Seykota Alt 19: Intrabar Execution

// 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 19: Intrabar Execution
// THEORY: True breakouts occur at high/low, not close; using close misses entries.
// The baseline requires close > Donchian high to enter long. But the actual breakout happens
// when price TOUCHES the level intrabar (high > Donchian high). Waiting for close confirmation
// can mean missing the early momentum or getting worse fills. This alternative uses intrabar
// extremes (high/low) for both entries and add-ons, executing immediately on breakout touch.
// Trade-off: Earlier fills and more responsive, but potentially more noise and false signals.

//@version=6
strategy("Seykota Alt 19: Intrabar Execution 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: Intrabar execution options
useIntrabarEntry = input.bool(true,  "Use intrabar extremes for ENTRIES?")
useIntrabarAdds  = input.bool(true,  "Use intrabar extremes for ADD-ONS?")

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

// 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 (INTRABAR EXECUTION)
// CHANGED: Use high/low for breakout detection instead of close
longBreakIntrabar  = allowLong  and liqOK and longRegOK  and (high > donHiPrev)
shortBreakIntrabar = allowShort and liqOK and shortRegOK and (low < donLoPrev)

// Fallback to close-based if intrabar disabled
longBreakClose  = allowLong  and liqOK and longRegOK  and (close > donHiPrev)
shortBreakClose = allowShort and liqOK and shortRegOK and (close < donLoPrev)

longBreak  = useIntrabarEntry ? longBreakIntrabar  : longBreakClose
shortBreak = useIntrabarEntry ? shortBreakIntrabar : shortBreakClose

//================ 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

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

//================ Entries (intrabar execution)
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 (INTRABAR EXECUTION for adds)
// CHANGED: Use high/low for add-on triggers instead of close
priceForLongAdd  = useIntrabarAdds ? high : close
priceForShortAdd = useIntrabarAdds ? low  : close

canAddLong  = inRange and inLong  and units < maxUnits and priceForLongAdd  >= nz(lastAddLong)  + addStepN * N_entry
canAddShort = inRange and inShort and units < maxUnits and priceForShortAdd <= 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

//================ 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 longBreak
    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 shortBreak
    N_entry := N
    float sh = sharesForUnit(strategy.equity, N_entry)
    strategy.entry("S", strategy.short, qty=sh)
    units        := 1
    lastAddShort := close
    wantReenterS := false

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

// Mark add-ons
plotshape(showSignals and canAddLong,  title="Add Long",  style=shape.circle, location=location.belowbar, size=size.tiny, color=color.new(color.green, 50))
plotshape(showSignals and canAddShort, title="Add Short", style=shape.circle, location=location.abovebar, size=size.tiny, color=color.new(color.red,   50))

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)

// Visual indicators for intrabar touches
// Draw line when high touches donHiPrev but close doesn't confirm
intraTouchLong = (high > donHiPrev) and (close <= donHiPrev) and not inPos
intraTouchShort = (low < donLoPrev) and (close >= donLoPrev) and not inPos

plotshape(showSignals and intraTouchLong and not useIntrabarEntry,  title="Intrabar Touch Long (missed)",  style=shape.diamond, location=location.belowbar, size=size.tiny, color=color.new(color.yellow, 0))
plotshape(showSignals and intraTouchShort and not useIntrabarEntry, title="Intrabar Touch Short (missed)", style=shape.diamond, location=location.abovebar, size=size.tiny, color=color.new(color.yellow, 0))

// 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, "Execution:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 0, "INTRABAR", text_color=color.white, bgcolor=color.orange)

    table.cell(infoTable, 0, 1, "Entries:", text_color=color.white, bgcolor=color.gray)
    entryMethod = useIntrabarEntry ? "High/Low" : "Close"
    entryColor = useIntrabarEntry ? color.orange : color.blue
    table.cell(infoTable, 1, 1, entryMethod, text_color=color.white, bgcolor=entryColor)

    table.cell(infoTable, 0, 2, "Add-ons:", text_color=color.white, bgcolor=color.gray)
    addMethod = useIntrabarAdds ? "High/Low" : "Close"
    addColor = useIntrabarAdds ? color.orange : color.blue
    table.cell(infoTable, 1, 2, addMethod, text_color=color.white, bgcolor=addColor)

    table.cell(infoTable, 0, 3, "Advantage:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 3, "Earlier Fills", text_color=color.white, bgcolor=color.orange)

    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)

// Comparison note
var label compLabel = na
if barstate.islast and showSignals
    noteText = "Intrabar vs Close Execution\n\n" + "Intrabar (H/L): Faster fills\n" + "Close: More confirmation\n\n" + "Yellow ◆ = Missed by Close"
    label.delete(compLabel)
    compLabel := label.new(bar_index - 50, low, noteText, style=label.style_label_up, color=color.new(color.orange, 80), textcolor=color.white, size=size.small)