PF Probe Kanuck-Probe-01-Kama-State

// This Pine Script® code is licensed under Apache-2.0
// SPDX-License-Identifier: Apache-2.0
// © PineForge contributors 2026
//
// PF probe kanuck-probe-01-kama-state — KAMA stateful adaptive smoothing
// Clean-room: written from validation goal, not from source.
//
// Purpose: isolates a hand-rolled KAMA (Kaufman Adaptive MA) recurrence
// (v6 ships no `ta.kama` built-in, so the math runs explicitly through
// `math.abs`, `math.sum`, and a `var float` state carrier). The smoothing
// constant changes per-bar based on an efficiency ratio derived from
// `length` price changes; engine surface under test is the bar-by-bar
// `kama := kama[1] + sc * (close - kama[1])` update through regime
// transitions where the SC swings fastest.
//
// Validation goal: bit-exact entries on `ta.crossover(close, kama)` and
// exits on `ta.crossunder(close, kama)`. Pass = identical trade list vs
// TradingView.
//
// 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 kanuck-probe-01-kama-state", shorttitle="PF_kan01_KAMA",
     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_kama_len  = input.int(14, "KAMA length",   minval=2)
int i_kama_fast = input.int(2,  "KAMA fast end", minval=1)
int i_kama_slow = input.int(30, "KAMA slow end", minval=2)

// ---- KAMA (manual recurrence; v6 has no ta.kama built-in) ----------
float change_n  = math.abs(close - close[i_kama_len])
float vol_sum   = math.sum(math.abs(close - close[1]), i_kama_len)
float er        = vol_sum > 0 ? change_n / vol_sum : 0.0
float fast_sc   = 2.0 / (i_kama_fast + 1)
float slow_sc   = 2.0 / (i_kama_slow + 1)
float sc        = math.pow(er * (fast_sc - slow_sc) + slow_sc, 2)
var float kama  = na
kama := na(kama[1]) ? close : kama[1] + sc * (close - kama[1])

// ---- crosses -------------------------------------------------------
bool cross_up   = ta.crossover(close, kama)
bool cross_down = ta.crossunder(close, kama)

// ---- order routing -------------------------------------------------
if cross_up and strategy.position_size <= 0
    strategy.entry("L", strategy.long, qty=1, comment="kama cross up")

if cross_down and strategy.position_size >= 0
    strategy.entry("S", strategy.short, qty=1, comment="kama cross down")