JRD v2 Jump Risk Differential

//@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/
// ============================================================================
//  JRD v2 — Jump Risk Differential (RV vs Bipower Variation + test BNS)
//  Idea: la varianza realizada RV = Σr² recoge difusión + saltos; la variación
//  bipotencia BV = (π/2)·Σ|r_t||r_{t-1}| es robusta a saltos (Barndorff-Nielsen &
//  Shephard, 2004). La parte de saltos es max(0, RV − BV) y su cuota (RV−BV)/RV
//  mide cuánta volatilidad reciente viene de discontinuidades. v2 añade el
//  estadístico ratio de BNS (con cuarticidad tripotencia) para saber si los saltos
//  son estadísticamente significativos, detecta saltos barra a barra con σ robusta
//  y devuelve puertas de decisión: evitar rupturas / entradas tras compresión.
// ============================================================================
indicator("JRD v2 — Jump Risk Differential", shorttitle="JRD v2", overlay=false)

n        = input.int(30, "Window (bars)", minval=10, maxval=200)
smoothL  = input.int(3, "Smoothing", minval=1, maxval=10)
highTh   = input.float(0.50, "High jump share", minval=0.2, maxval=0.9, step=0.05)
lowTh    = input.float(0.25, "Low jump share", minval=0.05, maxval=0.5, step=0.05)
zSig     = input.float(1.96, "BNS z significance", minval=1.0, maxval=4.0, step=0.01)
jumpK    = input.float(3.0, "Bar jump threshold (robust σ mult)", minval=1.5, maxval=6.0, step=0.5)
compRank = input.int(25, "Compression: ATR percentile <", minval=5, maxval=50)
rankLen  = input.int(100, "ATR rank lookback", minval=30, maxval=500)
showComp = input.bool(true, "Show RV / BV volatilities", group="Visual")

// === VARIANZA REALIZADA, BIPOWER Y TRIPOWER ===
r  = math.log(close / close[1])
ar = math.abs(r)
rv = ta.sum(r * r, n)
bv = (math.pi / 2) * ta.sum(ar * ar[1], n)
mu43 = 0.8309                                              // 2^(2/3)·Γ(7/6)/Γ(1/2)
tq = n * math.pow(mu43, -3) * ta.sum(math.pow(ar, 4.0 / 3) * math.pow(ar[1], 4.0 / 3) * math.pow(ar[2], 4.0 / 3), n)

jumpShare = rv > 0 ? math.max(0.0, 1 - bv / rv) : 0.0
theta = math.pi * math.pi / 4 + math.pi - 5                // ≈ 0.609
bnsZ  = rv > 0 and bv > 0 ? (1 - bv / rv) / math.sqrt(theta * math.max(1.0, tq / (bv * bv)) / n) : 0.0
share = ta.ema(jumpShare, smoothL)

sigRobust = math.sqrt(bv / n)                              // σ por barra robusta a saltos
isJumpBar = sigRobust > 0 and ar > jumpK * sigRobust
jumpUp    = isJumpBar and r > 0
jumpDn    = isJumpBar and r < 0
jumpCount = ta.sum(isJumpBar ? 1 : 0, n)

// === CLASIFICACIÓN Y PUERTAS ===
highRisk = share >= highTh or (bnsZ >= zSig and share >= lowTh)
lowRisk  = share < lowTh and bnsZ < zSig
riskLevel = highRisk ? 2 : lowRisk ? 0 : 1
riskLabel = highRisk ? "HIGH JUMP RISK" : lowRisk ? "LOW JUMP RISK" : "MODERATE"
riskColor = highRisk ? color.red : lowRisk ? color.green : color.orange

atr = ta.atr(14)
atrRank = ta.percentrank(atr, rankLen)
compressed = atrRank < compRank
avoidBreakouts = highRisk
entryWindow    = compressed and lowRisk and share <= share[1]

// === VISUAL ===
hline(highTh * 100, "High share", color=color.new(color.red, 60), linestyle=hline.style_dashed)
hline(lowTh * 100, "Low share", color=color.new(color.green, 60), linestyle=hline.style_dashed)
hline(0, "Zero", color=color.gray)
plot(share * 100, "Jump share % (RV-BV)/RV", color=riskColor, linewidth=2)
plot(bnsZ * 10, "BNS z ×10", color=color.new(color.purple, 40), linewidth=1)
hline(19.6, "z = 1.96 (×10)", color=color.new(color.purple, 70), linestyle=hline.style_dotted)
plot(showComp ? math.sqrt(rv / n) * 100 * 10 : na, "RV vol/bar % ×10", color=color.new(color.blue, 70), linewidth=1)
plot(showComp ? sigRobust * 100 * 10 : na, "BV vol/bar % ×10", color=color.new(color.teal, 70), linewidth=1)
bgcolor(highRisk ? color.new(color.red, 92) : entryWindow ? color.new(color.blue, 90) : compressed ? color.new(color.gray, 94) : na, title="State")
plotshape(jumpUp, "Jump up", style=shape.triangleup, location=location.bottom, color=color.new(color.green, 30), size=size.tiny)
plotshape(jumpDn, "Jump down", style=shape.triangledown, location=location.top, color=color.new(color.red, 30), size=size.tiny)
plotshape(entryWindow and not entryWindow[1], "Entry window", style=shape.circle, location=location.bottom, color=color.aqua, size=size.small, text="ENTRY")
plotshape(highRisk and not highRisk[1], "Avoid breakouts", style=shape.xcross, location=location.top, color=color.red, size=size.small, text="AVOID")
plot(riskLevel, "JRD risk level (export: 0 low / 1 mod / 2 high)", display=display.none)

var table t = table.new(position.top_right, 2, 7, bgcolor=color.new(color.black, 60))
table.cell(t, 0, 0, "JUMP RISK", text_color=color.white, text_size=size.small)
table.cell(t, 1, 0, riskLabel, bgcolor=color.new(riskColor, 30), text_color=color.white, text_size=size.small)
table.cell(t, 0, 1, "Jump share", text_color=color.white, text_size=size.small)
table.cell(t, 1, 1, str.tostring(share * 100, "#.#") + "%", text_color=riskColor, text_size=size.small)
table.cell(t, 0, 2, "BNS z", text_color=color.white, text_size=size.small)
table.cell(t, 1, 2, str.tostring(bnsZ, "#.##") + (bnsZ >= zSig ? " ✱" : ""), text_color=bnsZ >= zSig ? color.red : color.gray, text_size=size.small)
table.cell(t, 0, 3, "Jumps in window", text_color=color.white, text_size=size.small)
table.cell(t, 1, 3, str.tostring(jumpCount) + " / " + str.tostring(n), text_color=color.white, text_size=size.small)
table.cell(t, 0, 4, "σ robust / bar", text_color=color.white, text_size=size.small)
table.cell(t, 1, 4, str.tostring(sigRobust * 100, "#.##") + "%", text_color=color.teal, text_size=size.small)
table.cell(t, 0, 5, "ATR rank", text_color=color.white, text_size=size.small)
table.cell(t, 1, 5, str.tostring(atrRank, "#") + (compressed ? " (compressed)" : ""), text_color=compressed ? color.aqua : color.gray, text_size=size.small)
table.cell(t, 0, 6, "Gate", text_color=color.white, text_size=size.small)
table.cell(t, 1, 6, avoidBreakouts ? "AVOID BREAKOUTS" : entryWindow ? "ENTRY WINDOW" : "NEUTRAL", text_color=avoidBreakouts ? color.red : entryWindow ? color.aqua : color.gray, text_size=size.small)

// === ALERTAS ===
alertcondition(highRisk and not highRisk[1], "JRD High jump risk", "JRD v2: jump risk turned HIGH - avoid breakouts")
alertcondition(entryWindow and not entryWindow[1], "JRD Entry window", "JRD v2: compression with low jump risk - entry window")
alertcondition(isJumpBar, "JRD Jump bar", "JRD v2: jump bar detected (|r| above robust sigma threshold)")
alertcondition(bnsZ >= zSig and bnsZ[1] < zSig, "JRD Significant jumps", "JRD v2: BNS test significant - jumps present in window")