Seykota Alt 1: Adaptive Volatility

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © danieltuckerrust
// ALTERNATIVE 1: Adaptive Volatility-Based System
// THEORY: Parameters should adapt to volatility regimes. In low volatility, use tighter channels
// to catch trends earlier. In high volatility, use wider channels to avoid whipsaws.

//@version=6
strategy("Seykota Alt 1: Adaptive Volatility v1.0",
     overlay=true,
     initial_capital=100000,
     commission_type=strategy.commission.percent, commission_value=0.005,
     default_qty_type=strategy.fixed, default_qty_value=0,
     pyramiding=10,
     max_bars_back=5000)

//================ Inputs
allowLong   = input.bool(true,  "Allow LONGs?")
allowShort  = input.bool(true,  "Allow SHORTs?")

// Adaptive parameters - use ranges instead of fixed values
entryLenFast = input.int(20,    "Donchian ENTRY (low vol)",   minval=10)
entryLenSlow = input.int(80,    "Donchian ENTRY (high vol)",  minval=20)
exitLenFast  = input.int(5,     "Donchian EXIT (low vol)",    minval=3)
exitLenSlow  = input.int(20,    "Donchian EXIT (high vol)",   minval=5)

volLookback  = input.int(100,   "Volatility regime lookback", minval=50)
volPercentile= input.float(50,  "Vol threshold percentile",   minval=0, maxval=100, step=5)

nLen        = input.int(20,     "N = ATR length",             minval=5)
stopNFast   = input.float(1.5,  "Initial stop in low vol (N)",  minval=0.5, step=0.25)
stopNSlow   = input.float(3.0,  "Initial stop in high vol (N)", minval=0.5, step=0.25)
addStepN    = input.float(0.5,  "Add every X * N",            minval=0.25, step=0.25)
maxUnits    = input.int(4,      "Max units",                  minval=1, maxval=10)
riskPct     = input.float(1.0,  "Risk % per unit",            minval=0.1, maxval=5, step=0.1)

useMarket   = input.bool(false, "Use market regime filter?")
marketSym   = input.symbol("SPY", "Market symbol")
marketTF    = input.timeframe("D", "Regime timeframe")
marketLen   = input.int(200,    "Market MA length",           minval=50)

minVol      = input.int(0,      "Min 20-bar avg volume",      minval=0)
showSignals = input.bool(true,  "Plot signals & stops?")
plotDon     = input.bool(true,  "Plot Donchian bands?")

fromDate = input.time(defval=timestamp("2022-01-01T00:00:00"), title="Backtest FROM")
toDate   = input.time(defval=timestamp("2099-12-31T23:59:59"), title="Backtest TO")

//================ Adaptive Volatility Logic
N        = ta.atr(nLen)
volMA    = ta.sma(volume, 20)
liqOK    = volMA >= minVol

// Calculate volatility percentile rank over lookback period
nHistorical = array.new<float>(0)
for i = 0 to volLookback - 1
    if not na(N[i])
        array.push(nHistorical, N[i])

volRank = 0.5 // default
if array.size(nHistorical) > 0
    sortedVol = array.copy(nHistorical)
    array.sort(sortedVol, order.ascending)
    targetIdx = math.round(array.size(sortedVol) * (volPercentile/100.0))
    threshold = array.get(sortedVol, math.max(0, math.min(targetIdx, array.size(sortedVol)-1)))
    volRank := N > threshold ? 1.0 : 0.0

// Interpolate parameters based on volatility regime
entryLen = math.round(entryLenFast * (1 - volRank) + entryLenSlow * volRank)
exitLen  = math.round(exitLenFast  * (1 - volRank) + exitLenSlow  * volRank)
stopN    = stopNFast * (1 - volRank) + stopNSlow * volRank

//================ Helpers
sharesForUnit(_equity, _Nentry) =>
    riskDollars   = _equity * (riskPct/100.0)
    perShareRisk  = math.max(stopN * _Nentry, syminfo.mintick)
    math.max(1, math.floor(riskDollars / perShareRisk))

inRange = (time >= fromDate) and (time <= toDate)
flatAtFrom = input.bool(true, "Force FLAT at range start?")
isRangeStart = (time[1] < fromDate) and (time >= fromDate)

if flatAtFrom and isRangeStart and strategy.position_size != 0
    strategy.close_all(comment="Flat at FROM")

//================ Core calcs
donHi    = ta.highest(high, entryLen)
donLo    = ta.lowest(low,  entryLen)
donHiPrev= donHi[1]
donLoPrev= donLo[1]

exitHiPrev = ta.highest(high, exitLen)[1]
exitLoPrev = ta.lowest(low,  exitLen)[1]

// Market regime
mClose = request.security(marketSym, marketTF, close)
mMA    = request.security(marketSym, marketTF, ta.sma(close, marketLen))
longRegOK  = not useMarket or (mClose > mMA)
shortRegOK = not useMarket or (mClose < mMA)

//================ Signals
longBreak  = allowLong  and liqOK and longRegOK  and (close > donHiPrev)
shortBreak = allowShort and liqOK and shortRegOK and (close < donLoPrev)

//================ Position state
var float N_entry       = na
var float lastAddLong   = na
var float lastAddShort  = na
var int   units         = 0

inPos     = strategy.position_size != 0
inLong    = strategy.position_size > 0
inShort   = strategy.position_size < 0

if not inPos
    units        := 0
    lastAddLong  := na
    lastAddShort := na
    N_entry      := na

//================ Entries
if inRange and not inPos and longBreak
    N_entry := N
    float sh = sharesForUnit(strategy.equity, N_entry)
    strategy.entry("L", strategy.long, qty=sh)
    units       := 1
    lastAddLong := close

if inRange and not inPos and shortBreak
    N_entry := N
    float sh = sharesForUnit(strategy.equity, N_entry)
    strategy.entry("S", strategy.short, qty=sh)
    units        := 1
    lastAddShort := close

//================ Add-ons
canAddLong  = inRange and inLong  and units < maxUnits and close >= nz(lastAddLong)  + addStepN * N_entry
canAddShort = inRange and inShort and units < maxUnits and close <= nz(lastAddShort) - addStepN * N_entry

if canAddLong
    float sh = sharesForUnit(strategy.equity, N_entry)
    strategy.entry("L", strategy.long, qty=sh)
    units       += 1
    lastAddLong := close

if canAddShort
    float sh = sharesForUnit(strategy.equity, N_entry)
    strategy.entry("S", strategy.short, qty=sh)
    units        += 1
    lastAddShort := close

//================ Exits
var float stopL = na
var float stopS = na

if inRange and inLong
    initStopL = strategy.position_avg_price - stopN * N_entry
    stopL     := math.max(initStopL, exitLoPrev)
    strategy.exit("L-EXIT", from_entry="L", stop=stopL)
else
    stopL := na

if inRange and inShort
    initStopS = strategy.position_avg_price + stopN * N_entry
    stopS     := math.min(initStopS, exitHiPrev)
    strategy.exit("S-EXIT", from_entry="S", stop=stopS)
else
    stopS := na

//================ Plots
bgColor = volRank > 0.5 ? color.new(color.red, 95) : color.new(color.green, 95)
bgcolor(bgColor, title="Volatility Regime")

float dHiPlot = plotDon ? donHi : na
float dLoPlot = plotDon ? donLo : na
plot(dHiPlot, "Donchian High", color=color.new(color.blue, 40))
plot(dLoPlot, "Donchian Low",  color=color.new(color.blue, 40))

plotshape(showSignals and longBreak,  title="Long",  style=shape.triangleup,   location=location.belowbar, size=size.tiny, color=color.green)
plotshape(showSignals and shortBreak, title="Short", style=shape.triangledown, location=location.abovebar, size=size.tiny, color=color.red)

plot(showSignals and inLong  ? stopL : na, "Long Stop",  color=color.red, style=plot.style_linebr)
plot(showSignals and inShort ? stopS : na, "Short Stop", color=color.red, style=plot.style_linebr)

// Info table
var table infoTable = table.new(position.top_right, 2, 4, border_width=1)
if barstate.islast and showSignals
    table.cell(infoTable, 0, 0, "Regime:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 0, volRank > 0.5 ? "HIGH VOL" : "LOW VOL", text_color=color.white, bgcolor=volRank > 0.5 ? color.red : color.green)
    table.cell(infoTable, 0, 1, "Entry Len:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 1, str.tostring(entryLen), text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 0, 2, "Exit Len:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 2, str.tostring(exitLen), text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 0, 3, "Stop (N):", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 3, str.tostring(stopN, "#.##"), text_color=color.white, bgcolor=color.gray)