Seykota Alt 2: EMA Crossover

// 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: Classic EMA Crossover
// THEORY: Weighted moving averages filter noise better than absolute high/low breakouts.
// Ed Seykota's original approach used EMA systems. A fast EMA crossing a slow EMA
// signals trend direction more smoothly than Donchian breakouts.
// Trade-off: Smoother signals, less noise, but delayed entries compared to breakouts.

//@version=6
strategy("Seykota Alt 2: EMA Crossover 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?")

// CHANGED: EMA parameters instead of Donchian
fastLen     = input.int(50,     "Fast EMA length",                    minval=2)
slowLen     = input.int(200,    "Slow EMA length",                    minval=5)
trailLen    = input.int(22,     "Chandelier trail lookback",          minval=5)

nLen        = input.int(20,     "N = ATR length",                     minval=5)
stopN       = input.float(2.5,  "Initial stop (in N)",                minval=0.5, step=0.25)
trailN      = input.float(3.0,  "Chandelier trail (in N)",            minval=0.25, 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)

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)

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

// 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

// CHANGED: EMAs instead of Donchian
fast = ta.ema(close, fastLen)
slow = ta.ema(close, slowLen)

// 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 (crossover logic)
longCross  = allowLong  and liqOK and longRegOK  and ta.crossover(fast, slow)
shortCross = allowShort and liqOK and shortRegOK and ta.crossunder(fast, slow)

//================ 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 longCross
    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 shortCross
    N_entry := N
    float sh = sharesForUnit(strategy.equity, N_entry)
    strategy.entry("S", strategy.short, qty=sh)
    units        := 1
    lastAddShort := close

//================ Chandelier trailing stops
trailL = ta.highest(high, trailLen) - trailN * N_entry
trailS = ta.lowest(low,  trailLen) + trailN * N_entry

//================ Add-ons (pyramid into strength)
// Add when price extends favorably by addStepN * N
canAddLong  = inRange and inLong  and units < maxUnits and high >= nz(lastAddLong)  + addStepN * N_entry
canAddShort = inRange and inShort and units < maxUnits and low  <= 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 (Chandelier trail + initial stop)
var float stopL = na
var float stopS = na

if inRange and inLong
    initStopL = strategy.position_avg_price - stopN * N_entry
    stopL     := math.round_to_mintick(math.max(initStopL, trailL))
    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.round_to_mintick(math.min(initStopS, trailS))
    strategy.exit("S-EXIT", from_entry="S", stop=stopS)
else
    stopS := na

//================ Plots
plot(plotMAs ? fast : na, "Fast EMA", color=color.new(color.blue, 0), linewidth=2)
plot(plotMAs ? slow : na, "Slow EMA", color=color.new(color.red, 0), linewidth=2)

// Highlight crossover zones
bgcolor(longCross ? color.new(color.green, 90) : na, title="Long Cross")
bgcolor(shortCross ? color.new(color.red, 90) : na, title="Short Cross")

plotshape(showSignals and longCross,  title="Long Cross",  style=shape.triangleup,   location=location.belowbar, size=size.small, color=color.new(color.green, 0), text="EMA↑")
plotshape(showSignals and shortCross, title="Short Cross", style=shape.triangledown, location=location.abovebar, size=size.small, color=color.new(color.red,   0), text="EMA↓")

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)