% Simple momentum strategy pseudocode - Roberto Maria Caloi - 2022 
    % For educational purposes only.

    OnStart:
		S.lambda = 0.94; %Initialize strategy's parameter
		S.mmp = S.p;   %Initialize exponential moving average of price updates
		S.q = 0;       %Initialize portfolio position
		S.CF = 0;      %Initialize portfolio Cash Flow
        S.p = S.getCurrentPrice(now); %Initialize current instrument price


	OnPriceUpdate (newPrice):
		S.PL = S.CF + S.q * newPrice;                %Update Profit And Loss (P&L)
		S.p = newPrice;						         %Update Current Price
		S.mmp = lambda * S.mmp + (1-lambda) * S.p;   %Update Exp Moving Average
		
		%Check Buy/Sell Condition
		
		if S.p > S.mmp
                S.buy(1-S.q, newPrice); % Take a long position of quantity 1 at price newPrice
                S.q=1;   % Assume immediate execution at newPrice (!) without fees
                S.CF = S.CF-(1-S.q)*newPrice; % Update Cash Flow
			else
				S.sell(1+S.q, newPrice); % Tale a short position for quantity 1 at price newPrice
                S.q=-1;  % Assume immediate execution at newPrice(!) without fees
                S.CF = S.CF+(1+S.q)*newPrice; % Update Cash Flow
        end
        
        if checkfilters() == false % Security checks failed (!)
            callStopStrategy();    % Stop trading
        end

			
	OnStop:
		% Close your position (buy or sell)
        if S.q==1
            S.sell(1,S.p);
		    S.q = 0;
            S.PL = S.CF + S.p;
        elseif S.q==-1
            S.buy(1, S.p);
            S.q = 0;
            S.PL = S.CF - S.p;
        end