Seykota Alt 2: Dual-Timeframe

// 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 2: Dual-Timeframe Momentum System
// THEORY: Only enter when both chart timeframe AND higher timeframe show aligned momentum.
// This filters out counter-trend trades and improves win rate at the cost of fewer trades.
// Seykota principle: "The trend is your friend" - trade WITH the bigger picture.

//@version=6
strategy("Seykota Alt 2: Dual-Timeframe 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?")

// Chart timeframe (fast) parameters
entryLen    = input.int(55,     "Donchian ENTRY (chart TF)",  minval=10)
exitLen     = input.int(10,     "Donchian EXIT (chart TF)",   minval=5)

// Higher timeframe (slow) confirmation
htfEnabled  = input.bool(true,  "Require HTF confirmation?")
htfTimeframe= input.timeframe("W", "Higher timeframe")
htfMaLen    = input.int(50,     "HTF trend MA length",        minval=10)
htfMaType   = input.string("EMA", "HTF MA type", options=["SMA", "EMA"])

// Additional momentum filter on chart TF
momentumLen = input.int(20,     "Chart TF momentum length",   minval=5)
momentumThresh= input.float(0,  "Momentum threshold",         minval=-10, maxval=10, step=0.5)

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",                  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")

//================ Helpers
sharesForUnit(_equity, _Nentry, _stopN) =>
    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 (chart TF)
N        = ta.atr(nLen)
volMA    = ta.sma(volume, 20)
liqOK    = volMA >= minVol

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]

// Chart timeframe momentum (rate of change)
momentum = (close - close[momentumLen]) / close[momentumLen] * 100

// 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)

//================ Higher Timeframe Analysis
htfClose = request.security(syminfo.tickerid, htfTimeframe, close)
htfMA = htfMaType == "EMA" ? 
     request.security(syminfo.tickerid, htfTimeframe, ta.ema(close, htfMaLen)) :
     request.security(syminfo.tickerid, htfTimeframe, ta.sma(close, htfMaLen))

htfBullish = htfClose > htfMA
htfBearish = htfClose < htfMA

// Combined confirmation logic
longConfirmed = not htfEnabled or htfBullish
shortConfirmed = not htfEnabled or htfBearish

momentumLongOK = momentum > momentumThresh
momentumShortOK = momentum < -momentumThresh

//================ Signals
longBreak  = allowLong  and liqOK and longRegOK  and longConfirmed  and momentumLongOK  and (close > donHiPrev)
shortBreak = allowShort and liqOK and shortRegOK and shortConfirmed and momentumShortOK 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, stopN)
    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, stopN)
    strategy.entry("S", strategy.short, qty=sh)
    units        := 1
    lastAddShort := close

//================ Add-ons (only if HTF trend still aligned)
canAddLong  = inRange and inLong  and units < maxUnits and longConfirmed and close >= nz(lastAddLong)  + addStepN * N_entry
canAddShort = inRange and inShort and units < maxUnits and shortConfirmed and close <= nz(lastAddShort) - addStepN * N_entry

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

if canAddShort
    float sh = sharesForUnit(strategy.equity, N_entry, stopN)
    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
// Background color for HTF trend
htfBgColor = htfEnabled ? (htfBullish ? color.new(color.green, 95) : color.new(color.red, 95)) : na
bgcolor(htfBgColor, title="HTF Trend")

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)

// Plot HTF MA on chart for reference
htfMaPlot = htfEnabled and showSignals ? htfMA : na
plot(htfMaPlot, "HTF MA", color=color.new(color.purple, 0), linewidth=2)

// 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, "HTF Trend:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 0, htfBullish ? "BULLISH" : "BEARISH", text_color=color.white, bgcolor=htfBullish ? color.green : color.red)
    table.cell(infoTable, 0, 1, "HTF TF:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 1, htfTimeframe, text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 0, 2, "Momentum:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 2, str.tostring(momentum, "#.##") + "%", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 0, 3, "Units:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 3, str.tostring(units), text_color=color.white, bgcolor=color.gray)