Quality Trend-Join-Long (gap-and-go)

//@version=5
// =============================================================================
// Quality-gated trend-join-long  (gap-and-go)  — TradingView-native version
// -----------------------------------------------------------------------------
// Mirrors the Python system, per symbol/chart:
//   Stage 1  3-yr avg ROCE >= 12%  AND  market cap > $1B   (fundamentals)
//   Stage 2  daily uptrend: close>EMA200, EMA50>EMA200, EMA50 rising
//   Stage 3  gap-and-go: gap>3% + premarket vol>20k + first-hour vol>1M
//            + price crosses above session VWAP
//   Risk     1% risk sizing, ATR stop, ATR chandelier trail, trend-break exit
//
// HOW TO USE
//   * Add to an INTRADAY chart (e.g. 5m) of a US stock.
//   * Enable "Extended hours" on the chart, or the premarket-volume gate can't pass.
//   * ROCE needs enough loaded history to have seen 3 annual reports.
//   * This runs on a TradingView paper chart and can drive alerts/webhooks; it is a
//     research tool — validate before any real use. Not financial advice.
// =============================================================================

strategy("Quality Trend-Join-Long (gap-and-go)", overlay=true,
     default_qty_type=strategy.fixed, pyramiding=0, calc_on_every_tick=false,
     initial_capital=100000, currency=currency.USD)

// ----------------------------- Inputs ----------------------------------------
grpF = "Stage 1 — fundamentals"
roceMin    = input.float(0.12, "Min 3-yr avg ROCE", step=0.01, group=grpF)
mktCapMin  = input.float(1e9,  "Min market cap ($)", group=grpF)

grpT = "Stage 2 — daily trend"
emaFastLen = input.int(50,  "EMA fast", group=grpT)
emaSlowLen = input.int(200, "EMA slow", group=grpT)
slopeLkbk  = input.int(5,   "EMA-fast slope lookback", group=grpT)

grpE = "Stage 3 — gap-and-go entry"
gapMin     = input.float(0.03,   "Min overnight gap", step=0.01, group=grpE)
preVolMin  = input.float(20000,  "Min premarket volume", group=grpE)
hourVolMin = input.float(1000000,"Min first-hour volume", group=grpE)
windowMin  = input.int(60,       "First-hour window (min)", group=grpE)

grpR = "Risk"
riskPct    = input.float(0.01, "Risk per trade", step=0.005, group=grpR)
atrLen     = input.int(14,     "ATR length", group=grpR)
atrMult    = input.float(2.0,  "ATR stop multiple", step=0.5, group=grpR)
exitAtVwap = input.bool(true,  "Exit when price hits VWAP (else within % above)", group=grpR)
vwapExitPct= input.float(0.05, "  ...% above VWAP (proximity mode only)", step=0.01, group=grpR)

// ------------------------ Stage 1: fundamentals ------------------------------
// Collect the last 3 fiscal-year ROCE readings as the annual reports arrive.
ebitFY  = request.financial(syminfo.tickerid, "EBIT", "FY")
taFY    = request.financial(syminfo.tickerid, "TOTAL_ASSETS", "FY")
clFY    = request.financial(syminfo.tickerid, "TOTAL_CURRENT_LIABILITIES", "FY")

var float[] roceHist = array.new_float()
newAnnual = not na(taFY) and taFY != taFY[1]
if newAnnual
    ce = taFY - clFY
    if ce > 0 and not na(ebitFY)
        array.push(roceHist, ebitFY / ce)
        if array.size(roceHist) > 3
            array.shift(roceHist)

avgRoce  = array.size(roceHist) > 0 ? array.avg(roceHist) : na
roceOK   = array.size(roceHist) >= 3 and avgRoce >= roceMin

// Market cap = shares outstanding * price.  (Swap the id if your data uses another.)
sharesOut = request.financial(syminfo.tickerid, "TOTAL_SHARES_OUTSTANDING", "FQ")
mktCap    = na(sharesOut) ? na : sharesOut * close
mcapOK    = not na(mktCap) and mktCap > mktCapMin

// ------------------------ Stage 2: daily trend -------------------------------
dailyUptrend = request.security(syminfo.tickerid, "D",
     close > ta.ema(close, emaSlowLen)
     and ta.ema(close, emaFastLen) > ta.ema(close, emaSlowLen)
     and ta.ema(close, emaFastLen) > ta.ema(close, emaFastLen)[slopeLkbk],
     lookahead=barmerge.lookahead_off)

dailyBelowFast = request.security(syminfo.tickerid, "D",
     close < ta.ema(close, emaFastLen), lookahead=barmerge.lookahead_off)

// ------------------------ Stage 3: gap-and-go --------------------------------
// Overnight gap from daily open vs prior daily close.
dOpen     = request.security(syminfo.tickerid, "D", open,     lookahead=barmerge.lookahead_off)
dPrevClse = request.security(syminfo.tickerid, "D", close[1], lookahead=barmerge.lookahead_off)
gap       = (dOpen - dPrevClse) / dPrevClse
gapOK     = not na(gap) and gap > gapMin

// Per-day volume accumulators (premarket + first hour of regular session).
newDay = ta.change(time("D")) != 0
var float preVol  = 0.0
var float hourVol = 0.0
var int   regOpenTime = na
if newDay
    preVol      := 0.0
    hourVol     := 0.0
    regOpenTime := na
if session.ispremarket
    preVol += volume
if session.ismarket
    if na(regOpenTime)
        regOpenTime := time
    if time <= regOpenTime + windowMin * 60 * 1000
        hourVol += volume
preVolOK  = preVol  > preVolMin
hourVolOK = hourVol > hourVolMin

// VWAP reclaim (the join trigger).
crossUpVWAP = ta.crossover(close, ta.vwap)

allGates = roceOK and mcapOK and dailyUptrend and gapOK and preVolOK and hourVolOK and crossUpVWAP

// ------------------------------ Risk / orders --------------------------------
atrVal       = ta.atr(atrLen)
riskPerShare = atrMult * atrVal
qty          = riskPerShare > 0 ? math.floor((strategy.equity * riskPct) / riskPerShare) : 0

enterLong = allGates and strategy.position_size == 0 and session.ismarket and qty > 0
if enterLong
    strategy.entry("Long", strategy.long, qty=qty)

// Chandelier trailing stop (ratchets up) + trend-break exit.
var float trailStop = na
if strategy.position_size > 0
    chand     = high - atrMult * atrVal
    trailStop := na(trailStop) ? close - atrMult * atrVal : math.max(trailStop, chand)
    strategy.exit("Exit", "Long", stop=trailStop)
    vwapExitLevel = exitAtVwap ? ta.vwap : ta.vwap * (1 + vwapExitPct)
    if close <= vwapExitLevel
        strategy.close("Long", comment="at/near VWAP")
    if dailyBelowFast
        strategy.close("Long", comment="trend break")
else
    trailStop := na

// ------------------------------- Plots ---------------------------------------
plot(ta.vwap, "VWAP", color=color.new(color.orange, 0))
plot(ta.ema(close, emaFastLen), "EMA fast", color=color.new(color.blue, 0))
plot(ta.ema(close, emaSlowLen), "EMA slow", color=color.new(color.gray, 0))
plot(strategy.position_size > 0 ? trailStop : na, "Trail stop", color=color.new(color.red, 0), style=plot.style_linebr)
plotshape(enterLong, "Entry", shape.triangleup, location.belowbar, color.new(color.green, 0), size=size.small)

// Gate status table (top-right).
var table t = table.new(position.top_right, 1, 7, border_width=1)
if barstate.islast
    f_row(i, txt, ok) =>
        table.cell(t, 0, i, txt, text_color=ok ? color.green : color.red,
             text_size=size.small, text_halign=text.align_left)
    table.cell(t, 0, 0, "Quality trend-join-long", text_color=color.white, text_size=size.small)
    f_row(1, "ROCE 3y "  + (na(avgRoce) ? "n/a" : str.tostring(avgRoce*100, "#.0") + "%"), roceOK)
    f_row(2, "MktCap "   + (na(mktCap) ? "n/a" : "$" + str.tostring(mktCap/1e9, "#.0") + "B"), mcapOK)
    f_row(3, "Daily uptrend", dailyUptrend)
    f_row(4, "Gap "      + str.tostring(gap*100, "#.0") + "%", gapOK)
    f_row(5, "PreVol "   + str.tostring(preVol/1000, "#") + "k", preVolOK)
    f_row(6, "HourVol "  + str.tostring(hourVol/1e6, "#.00") + "M", hourVolOK)