AQR TSMOM Pro Strategy

//@version=5
strategy("AQR TSMOM Pro Strategy", 
         shorttitle="AQR TSMOM", 
         overlay=true, 
         initial_capital=10000, 
         default_qty_type=strategy.cash, 
         default_qty_value=10000, 
         commission_type=strategy.commission.percent, 
         commission_value=0.06, 
         slippage=1, 
         pyramiding=20, 
         process_orders_on_close=true)

// =============================================================================
// AQR TSMOM TREND FOLLOWING (SSRN-2993026)
// =============================================================================

// -----------------------------------------------------------------------------
// 1. GİRDİLER (INPUTS)
// -----------------------------------------------------------------------------
grp1 = "1. Market Profile"
market_mode = input.string("Crypto", title="Market Type", 
              options=["Crypto", "Stocks", "Custom"], group=grp1)
custom_1m   = input.int(30, title="Custom 1M Bars", minval=1, group=grp1)
custom_3m   = input.int(90, title="Custom 3M Bars", minval=1, group=grp1)
custom_12m  = input.int(365, title="Custom 12M Bars", minval=1, group=grp1)
signal_lag  = input.int(0, title="Signal Lag (Bars)", minval=0, maxval=10, group=grp1)

grp2 = "2. Return Type & Risk-Free Rate"
rf_mode     = input.string("None", title="Return Mode", 
              options=["None", "Dynamic T-Bill", "Fixed Rate"], group=grp2)
fixed_rf    = input.float(3.0, title="Fixed Annual Rf %", minval=0.0, step=0.25, group=grp2)
tbill_sym   = input.symbol("US03MY", title="T-Bill Symbol", group=grp2)

grp3 = "3. Volatility Sizing"
target_vol  = input.float(0.10, title="Target Annual Vol", minval=0.01, step=0.01, group=grp3)
vol_mode    = input.string("3-Years", title="Vol Horizon", 
              options=["3-Years", "30-Days", "Custom"], group=grp3)
custom_vol  = input.int(365, title="Custom Vol Bars", minval=5, group=grp3)
max_lev     = input.float(3.0, title="Max Leverage Cap", minval=0.5, step=0.5, group=grp3)

grp4 = "4. Safety Management"
use_kill    = input.bool(false, title="Enable Kill-Switch", group=grp4)
kill_dd     = input.float(25.0, title="Kill-Switch DD %", minval=5.0, group=grp4)

grp5 = "5. Display"
show_hud    = input.bool(true, title="Show Dashboard", group=grp5)

// -----------------------------------------------------------------------------
// 2. HESAPLAMA MOTORU (BAR & ZAMAN AYARLARI)
// -----------------------------------------------------------------------------
bars_day = timeframe.isdaily ? 1.0 : timeframe.isminutes ? (1440.0 / timeframe.multiplier) : 1.0
days_yr  = market_mode == "Stocks" ? 252.0 : 365.0
bars_yr  = days_yr * bars_day

var int w_1m  = 30
var int w_3m  = 90
var int w_12m = 365

if market_mode == "Crypto"
    w_1m  := math.max(1, int(math.round(30 * bars_day)))
    w_3m  := math.max(1, int(math.round(90 * bars_day)))
    w_12m := math.max(1, int(math.round(365 * bars_day)))
else if market_mode == "Stocks"
    w_1m  := math.max(1, int(math.round(21 * bars_day)))
    w_3m  := math.max(1, int(math.round(63 * bars_day)))
    w_12m := math.max(1, int(math.round(252 * bars_day)))
else
    w_1m  := math.max(1, int(math.round(custom_1m * bars_day)))
    w_3m  := math.max(1, int(math.round(custom_3m * bars_day)))
    w_12m := math.max(1, int(math.round(custom_12m * bars_day)))

var int w_vol = 365
if vol_mode == "3-Years"
    w_vol := math.max(5, int(math.round(days_yr * 3 * bars_day)))
else if vol_mode == "30-Days"
    w_vol := math.max(5, int(math.round(30 * bars_day)))
else
    w_vol := math.max(5, int(math.round(custom_vol * bars_day)))

// -----------------------------------------------------------------------------
// 3. AŞIRI GETİRİ (EXCESS RETURN) & MOMENTUM
// -----------------------------------------------------------------------------
tbill_val = request.security(tbill_sym, "D", close, gaps=barmerge.gaps_off, lookahead=barmerge.lookahead_off)
float rf_yr = 0.0

if rf_mode == "Dynamic T-Bill"
    rf_yr := nz(tbill_val, fixed_rf) / 100.0
else if rf_mode == "Fixed Rate"
    rf_yr := fixed_rf / 100.0
else
    rf_yr := 0.0

rf_1m  = math.pow(1.0 + rf_yr, (w_1m / bars_day) / days_yr) - 1.0
rf_3m  = math.pow(1.0 + rf_yr, (w_3m / bars_day) / days_yr) - 1.0
rf_12m = math.pow(1.0 + rf_yr, (w_12m / bars_day) / days_yr) - 1.0

ret_1m  = ((close - close[w_1m]) / close[w_1m]) - rf_1m
ret_3m  = ((close - close[w_3m]) / close[w_3m]) - rf_3m
ret_12m = ((close - close[w_12m]) / close[w_12m]) - rf_12m

sig_1m  = ret_1m > 0 ? 1.0 : (ret_1m < 0 ? -1.0 : 0.0)
sig_3m  = ret_3m > 0 ? 1.0 : (ret_3m < 0 ? -1.0 : 0.0)
sig_12m = ret_12m > 0 ? 1.0 : (ret_12m < 0 ? -1.0 : 0.0)

raw_sig = (sig_1m + sig_3m + sig_12m) / 3.0
comp_sig = signal_lag > 0 ? raw_sig[signal_lag] : raw_sig

// -----------------------------------------------------------------------------
// 4. VOLATİLİTE HEDEFLEME & BOYUTLANDIRMA
// -----------------------------------------------------------------------------
bar_ret = (close - close[1]) / close[1]
roll_std = ta.stdev(bar_ret, w_vol)
ann_vol = nz(roll_std * math.sqrt(bars_yr), 0.50)
safe_vol = math.max(ann_vol, 0.02)

raw_weight = (target_vol / safe_vol) * comp_sig
weight = math.min(math.abs(raw_weight), max_lev) * math.sign(raw_weight)

// -----------------------------------------------------------------------------
// 5. İŞLEM YÜRÜTME MOTORU (AYLIK REBALANCE)
// -----------------------------------------------------------------------------
is_rebal = ta.change(time("M")) != 0
has_bars = bar_index >= math.min(w_12m, 60)

var float peak_eq = strategy.initial_capital
peak_eq := math.max(peak_eq, strategy.equity)
dd_pct = peak_eq > 0 ? ((peak_eq - strategy.equity) / peak_eq) * 100.0 : 0.0

var bool killed = false
if use_kill and dd_pct >= kill_dd
    killed := true

target_usd = strategy.equity * weight
target_qty = close > 0 ? (target_usd / close) : 0.0
delta_qty  = target_qty - strategy.position_size

if killed
    strategy.close_all(comment="Kill-Switch")
else if has_bars and is_rebal
    if target_qty == 0.0
        strategy.close_all(comment="Flat")
    else if delta_qty > 0 and (delta_qty * close >= 10.0)
        strategy.order("TSMOM", strategy.long, qty=math.abs(delta_qty))
    else if delta_qty < 0 and (math.abs(delta_qty) * close >= 10.0)
        strategy.order("TSMOM", strategy.short, qty=math.abs(delta_qty))

// -----------------------------------------------------------------------------
// 6. DASHBOARD & GÖRSEL
// -----------------------------------------------------------------------------
bgcolor(comp_sig >= 0.66 ? color.new(color.teal, 92) : comp_sig <= -0.66 ? color.new(color.maroon, 92) : na)

var table hud = table.new(position.top_right, 2, 6, bgcolor=color.new(#0b0f19, 10), border_color=color.new(#00f0ff, 50), border_width=1)

if show_hud
    table.cell(hud, 0, 0, "Signal (S_t)", text_color=color.white)
    table.cell(hud, 1, 0, str.tostring(comp_sig, "#.##"), text_color=color.yellow)
    table.cell(hud, 0, 1, "1M/3M/12M", text_color=color.white)
    table.cell(hud, 1, 1, str.format("{0}/{1}/{2}", sig_1m > 0 ? "+1" : "-1", sig_3m > 0 ? "+1" : "-1", sig_12m > 0 ? "+1" : "-1"), text_color=color.white)
    table.cell(hud, 0, 2, "Realized Vol", text_color=color.white)
    table.cell(hud, 1, 2, str.tostring(ann_vol * 100.0, "#.#") + "%", text_color=color.white)
    table.cell(hud, 0, 3, "Leverage", text_color=color.white)
    table.cell(hud, 1, 3, str.tostring(weight, "#.##") + "x", text_color=color.aqua)
    table.cell(hud, 0, 4, "Current DD", text_color=color.white)
    table.cell(hud, 1, 4, str.tostring(dd_pct, "#.#") + "%", text_color=dd_pct > 15 ? color.red : color.white)
    table.cell(hud, 0, 5, "Kill-Switch", text_color=color.white)
    table.cell(hud, 1, 5, killed ? "HALTED" : (use_kill ? "ON" : "OFF"), text_color=killed ? color.red : color.gray)