defaultordersize, 'Short Pair B');

   if (xbelow_posvb.value[0]>0) and  itself.series('pvb').valid[0] and
      Trade.OpenPositionFlatEx[1] and Trade.OpenPositionFlatEx[2] then
      Trade.ShortStopEx(1, data1.low[0], trade.defaultordersize,
                         otfFillorKill, 'Short Pair A');

   if trade.Openpositionshortex[1] and trade.openpositionflatex[2] then
      trade.longatmarketex(2, trade.defaultordersize, 'Long Pair B');

   if trade.openpositionlongex[1] and trade.openpositionshortex[2] then
   begin
      if xzero.value[0]>0 then
         trade.exitallcurrentpositions('Long Exit at Target');
      if sp<params.items['Volatility Factor'].real*-1*vb then
         trade.exitallcurrentpositions('Long Exit Stop');
   end;

   if trade.openpositionshortex[1] and trade.openpositionlongex[2] then
   begin
      if xzero.value[0]<0 then
         trade.exitallcurrentpositions('Short Exit at Target');
      if sp>params.items['Volatility Factor'].real*vb then
         trade.exitallcurrentpositions('Short Exit Stop');
   end;

   itself.plot[1] := trade.currentequity;
   itself.plot[2] := sp;
end;