Donchian Channel - Turtle Trading

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0
// © TradingTools

//@version=5
strategy("Donchian Channel - Turtle Trading", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// ─── Inputs ───
entryLength     = input.int(20, "Entry Channel Length", group="Donchian")
exitLength      = input.int(10, "Exit Channel Length", group="Donchian")
useFilter       = input.bool(true, "Skip Entry if Previous Trade Won", group="Filters")
atrLength       = input.int(20, "ATR Length (Position Sizing)", group="Risk Management")
atrMult         = input.float(2.0, "ATR Multiplier for SL", step=0.1, group="Risk Management")
trailByExit     = input.bool(true, "Use Exit Channel as Trailing Stop", group="Risk Management")
pyramidMax      = input.int(3, "Max Pyramid Entries", minval=1, maxval=5, group="Risk Management")

// ─── Donchian Channel ───
// Entry channel (20-period)
entryHigh = ta.highest(high, entryLength)[1]
entryLow  = ta.lowest(low, entryLength)[1]

// Exit channel (10-period)
exitHigh  = ta.highest(high, exitLength)[1]
exitLow   = ta.lowest(low, exitLength)[1]

// Mid line
entryMid  = (entryHigh + entryLow) / 2

// ─── ATR ───
atrVal = ta.atr(atrLength)

// ─── Track Previous Trade Result ───
var bool lastTradeWon = false
var float lastEntryPrice = na

if strategy.closedtrades > 0
    lastPnL = strategy.closedtrades.profit(strategy.closedtrades - 1)
    lastTradeWon := lastPnL > 0

// Skip filter (Turtle System 1 rule)
skipOK = useFilter ? not lastTradeWon : true

// ─── Entry Conditions ───
longCondition  = high >= entryHigh and skipOK
shortCondition = low <= entryLow and skipOK

// ─── Execute Trades ───
if longCondition and strategy.position_size <= 0
    sl = trailByExit ? exitLow : close - atrVal * atrMult
    strategy.entry("Turtle Long", strategy.long)
    strategy.exit("Turtle Long Exit", "Turtle Long", stop=sl)
    lastEntryPrice := close

if shortCondition and strategy.position_size >= 0
    sl = trailByExit ? exitHigh : close + atrVal * atrMult
    strategy.entry("Turtle Short", strategy.short)
    strategy.exit("Turtle Short Exit", "Turtle Short", stop=sl)
    lastEntryPrice := close

// ─── Pyramid (add every 0.5 ATR move in favor) ───
if strategy.position_size > 0 and strategy.opentrades < pyramidMax
    if close >= lastEntryPrice + atrVal * 0.5
        strategy.entry("Turtle Long Add", strategy.long)
        lastEntryPrice := close

if strategy.position_size < 0 and strategy.opentrades < pyramidMax
    if close <= lastEntryPrice - atrVal * 0.5
        strategy.entry("Turtle Short Add", strategy.short)
        lastEntryPrice := close

// ─── Exit on Opposite Channel ───
if strategy.position_size > 0 and low <= exitLow
    strategy.close_all(comment="Exit Channel")
if strategy.position_size < 0 and high >= exitHigh
    strategy.close_all(comment="Exit Channel")

// ─── Plotting ───
pEntryH = plot(entryHigh, "Entry High (20)", color=color.new(color.blue, 0), linewidth=2)
pEntryL = plot(entryLow, "Entry Low (20)", color=color.new(color.blue, 0), linewidth=2)
plot(entryMid, "Mid", color=color.new(color.gray, 50), linewidth=1)
fill(pEntryH, pEntryL, color=color.new(color.blue, 92), title="Entry Channel")

plot(exitHigh, "Exit High (10)", color=color.new(color.orange, 30), linewidth=1, style=plot.style_linebr)
plot(exitLow, "Exit Low (10)", color=color.new(color.orange, 30), linewidth=1, style=plot.style_linebr)

plotshape(longCondition and strategy.position_size[1] <= 0, title="Long Breakout", location=location.belowbar, style=shape.arrowup, color=color.green, size=size.small, text="TURTLE")
plotshape(shortCondition and strategy.position_size[1] >= 0, title="Short Breakout", location=location.abovebar, style=shape.arrowdown, color=color.red, size=size.small, text="TURTLE")

// ─── Alerts ───
alertcondition(longCondition, title="Turtle Long", message="Donchian: 20-period high breakout — Long entry")
alertcondition(shortCondition, title="Turtle Short", message="Donchian: 20-period low breakout — Short entry")