Seykota Alt 21: Breakeven Lock

// 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 21: Breakeven Lock After 2N Profit
// THEORY: Once a position shows 2N profit, move stop to breakeven to guarantee no loss,
// then trail aggressively. This protects capital while allowing big winners to run.
// INSIGHT FROM BACKTESTS: Alt 10 was the only big winner (+20%) because it locked in profits.
// This strategy locks in breakeven first, then uses profit targets + trailing.
// Trade-off: Protects downside risk, but may get stopped at breakeven on volatility.

//@version=6
strategy("Seykota Alt 21: Breakeven Lock 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)
nLen        = input.int(20,     "N = ATR length",                     minval=5)
stopN       = input.float(2.0,  "Initial stop (in N)",                minval=0.5, step=0.25)
breakEvenN  = input.float(2.0,  "Move to breakeven after X*N profit", minval=1.0, step=0.5)
trailLen    = input.int(22,     "Chandelier trail lookback",          minval=5)
trailN      = input.float(3.0,  "Chandelier trail (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)

// Profit targets (like Alt 10)
useTargets   = input.bool(true,  "Use profit targets?")
target1N     = input.float(3.0,  "Target 1 (in N) - Close 1 unit",    minval=1, step=0.5)
target2N     = input.float(6.0,  "Target 2 (in N) - Close 1 unit",    minval=1, step=0.5)
target3N     = input.float(9.0,  "Target 3 (in N) - Close 1 unit",    minval=1, step=0.5)

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?")
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]

// Chandelier levels
trailHighest = ta.highest(high, trailLen)
trailLowest  = ta.lowest(low,  trailLen)

// 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
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 entryPrice    = na
var float lastAddLong   = na
var float lastAddShort  = na
var int   units         = 0
var bool  target1Hit    = false
var bool  target2Hit    = false
var bool  target3Hit    = false
var bool  breakEvenLocked = false  // NEW: Track if we've moved to breakeven

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
    entryPrice   := na
    target1Hit   := false
    target2Hit   := false
    target3Hit   := false
    breakEvenLocked := false  // Reset

//================ Entries
if inRange and not inPos and longBreak
    N_entry := N
    entryPrice := close
    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
    entryPrice := close
    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 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

//================ PROFIT TARGETS (scale out partial positions)
if useTargets and inLong and not na(entryPrice) and not na(N_entry)
    target1Price = entryPrice + target1N * N_entry
    target2Price = entryPrice + target2N * N_entry
    target3Price = entryPrice + target3N * N_entry

    if not target1Hit and high >= target1Price
        float closeQty = sharesForUnit(strategy.equity, N_entry)
        strategy.close("L", qty=closeQty, comment="Target 1 (+" + str.tostring(target1N) + "N)")
        target1Hit := true

    if target1Hit and not target2Hit and high >= target2Price
        float closeQty = sharesForUnit(strategy.equity, N_entry)
        strategy.close("L", qty=closeQty, comment="Target 2 (+" + str.tostring(target2N) + "N)")
        target2Hit := true

    if target2Hit and not target3Hit and high >= target3Price
        float closeQty = sharesForUnit(strategy.equity, N_entry)
        strategy.close("L", qty=closeQty, comment="Target 3 (+" + str.tostring(target3N) + "N)")
        target3Hit := true

if useTargets and inShort and not na(entryPrice) and not na(N_entry)
    target1Price = entryPrice - target1N * N_entry
    target2Price = entryPrice - target2N * N_entry
    target3Price = entryPrice - target3N * N_entry

    if not target1Hit and low <= target1Price
        float closeQty = sharesForUnit(strategy.equity, N_entry)
        strategy.close("S", qty=closeQty, comment="Target 1 (+" + str.tostring(target1N) + "N)")
        target1Hit := true

    if target1Hit and not target2Hit and low <= target2Price
        float closeQty = sharesForUnit(strategy.equity, N_entry)
        strategy.close("S", qty=closeQty, comment="Target 2 (+" + str.tostring(target2N) + "N)")
        target2Hit := true

    if target2Hit and not target3Hit and low <= target3Price
        float closeQty = sharesForUnit(strategy.equity, N_entry)
        strategy.close("S", qty=closeQty, comment="Target 3 (+" + str.tostring(target3N) + "N)")
        target3Hit := true

//================ Exits with BREAKEVEN LOCK
var float stopL = na
var float stopS = na

if inRange and inLong
    initStopL = entryPrice - stopN * N_entry
    chandelierL = trailHighest - trailN * N_entry

    // NEW: Check if we have breakEvenN profit
    profitL = close - entryPrice
    if not breakEvenLocked and profitL >= breakEvenN * N_entry
        breakEvenLocked := true

    // If breakeven locked, use breakeven or better
    if breakEvenLocked
        stopL := math.round_to_mintick(math.max(entryPrice, chandelierL))
    else
        stopL := math.round_to_mintick(math.max(initStopL, chandelierL))

    strategy.exit("L-EXIT", from_entry="L", stop=stopL)
else
    stopL := na

if inRange and inShort
    initStopS = entryPrice + stopN * N_entry
    chandelierS = trailLowest + trailN * N_entry

    // NEW: Check if we have breakEvenN profit
    profitS = entryPrice - close
    if not breakEvenLocked and profitS >= breakEvenN * N_entry
        breakEvenLocked := true

    // If breakeven locked, use breakeven or better
    if breakEvenLocked
        stopS := math.round_to_mintick(math.min(entryPrice, chandelierS))
    else
        stopS := math.round_to_mintick(math.min(initStopS, chandelierS))

    strategy.exit("S-EXIT", from_entry="S", stop=stopS)
else
    stopS := na

//================ 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="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")

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

// Plot entry price and breakeven zone
plot(showSignals and inPos ? entryPrice : na, "Entry Price", color=color.new(color.yellow, 0), style=plot.style_circles, linewidth=1)

// Info table
var table infoTable = table.new(position.top_right, 2, 6, border_width=1)
if barstate.islast and showSignals
    table.cell(infoTable, 0, 0, "Strategy:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 0, "Breakeven Lock", text_color=color.white, bgcolor=color.purple)

    table.cell(infoTable, 0, 1, "Breakeven After:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 1, str.tostring(breakEvenN) + "N profit", text_color=color.white, bgcolor=color.gray)

    table.cell(infoTable, 0, 2, "BE Locked?", text_color=color.white, bgcolor=color.gray)
    beStatus = breakEvenLocked ? "YES ✓" : "Not yet"
    beColor = breakEvenLocked ? color.green : color.orange
    table.cell(infoTable, 1, 2, beStatus, text_color=color.white, bgcolor=beColor)

    table.cell(infoTable, 0, 3, "Target 1:", text_color=color.white, bgcolor=color.gray)
    t1Status = target1Hit ? "✓ " + str.tostring(target1N) + "N" : str.tostring(target1N) + "N"
    t1Color = target1Hit ? color.green : color.gray
    table.cell(infoTable, 1, 3, t1Status, text_color=color.white, bgcolor=t1Color)

    table.cell(infoTable, 0, 4, "Target 2:", text_color=color.white, bgcolor=color.gray)
    t2Status = target2Hit ? "✓ " + str.tostring(target2N) + "N" : str.tostring(target2N) + "N"
    t2Color = target2Hit ? color.green : color.gray
    table.cell(infoTable, 1, 4, t2Status, text_color=color.white, bgcolor=t2Color)

    table.cell(infoTable, 0, 5, "Units:", text_color=color.white, bgcolor=color.gray)
    table.cell(infoTable, 1, 5, str.tostring(units) + "/" + str.tostring(maxUnits), text_color=color.white, bgcolor=color.gray)