Mean Reversion

//@version=5
strategy("Mean Reversion",
     overlay=true, initial_capital=50000,
     default_qty_type=strategy.fixed, default_qty_value=1,
     calc_on_every_tick=false,
     calc_on_order_fills=true, process_orders_on_close=false)

// ========================================
// USER INPUTS
// ========================================
// Moving Average & Standard Deviation Settings
maLength = input.int(21, "MA Length")
stdDevMultiplier = input.float(2.0, "Standard Deviation Multiplier", step=0.1)

// RSI Settings
rsiLength = input.int(5, "RSI Length")
rsiOversold = input.int(20, "RSI Oversold Level")
rsiOverbought = input.int(80, "RSI Overbought Level")

// Trade Management (in ticks)
profitTicks = input.int(21, "Profit Target (ticks)")
stopTicks = input.int(34, "Stop Loss (ticks)")
tickValue = input.float(12.50, "Tick Value ($)", tooltip="ES = $12.50, NQ = $5.00")

// Position Sizing
initialContracts = input.int(10, "Initial Contracts")
maxContracts = input.int(10, "Maximum Contracts")

// Time Filter
useTimeFilter = input.bool(true, "Use Trading Hours Filter")
startHour = input.int(8, "Start Hour (EST)")
startMinute = input.int(30, "Start Minute")
endHour = input.int(14, "End Hour (EST)")
endMinute = input.int(0, "End Minute")

// Daily Limits
useDailyLimits = input.bool(true, "Use Daily P&L Limits")
dailyProfitTarget = input.float(999, "Daily Profit Target ($)")
dailyLossLimit = input.float(500, "Daily Loss Limit ($)")
maxDailyTrades = input.int(2, "Max Daily Trades")

// ========================================
// CALCULATE INDICATORS
// ========================================
// Bollinger Bands (for standard deviation)
basis = ta.sma(close, maLength)
stdDev = ta.stdev(close, maLength)
upperBand = basis + (stdDevMultiplier * stdDev)
lowerBand = basis - (stdDevMultiplier * stdDev)

// RSI
rsi = ta.rsi(close, rsiLength)

// === MACD (added) ===
// MACD Inputs
macd_fast_length = input.int(8, "MACD Fast Length")
macd_slow_length = input.int(21, "MACD Slow Length")
macd_signal_length = input.int(8, "MACD Signal Length")
macd_src = input.source(close, "MACD Source")

sma_source_macd = input.string("EMA", "MACD Oscillator MA Type", options=["SMA", "EMA"])
sma_signal_macd = input.string("EMA", "MACD Signal MA Type", options=["SMA", "EMA"])
// MACD confirmation mode (expanded)
macdConfirm = input.string("None", "MACD Confirmation", options=["None", "Histogram > 0", "Histogram Rising", "MACD > Signal", "MACD Cross Signal"], tooltip="Choose how MACD must confirm entries")
requireRSIandMACD = input.bool(true, "Require RSI oversold/overbought AND MACD rising/falling", tooltip="If true, longs require RSI oversold AND MACD histogram rising; shorts require RSI overbought AND MACD histogram falling")

// Price action confirmation
requirePriceAction = input.bool(false, "Require Price Action Confirmation", tooltip="Require a small engulfing or wick rejection before entry")
priceActionType = input.string("Lower Wick", "Price Action Type", options=["Engulfing", "Lower Wick"], tooltip="Type of price-action confirmation to require")
wickFactor = input.float(1.5, "Wick Factor (lower/upper wick vs body)", step=0.1)

fast_ma = sma_source_macd == "SMA" ? ta.sma(macd_src, macd_fast_length) : ta.ema(macd_src, macd_fast_length)
slow_ma = sma_source_macd == "SMA" ? ta.sma(macd_src, macd_slow_length) : ta.ema(macd_src, macd_slow_length)
macd = fast_ma - slow_ma
signal = sma_signal_macd == "SMA" ? ta.sma(macd, macd_signal_length) : ta.ema(macd, macd_signal_length)
hist = macd - signal

// Price-action helper functions
isBullishEngulfing() =>
    close > open and close[1] < open[1] and open < close[1] and close > open[1]

isBearishEngulfing() =>
    close < open and close[1] > open[1] and open > close[1] and close < open[1]

isLowerWickRejection() =>
    // bullish candle with lower wick significantly larger than body
    close > open and (math.min(open, close) - low) > (math.abs(close - open) * wickFactor)

isUpperWickRejection() =>
    // bearish candle with upper wick significantly larger than body
    close < open and (high - math.max(open, close)) > (math.abs(close - open) * wickFactor)

// ========================================
// TRADING SESSION FILTER
// ========================================
isInSession() =>
    if useTimeFilter
        sessionTime = hour * 60 + minute
        startTime = startHour * 60 + startMinute
        endTime = endHour * 60 + endMinute
        sessionTime >= startTime and sessionTime <= endTime
    else
        true

// ========================================
// DAILY TRADE TRACKING
// ========================================
var float dailyPnL = 0.0
var int dailyTradeCount = 0
var int lastTradeDay = 0
var int lastClosedTrades = 0

// Reset daily counters
currentDay = dayofmonth
if currentDay != lastTradeDay
    dailyPnL := 0.0
    dailyTradeCount := 0
    lastTradeDay := currentDay
    lastClosedTrades := strategy.closedtrades

// Check if we can trade based on daily limits
canTradeToday() =>
    if useDailyLimits
        withinProfitLimit = dailyPnL < dailyProfitTarget
        withinLossLimit = dailyPnL > -dailyLossLimit
        withinTradeLimit = dailyTradeCount < maxDailyTrades
        withinProfitLimit and withinLossLimit and withinTradeLimit
    else
        true

// ========================================
// ENTRY CONDITIONS
// ========================================
// Long Entry: Price touches lower band AND RSI oversold
// Apply MACD filter logic
// MACD confirmation logic
macdLongOk = false
macdShortOk = false
if macdConfirm == "None"
    macdLongOk := true
    macdShortOk := true
else
    macdLongOk := macdConfirm == "Histogram > 0" and hist > 0 or macdConfirm == "Histogram Rising" and hist > hist[1] or macdConfirm == "MACD > Signal" and macd > signal or macdConfirm == "MACD Cross Signal" and ta.crossover(macd, signal)
    macdShortOk := macdConfirm == "Histogram > 0" and hist < 0 or macdConfirm == "Histogram Rising" and hist < hist[1] or macdConfirm == "MACD > Signal" and macd < signal or macdConfirm == "MACD Cross Signal" and ta.crossunder(macd, signal)

// price-action confirmation
paLongOk = true
paShortOk = true
if requirePriceAction
    paLongOk := (priceActionType == "Engulfing" and isBullishEngulfing()) or (priceActionType == "Lower Wick" and isLowerWickRejection())
    paShortOk := (priceActionType == "Engulfing" and isBearishEngulfing()) or (priceActionType == "Lower Wick" and isUpperWickRejection())

// combine RSI+MACD rising requirement if enabled
macdRiseOkLong = true
macdRiseOkShort = true
if requireRSIandMACD
    macdRiseOkLong := hist > hist[1]
    macdRiseOkShort := hist < hist[1]

longCondition = close <= lowerBand and rsi < rsiOversold and isInSession() and canTradeToday() and macdLongOk and paLongOk and macdRiseOkLong

// Short Entry: Price touches upper band AND RSI overbought
shortCondition = close >= upperBand and rsi > rsiOverbought and isInSession() and canTradeToday() and macdShortOk and paShortOk and macdRiseOkShort

// ========================================
// POSITION SIZING LOGIC
// ========================================
currentPosition = strategy.position_size
canAddPosition = math.abs(currentPosition) < maxContracts

// Determine contract size for new entry
getContractSize() =>
    if math.abs(currentPosition) == 0
        initialContracts
    else if canAddPosition
        1
    else
        0

contractSize = getContractSize()

// ========================================
// EXECUTE TRADES
// ========================================
// Calculate tick-based stops and targets
tickSize = syminfo.mintick
profitDistance = profitTicks * tickSize
stopDistance = stopTicks * tickSize

// Long Trades
if longCondition and (currentPosition >= 0) and canAddPosition
    entryPrice = close
    stopPrice = entryPrice - stopDistance
    targetPrice = entryPrice + profitDistance
    
    entryID = "Long" + str.tostring(math.abs(currentPosition) + 1)
    
    strategy.entry(entryID, strategy.long, qty=contractSize)
    strategy.exit(entryID + "_Exit", entryID, limit=targetPrice, stop=stopPrice, comment="TP/SL")
    
    if math.abs(currentPosition) == 0
        dailyTradeCount += 1

// Short Trades
if shortCondition and (currentPosition <= 0) and canAddPosition
    entryPrice = close
    stopPrice = entryPrice + stopDistance
    targetPrice = entryPrice - profitDistance
    
    entryID = "Short" + str.tostring(math.abs(currentPosition) + 1)
    
    strategy.entry(entryID, strategy.short, qty=contractSize)
    strategy.exit(entryID + "_Exit", entryID, limit=targetPrice, stop=stopPrice, comment="TP/SL")
    
    if math.abs(currentPosition) == 0
        dailyTradeCount += 1

// ========================================
// TRACK P&L
// ========================================
if strategy.closedtrades > lastClosedTrades
    newClosedTrades = strategy.closedtrades - lastClosedTrades
    
    for i = 0 to newClosedTrades - 1
        tradeIndex = strategy.closedtrades - 1 - i
        tradePnL = strategy.closedtrades.profit(tradeIndex)
        tradePnLDollars = tradePnL * tickValue / tickSize
        dailyPnL += tradePnLDollars
    
    lastClosedTrades := strategy.closedtrades

// ========================================
// PLOTTING
// ========================================
// Plot Bollinger Bands
plot(basis, "MA", color=color.blue, linewidth=2)
p1 = plot(upperBand, "Upper Band", color=color.red, linewidth=1)
p2 = plot(lowerBand, "Lower Band", color=color.green, linewidth=1)
fill(p1, p2, color=color.rgb(33, 150, 243, 95))

// Plot Entry Signals
plotshape(longCondition and canAddPosition, "Long Signal", shape.triangleup, location.belowbar, color=color.green, size=size.small)
plotshape(shortCondition and canAddPosition, "Short Signal", shape.triangledown, location.abovebar, color=color.red, size=size.small)

// Background color for RSI conditions
bgcolor(rsi < rsiOversold ? color.new(color.green, 90) : na, title="Oversold")
bgcolor(rsi > rsiOverbought ? color.new(color.red, 90) : na, title="Overbought")

// === MACD PLOTTING ===
hline(0, "MACD Zero", color=color.new(color.gray, 80))
plot(hist, title = "MACD Histogram", style=plot.style_columns, color = hist >= 0 ? color.new(color.green, 0) : color.new(color.red, 0))
plot(macd, title = "MACD", color = color.blue)
plot(signal, title = "MACD Signal", color = color.orange)

// ========================================
// ALERTS
// ========================================
alertcondition(longCondition and canAddPosition, "Long Entry Signal", "Mean Reversion: Long signal triggered")
alertcondition(shortCondition and canAddPosition, "Short Entry Signal", "Mean Reversion: Short signal triggered")
alertcondition(dailyPnL >= dailyProfitTarget and useDailyLimits, "Daily Profit Target Hit", "Daily profit target reached!")
alertcondition(dailyPnL <= -dailyLossLimit and useDailyLimits, "Daily Loss Limit Hit", "Daily loss limit reached!")