PF Probe 99 - Keltner Channel Break

// This Pine Script® code is licensed under Apache-2.0
// SPDX-License-Identifier: Apache-2.0
// © PineForge contributors 2026
//
// PF probe 99 — Keltner channel breakout
// Clean-room: written from validation goal, not from source.
//
// Purpose: exercises a compact composite of three v6 surfaces in one
// strategy — `ta.ema(close, 20)` for the channel midline, `ta.atr(10)`
// for the half-width, and `ta.crossover` / `ta.crossunder` of close
// against the upper/lower band for the entry/exit triggers. The
// channel construction `mid ± atr * mult` is a TA-on-TA expression;
// any tiny seed drift in either the EMA or the ATR shifts the band,
// which in turn shifts WHICH bar the close-vs-band cross resolves on.
//
// Validation goal: bit-exact trade list against TradingView's broker
// emulator on the reference 15m feed. Pass = every entry/exit fires
// on the same bar TradingView places it.
//
// TV setup: 15m chart, ETH-USDT-USDT (Binance USDT-M Perpetual). Full
// window matching corpus/data/ohlcv_ETH-USDT-USDT_15m.csv. Strategy
// properties: leave defaults from script header. Export "List of
// trades" → tv_trades.csv.
//@version=6
strategy("PF probe 99 - keltner channel break", shorttitle="PF_p99_KCH",
     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)

// ---- inputs --------------------------------------------------------
int   i_ema_len = input.int(20,  "Channel EMA length", minval=2,  maxval=200)
int   i_atr_len = input.int(10,  "Channel ATR length", minval=2,  maxval=100)
float i_mult    = input.float(2.0, "Channel multiple", minval=0.5, maxval=10.0, step=0.1)

// ---- channel construction -----------------------------------------
float mid_line = ta.ema(close, i_ema_len)
float half_w   = ta.atr(i_atr_len) * i_mult
float upper    = mid_line + half_w
float lower    = mid_line - half_w

// ---- entries / exits on cross of close vs band --------------------
bool long_break  = ta.crossover(close,  upper)
bool short_break = ta.crossunder(close, lower)
bool long_exit   = ta.crossunder(close, mid_line)
bool short_exit  = ta.crossover(close,  mid_line)

if long_break and strategy.position_size <= 0
    if strategy.position_size < 0
        strategy.close("S", comment="flip flat")
    strategy.entry("L", strategy.long, comment="upper break")

if short_break and strategy.position_size >= 0
    if strategy.position_size > 0
        strategy.close("L", comment="flip flat")
    strategy.entry("S", strategy.short, comment="lower break")

if long_exit and strategy.position_size > 0
    strategy.close("L", comment="back to mid")

if short_exit and strategy.position_size < 0
    strategy.close("S", comment="back to mid")