Forven S01509 - Simple Donchian 20/10 Breakout

// ============================================================================
// Simple Donchian 20/10 Breakout — TradingView clone of Forven S01509
// ============================================================================
// Purpose: cross-validate Forven backtest math against TradingView using a
// strategy with bit-for-bit deterministic indicators (no EMA-style warmup).
//
// Forven side
//   strategy_id : S01509  (simple_donchian_breakout_demo)
//   dataset     : BTC/USDT-1h  (binance)
//   window      : 2025-04-19 16:00 UTC  →  2026-04-19 16:00 UTC  (8760 bars)
//   leverage    : 1x
//   fee model   : ~11 bps round-trip (5.5 bps per side) inferred from trades
//   entry       : close > highest(high, 20) of the PRIOR 20 bars
//   exit        : close < lowest(low, 10)   of the PRIOR 10 bars
//
// How to use
//   1. Open BINANCE:BTCUSDT on the 1H chart in TradingView.
//   2. Paste this script into the Pine Editor and Add to Chart.
//   3. Open the Strategy Tester panel. The script auto-restricts trades to
//      the Forven window, so TradingView's totals should line up with
//      Forven's combined (IS + OOS) figures below.
//
// Expected Forven numbers (leverage=1x, long-only, single-side)
//                        trades   win_rate   return_pct   profit_factor   max_dd
//   In-sample (8.4m)      103      0.2621       -0.345        0.539        0.369
//   Out-of-sample (3.6m)   35      0.4000       -0.026        0.947        0.147
//   Combined (~12m)       138      0.2971       -0.362        0.650        0.369 ~
//
// ~ = approximation. Max DD is max(IS, OOS) rather than recomputed from the
// joined return stream — true full-window drawdown may be slightly larger.
//
// Math note
//   pandas  df['high'].rolling(20).max().shift(1)
//   Pine    ta.highest(high[1], 20)   ==   ta.highest(high, 20)[1]
//   are bit-for-bit identical — no seeding / warmup ambiguity. Any residual
//   delta vs Forven should come from fee model precision and the open-bar
//   equity curve, not from indicator math.
// ============================================================================

//@version=6
strategy(
     title              = "Forven S01509 — Simple Donchian 20/10 Breakout",
     shorttitle         = "S01509",
     overlay            = true,
     pyramiding         = 0,
     initial_capital    = 10000,
     default_qty_type   = strategy.percent_of_equity,
     default_qty_value  = 100,
     commission_type    = strategy.commission.percent,
     commission_value   = 0.055,
     slippage           = 0,
     calc_on_every_tick = false,
     process_orders_on_close = true)

// ---- Inputs ----------------------------------------------------------------
entry_len = input.int(20, "Entry channel length (prior N-bar high)", minval = 2, group = "Signal")
exit_len  = input.int(10, "Exit channel length (prior N-bar low)",   minval = 2, group = "Signal")

use_window = input.bool(true,  "Restrict to Forven window",  group = "Date range")
// Hardcoded epoch ms (const int — Pine v6 requires this for input.time defval):
//   1745078400000 = 2025-04-19 16:00:00 UTC
//   1776614400000 = 2026-04-19 16:00:00 UTC
start_ts   = input.time(1745078400000, "Window start (UTC)", group = "Date range")
end_ts     = input.time(1776614400000, "Window end (UTC)",   group = "Date range")

// ---- Indicators ------------------------------------------------------------
// `ta.highest(high[1], N)` == rolling(N).max().shift(1) — the max over the
// N bars strictly BEFORE the current bar. Classic turtle breakout.
prior_high = ta.highest(high[1], entry_len)
prior_low  = ta.lowest(low[1],   exit_len)

plot(prior_high, "Prior 20-bar high", color = color.new(color.green, 0))
plot(prior_low,  "Prior 10-bar low",  color = color.new(color.red,   0))

// ---- Window gate -----------------------------------------------------------
in_window = not use_window or (time >= start_ts and time <= end_ts)

// ---- Signals ---------------------------------------------------------------
break_up   = close > prior_high
break_down = close < prior_low

if in_window and break_up
    strategy.entry("Long", strategy.long)

if break_down
    strategy.close("Long")

// Force-flat at window end so totals are directly comparable to Forven.
if use_window and (time > end_ts)
    strategy.close_all()

// ---- Visuals ---------------------------------------------------------------
plotshape(break_up   and in_window, title = "Long entry",
     style = shape.triangleup,   location = location.belowbar,
     color = color.new(color.green, 0), size = size.tiny)

plotshape(break_down, title = "Long exit",
     style = shape.triangledown, location = location.abovebar,
     color = color.new(color.red, 0),   size = size.tiny)

bgcolor(in_window ? color.new(color.blue, 92) : na, title = "In-window shading")