PF probe kkb-probe-integration

// This Pine Script® code is licensed under Apache-2.0
// SPDX-License-Identifier: Apache-2.0
// © PineForge contributors 2026
//
// PF probe kkb-probe-integration — Kalman + breakout + margin-100%
// Clean-room: written from validation goal, not from source.
//
// Purpose: composes the three surfaces isolated by `kkb-probe-01..03`
// (1-D Kalman filter, EMA-mid + ATR breakout band, `margin_long=100,
// margin_short=100` broker-emulator semantics) into one strategy. Long
// when Kalman trends up AND price breaks the upper band; short when
// Kalman trends down AND price breaks the lower band. Exit when the
// opposite breakout fires. Verifies that the runtime carries Kalman
// state correctly while the broker emulator enforces full-margin sizing.
//
// Validation goal: bit-exact trade list against TradingView's broker
// emulator on the reference 15-minute ETH-USDT-USDT feed.
//
// 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 kkb-probe-integration", shorttitle="PF_kkbINT",
     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,
     margin_long=100, margin_short=100)

// ---- inputs --------------------------------------------------------
float i_q        = input.float(0.001, "Process variance Q",     minval=0.0, step=0.0005)
float i_r        = input.float(0.1,   "Measurement variance R", minval=0.0001, step=0.01)
int   i_band_len = input.int(20,    "Band EMA length", minval=2)
int   i_atr_len  = input.int(14,    "ATR length",      minval=2)
float i_atr_mult = input.float(1.5, "ATR multiplier",  minval=0.1, step=0.1)

// ---- Kalman state -------------------------------------------------
var float x = na
var float p = 1.0

float x_pred = nz(x[1], close)
float p_pred = nz(p[1], 1.0) + i_q
float k_gain = p_pred / (p_pred + i_r)
x := x_pred + k_gain * (close - x_pred)
p := (1 - k_gain) * p_pred

bool kalman_bull = x > nz(x[1], x)
bool kalman_bear = x < nz(x[1], x)

// ---- breakout band ------------------------------------------------
float band  = ta.ema(close, i_band_len)
float vol   = ta.atr(i_atr_len)
float upper = band + vol * i_atr_mult
float lower = band - vol * i_atr_mult

bool break_up   = ta.crossover(close,  upper)
bool break_down = ta.crossunder(close, lower)

// ---- composed gates -----------------------------------------------
bool go_long  = kalman_bull and break_up
bool go_short = kalman_bear and break_down

// ---- order routing -------------------------------------------------
if go_long and strategy.position_size <= 0
    strategy.entry("L", strategy.long, qty=1, comment="integ long")

if go_short and strategy.position_size >= 0
    strategy.entry("S", strategy.short, qty=1, comment="integ short")