Seykota Alt 13: Vol-Gated Adds

// 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 13: Volatility-Gated Adds
// THEORY: Avoid adding during volatility explosions (often late-trend "blow-offs").
// The baseline adds whenever price extends by 0.5N, regardless of volatility regime. But volatility
// spikes often signal exhaustion: a sudden ATR expansion can indicate a climax move. This alternative
// blocks add-ons when current ATR > SMA(ATR, length), preventing pyramiding into parabolic phases.
// Still 100% price/volatility-based; no over-fitting. Initial entries are unaffected.
// Trade-off: Avoid pyramiding into exhaustion moves, but miss some legitimate strong trends.

//@version=6
strategy("Seykota Alt 13: Vol-Gated Adds v1.0",
     overlay=true,
     initial_capital=100000,
     commission_type=strategy.commission.percent, commission_value=0.005,
     slippage=2,
     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?")

entryLen    = input.int(55,     "Donchian ENTRY lookback",            minval=10)
exitLen     = input.int(10,     "Donchian EXIT lookback",             minval=5)
nLen        = input.int(20,     "N = ATR length",                     minval=5)
stopN       = input.float(2.0,  "Initial stop (in 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 (incl. initial)",          minval=1, maxval=10)
riskPct     = input.float(1.0,  "Risk % of equity PER UNIT",          minval=0.1, maxval=5, step=0.1)

// CHANGED: Volatility gate parameters
useVolGate  = input.bool(true,  "Block adds during vol spikes?")
volGateLen  = input.int(20,     "Vol gate MA length",                 minval=5)
volGateMult = input.float(1.0,  "Vol spike threshold (ATR > X * MA)", minval=0.5, step=0.1)

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

timeExitMode= input.string("None","Time exit", options=["None","Close","Roll"])
timeExitBars= input.int(60,     "Time exit bars (if used)",           minval=5)

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

// Date-range filter
fromDate = input.time(defval=timestamp("2022-01-01T00:00:00"), title="Backtest FROM (yyyy-mm-dd)", confirm=true)
toDate   = input.time(defval=timestamp("2099-12-31T23:59:59"), title="Backtest TO (yyyy-mm-dd)",   confirm=true)
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")

//================ 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)

//================ Core calcs with VOLATILITY GATE
N        = ta.atr(nLen)
volMA    = ta.sma(volume, 20)
liqOK    = volMA >= minVol

// CHANGED: Volatility gate logic
atrMA = ta.sma(N, volGateLen)
isVolSpike = N > (atrMA * volGateMult)
volGateOK = not useVolGate or not isVolSpike

// Donchian levels
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 (optional)
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 (entries NOT affected by vol gate)
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
var int   barsInPos     = 0
var bool  wantReenterL  = false
var bool  wantReenterS  = false
var int   blockedAdds   = 0  // Track how many adds were blocked

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

if inPos
    barsInPos += 1
else
    barsInPos    := 0
    units        := 0
    lastAddLong  := na
    lastAddShort := na
    N_entry      := na
    wantReenterL := false
    wantReenterS := false
    blockedAdds  := 0

//================ 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 (GATED by volatility)
priceConditionLong  = inRange and inLong  and units < maxUnits and high >= nz(lastAddLong)  + addStepN * N_entry
priceConditionShort = inRange and inShort and units < maxUnits and low  <= nz(lastAddShort) - addStepN * N_entry

// CHANGED: Add volGateOK condition to prevent adds during vol spikes
canAddLong  = priceConditionLong  and volGateOK
canAddShort = priceConditionShort and volGateOK

// Track blocked adds
if priceConditionLong and not volGateOK
    blockedAdds += 1

if priceConditionShort and not volGateOK
    blockedAdds += 1

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

//================ Optional time exit
timeExitTrig = inRange and inPos and (timeExitMode != "None") and (barsInPos >= timeExitBars)

if timeExitTrig
    if inLong
        if timeExitMode == "Close"
            strategy.close("L", comment="Time Exit")
        else if timeExitMode == "Roll"
            wantReenterL := true
            strategy.close("L", comment="Time Exit (Roll)")
    if inShort
        if timeExitMode == "Close"
            strategy.close("S", comment="Time Exit")
        else if timeExitMode == "Roll"
            wantReenterS := true
            strategy.close("S", comment="Time Exit (Roll)")

// Re-enter after Roll
if inRange and not inPos and wantReenterL and longRegOK and (close > donHiPrev)
    N_entry := N
    float sh = sharesForUnit(strategy.equity, N_entry)
    strategy.entry("L", strategy.long, qty=sh)
    units       := 1
    lastAddLong := close
    wantReenterL := false

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

//================ Plots
// Background shading for volatility regime
volBg = useVolGate ? (isVolSpike ? color.new(color.red, 95) : color.new(color.green, 95)) : na
bgcolor(volBg, 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))

// Plot ATR and its MA for reference
plot(showSignals ? N : na, "ATR (N)", color=color.new(color.orange, 0), linewidth=1, display=display.data_window)
plot(showSignals ? atrMA : na, "ATR MA", color=color.new(color.purple, 0), linewidth=1, display=display.data_window)

plotshape(showSignals and longBreak,  title="Long Breakout",  style=shape.triangleup,   location=location.belowbar, size=size.tiny,  color=color.new(color.green, 0), text="Long")
plotshape(showSignals and shortBreak, title="Short Breakout", style=shape.triangledown, location=location.abovebar, size=size.tiny,  color=color.new(color.red,   0), text="Short")

// Mark successful adds (green) and blocked adds (red X)
plotshape(showSignals and canAddLong,              title="Add Long",      style=shape.circle, location=location.belowbar, size=size.tiny, color=color.new(color.green, 30))
plotshape(showSignals and canAddShort,             title="Add Short",     style=shape.circle, location=location.abovebar, size=size.tiny, color=color.new(color.red,   30))
plotshape(showSignals and priceConditionLong and not volGateOK,  title="Blocked Add (Long)",  style=shape.xcross, location=location.belowbar, size=size.tiny, color=color.new(color.red, 0))
plotshape(showSignals and priceConditionShort and not volGateOK, title="Blocked Add (Short)", style=shape.xcross, location=location.abovebar, size=size.tiny, color=color.new(color.red, 0))

plot(showSignals and inLong  ? stopL : na, "Long Stop",  color=color.new(color.red,  0), style=plot.style_linebr, linewidth=2)
plot(showSignals and inShort ? stopS : na, "Short Stop", color=color.new(color.red,  0), style=plot.style_linebr, linewidth=2)

// Info table
var table infoTable = table.new(position.top_right, 2, 5, border_width=1)
if barstate.islast and showSignals
    table.cell(infoTable, 0, 0, "Pyramid:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 0, "VOL-GATED", text_color=color.white, bgcolor=color.purple)

    table.cell(infoTable, 0, 1, "Vol Status:", text_color=color.white, bgcolor=color.gray)
    volStatus = isVolSpike ? "SPIKE (Adds Blocked)" : "Normal (Adds OK)"
    volColor = isVolSpike ? color.red : color.green
    table.cell(infoTable, 1, 1, volStatus, text_color=color.white, bgcolor=volColor)

    table.cell(infoTable, 0, 2, "ATR / MA:", text_color=color.white, bgcolor=color.gray)
    atrRatio = atrMA > 0 ? N / atrMA : 1.0
    table.cell(infoTable, 1, 2, str.tostring(atrRatio, "#.##") + "x", text_color=color.white, bgcolor=color.gray)

    table.cell(infoTable, 0, 3, "Blocked Adds:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 3, str.tostring(blockedAdds), text_color=color.white, bgcolor=blockedAdds > 0 ? color.orange : color.gray)

    table.cell(infoTable, 0, 4, "Units:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 4, str.tostring(units) + "/" + str.tostring(maxUnits), text_color=color.white, bgcolor=color.gray)