PF probe 54 - MTF roll state

// This Pine Script® code is licensed under Apache-2.0
// SPDX-License-Identifier: Apache-2.0
// © PineForge contributors 2026
//
// PF probe 54 - minimal MTF roll state
//
// Purpose: isolate request.security state across 60m, 240m, and D contexts,
// without the large community strategy filters.
// TV setup: 15m chart, same symbol/window as data/ohlcv_ETH-USDT-USDT_15m.csv.
// Export TradingView "List of trades" to trades.csv in this folder.
//@version=6
strategy("PF probe 54 - MTF roll state", shorttitle="PF_P54_MTF", overlay=true,
     initial_capital=1000000,
     commission_type=strategy.commission.percent, commission_value=0, slippage=0,
     default_qty_type=strategy.fixed, default_qty_value=1, pyramiding=1,
     process_orders_on_close=false)

h60 = request.security(syminfo.tickerid, "60", close, lookahead=barmerge.lookahead_off)
h240 = request.security(syminfo.tickerid, "240", close, lookahead=barmerge.lookahead_off)
dHigh1 = request.security(syminfo.tickerid, "D", high[1], lookahead=barmerge.lookahead_off)

roll60 = ta.change(h60) != 0
roll240 = ta.change(h240) != 0
dailyBreak = close > dHigh1 and close[1] <= dHigh1[1]

if roll60 and h60 > h60[1] and h240 >= h240[1] and strategy.position_size == 0
    strategy.entry("R60", strategy.long, qty=1, comment="60 up with 240 state")

if roll240 and h240 < h240[1] and strategy.position_size > 0
    strategy.close("R60", comment="240 down close")

if dailyBreak and strategy.position_size == 0
    strategy.entry("D", strategy.long, qty=1, comment="daily high break")

if strategy.position_size > 0 and close < dHigh1 * 0.995
    strategy.close_all(comment="daily ref close")