CASA v2 Cross-Asset Risk Gauge

//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © AssetWhisper — https://assetwhisper.com/indicators/
// ============================================================================
//  CASA v2 — Cross-Asset Risk Gauge
//  Idea: el riesgo sistémico se lee mejor en el conjunto de activos macro que en
//  el gráfico de un solo ticker. Se combinan z-scores de: retorno de renta
//  variable, cambio del VIX, dólar, tipos a 10 años y crédito high-yield en un
//  score único, que se convierte en un gauge 0-100 (percentil histórico). Sirve
//  como filtro de régimen para cualquier otra estrategia: en RISK OFF se apagan
//  las señales agresivas, en RISK ON se habilitan rupturas.
//  Mejoras v2: símbolos válidos, crédito HY, gauge por percentil, histéresis,
//  detector de "shock" cross-asset, timeframe macro configurable y salida exportable.
// ============================================================================
indicator("CASA v2 — Cross-Asset Risk Gauge", shorttitle="CASA v2", overlay=false)

grpA = "Activos"
eqSym   = input.symbol("AMEX:SPY", "Equity index", group=grpA)
vixSym  = input.symbol("TVC:VIX", "Volatility index", group=grpA)
dxySym  = input.symbol("TVC:DXY", "Dollar index", group=grpA)
rateSym = input.symbol("TVC:US10Y", "10Y yield", group=grpA)
crSym   = input.symbol("AMEX:HYG", "High-yield credit ETF", group=grpA)
useChartTF = input.bool(true, "Use chart timeframe for macro data", group=grpA)
macroTF    = input.timeframe("D", "Macro timeframe (if not chart TF)", group=grpA)
grpW = "Pesos (signo = dirección que AUMENTA el riesgo)"
wEq   = input.float(-1.0, "Equity return", step=0.1, group=grpW)
wVix  = input.float(1.5, "VIX change", step=0.1, group=grpW)
wDxy  = input.float(0.5, "Dollar change", step=0.1, group=grpW)
wRate = input.float(0.5, "Yield change", step=0.1, group=grpW)
wCr   = input.float(-1.0, "HY credit return", step=0.1, group=grpW)
grpP = "Parámetros"
retLen     = input.int(5, "Return window (bars)", minval=1, maxval=20, group=grpP)
zLen       = input.int(60, "Z-score lookback", minval=20, maxval=250, group=grpP)
rankLen    = input.int(252, "Gauge percentile lookback", minval=50, maxval=1000, group=grpP)
smoothLen  = input.int(3, "Smoothing", minval=1, maxval=10, group=grpP)
riskOffLvl = input.int(70, "RISK OFF level (gauge)", minval=50, maxval=95, group=grpP)
riskOnLvl  = input.int(30, "RISK ON level (gauge)", minval=5, maxval=50, group=grpP)
hystLvl    = input.int(10, "Hysteresis (gauge points)", minval=0, maxval=30, group=grpP)
shockTh    = input.float(0.75, "Shock threshold (score jump in 1 bar)", minval=0.2, maxval=3.0, step=0.05, group=grpP)
showComp   = input.bool(true, "Show components", group=grpP)

// === DATOS ===
// Si el TF macro es inferior al del gráfico se usa el del gráfico (request.security
// no debe pedir un TF inferior). Nota: con TF macro superior al del gráfico el valor
// intradía se actualiza en tiempo real (comportamiento estándar de request.security).
tfUse = useChartTF ? timeframe.period : (timeframe.in_seconds(macroTF) < timeframe.in_seconds(timeframe.period) ? timeframe.period : macroTF)

zOf(src, len) =>
    sd = ta.stdev(src, len)
    sd > 0 ? (src - ta.sma(src, len)) / sd : 0.0

// Cada componente se calcula en el TF macro dentro de request.security
zEq   = nz(request.security(eqSym,   tfUse, zOf(ta.roc(close, retLen), zLen), ignore_invalid_symbol=true))
zVix  = nz(request.security(vixSym,  tfUse, zOf(ta.roc(close, retLen), zLen), ignore_invalid_symbol=true))
zDxy  = nz(request.security(dxySym,  tfUse, zOf(ta.roc(close, retLen), zLen), ignore_invalid_symbol=true))
zRate = nz(request.security(rateSym, tfUse, zOf(ta.change(close, retLen), zLen), ignore_invalid_symbol=true))
zCr   = nz(request.security(crSym,   tfUse, zOf(ta.roc(close, retLen), zLen), ignore_invalid_symbol=true))

// === SCORE COMPUESTO Y GAUGE ===
wSum     = math.abs(wEq) + math.abs(wVix) + math.abs(wDxy) + math.abs(wRate) + math.abs(wCr)
rawScore = wSum > 0 ? (wEq * zEq + wVix * zVix + wDxy * zDxy + wRate * zRate + wCr * zCr) / wSum : 0.0
score    = ta.ema(rawScore, smoothLen)
gauge    = ta.percentrank(score, rankLen)          // 0-100: estrés actual vs. historia reciente

// Régimen con histéresis: 1 = RISK ON, -1 = RISK OFF, 0 = NEUTRAL
var int regime = 0
if regime != -1 and gauge >= riskOffLvl
    regime := -1
else if regime == -1 and gauge < riskOffLvl - hystLvl
    regime := 0
if regime != 1 and gauge <= riskOnLvl
    regime := 1
else if regime == 1 and gauge > riskOnLvl + hystLvl
    regime := 0

// Shock cross-asset: salto brusco del score en una barra
shock = rawScore - rawScore[1] >= shockTh and rawScore > 0

regimeLabel = regime == -1 ? "RISK OFF" : regime == 1 ? "RISK ON" : "NEUTRAL"
regimeColor = regime == -1 ? color.red : regime == 1 ? color.green : color.orange
modeHint    = regime == -1 ? "Defensive: no breakouts" : regime == 1 ? "Breakouts enabled" : "Reduced size"

// === VISUAL ===
hline(riskOffLvl, "RISK OFF", color=color.new(color.red, 50), linestyle=hline.style_dashed)
hline(50, "Mid", color=color.new(color.gray, 70), linestyle=hline.style_dotted)
hline(riskOnLvl, "RISK ON", color=color.new(color.green, 50), linestyle=hline.style_dashed)
plot(gauge, "Risk gauge (0-100)", color=regimeColor, linewidth=3)
plot(showComp and wSum > 0 ? 50 + wEq * zEq / wSum * 25 : na, "Equity contrib", color=color.new(color.blue, 60), linewidth=1)
plot(showComp and wSum > 0 ? 50 + wVix * zVix / wSum * 25 : na, "VIX contrib", color=color.new(color.red, 60), linewidth=1)
plot(showComp and wSum > 0 ? 50 + wDxy * zDxy / wSum * 25 : na, "Dollar contrib", color=color.new(color.teal, 60), linewidth=1)
plot(showComp and wSum > 0 ? 50 + wRate * zRate / wSum * 25 : na, "Yield contrib", color=color.new(color.purple, 60), linewidth=1)
plot(showComp and wSum > 0 ? 50 + wCr * zCr / wSum * 25 : na, "Credit contrib", color=color.new(color.orange, 60), linewidth=1)
bgcolor(color.new(regimeColor, 92), title="Regime")
plotshape(shock, "Cross-asset shock", style=shape.xcross, location=location.top, color=color.red, size=size.small, text="SHOCK")

// Series exportables (usar como input.source en otros scripts)
plot(regime, "CASA regime (export: 1 on / -1 off)", display=display.none)

// === TABLA ===
var table t = table.new(position.top_right, 2, 9, bgcolor=color.new(color.black, 60))
cellZ(row, name, z, w) =>
    contrib = w * z
    table.cell(t, 0, row, name, text_color=color.white, text_size=size.small)
    table.cell(t, 1, row, (z >= 0 ? "+" : "") + str.tostring(z, "#.##") + " z", text_color=contrib > 0.3 ? color.red : contrib < -0.3 ? color.lime : color.gray, text_size=size.small)
table.cell(t, 0, 0, "REGIME", text_color=color.white, text_size=size.small)
table.cell(t, 1, 0, regimeLabel, bgcolor=color.new(regimeColor, 30), text_color=color.white, text_size=size.small)
table.cell(t, 0, 1, "Gauge", text_color=color.white, text_size=size.small)
table.cell(t, 1, 1, str.tostring(gauge, "#") + " / 100", text_color=regimeColor, text_size=size.small)
table.cell(t, 0, 2, "Score", text_color=color.white, text_size=size.small)
table.cell(t, 1, 2, str.tostring(score, "#.##"), text_color=color.white, text_size=size.small)
cellZ(3, "Equity", zEq, wEq)
cellZ(4, "VIX", zVix, wVix)
cellZ(5, "Dollar", zDxy, wDxy)
cellZ(6, "10Y yield", zRate, wRate)
cellZ(7, "HY credit", zCr, wCr)
table.cell(t, 0, 8, "Mode", text_color=color.white, text_size=size.small)
table.cell(t, 1, 8, modeHint, text_color=regimeColor, text_size=size.small)

// === ALERTAS ===
alertcondition(regime == -1 and regime[1] != -1, "CASA RISK OFF", "CASA v2: entering RISK OFF regime")
alertcondition(regime == 1 and regime[1] != 1, "CASA RISK ON", "CASA v2: entering RISK ON regime")
alertcondition(regime == 0 and regime[1] != 0, "CASA NEUTRAL", "CASA v2: regime back to NEUTRAL")
alertcondition(shock, "CASA Shock", "CASA v2: cross-asset shock detected")