Seykota Alt 4: Weekly Donchian

// 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 4: Weekly Timeframe Donchian
// THEORY: Higher timeframe lookbacks capture major trends and avoid daily noise.
// By anchoring breakout logic on weekly bars (26-week entry, 13-week exit), we catch only
// the most significant trends. Execution still happens on the chart timeframe (e.g., daily).
// Trade-off: Fewer, higher-quality trades with less chop; may miss medium-term trends.

//@version=6
strategy("Seykota Alt 4: Weekly Donchian 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: Weekly Donchian parameters
wEntryLen   = input.int(26,     "Weekly ENTRY lookback (weeks)",      minval=8)
wExitLen    = input.int(13,     "Weekly EXIT lookback (weeks)",       minval=5)
nLen        = input.int(20,     "N = ATR length (chart TF)",          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)

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

// CHANGED: Weekly Donchian levels using request.security
// Use [1] offset to avoid lookahead bias
wHiPrev = request.security(syminfo.tickerid, "W", ta.highest(high, wEntryLen)[1], lookahead=barmerge.lookahead_off)
wLoPrev = request.security(syminfo.tickerid, "W", ta.lowest(low,  wEntryLen)[1], lookahead=barmerge.lookahead_off)

wExitHiPrev = request.security(syminfo.tickerid, "W", ta.highest(high, wExitLen)[1], lookahead=barmerge.lookahead_off)
wExitLoPrev = request.security(syminfo.tickerid, "W", ta.lowest(low,  wExitLen)[1], lookahead=barmerge.lookahead_off)

// 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 (weekly breakout executed on chart TF)
longBreak  = allowLong  and liqOK and longRegOK  and inRange and (close > wHiPrev)
shortBreak = allowShort and liqOK and shortRegOK and inRange and (close < wLoPrev)

//================ 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 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 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 (on chart timeframe, every 0.5N)
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 (weekly Donchian + ATR stop)
var float stopL = na
var float stopS = na

if inRange and inLong
    initStopL = strategy.position_avg_price - stopN * N_entry
    // Use weekly exit level OR initial stop, whichever is tighter
    exitL     = math.round_to_mintick(math.max(initStopL, wExitLoPrev))
    stopL     := exitL
    strategy.exit("L-EXIT", from_entry="L", stop=stopL)
else
    stopL := na

if inRange and inShort
    initStopS = strategy.position_avg_price + stopN * N_entry
    // Use weekly exit level OR initial stop, whichever is tighter
    exitS     = math.round_to_mintick(math.min(initStopS, wExitHiPrev))
    stopS     := exitS
    strategy.exit("S-EXIT", from_entry="S", stop=stopS)
else
    stopS := na

//================ Plots
plot(plotDon ? wHiPrev : na, "Weekly High", color=color.new(color.blue, 30), linewidth=2, style=plot.style_stepline)
plot(plotDon ? wLoPrev : na, "Weekly Low",  color=color.new(color.blue, 30), linewidth=2, style=plot.style_stepline)

plot(plotDon ? wExitHiPrev : na, "Weekly Exit High", color=color.new(color.red, 50), linewidth=1, style=plot.style_circles)
plot(plotDon ? wExitLoPrev : na, "Weekly Exit Low",  color=color.new(color.red, 50), linewidth=1, style=plot.style_circles)

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

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 label
var label infoLabel = na
if barstate.islast and showSignals
    labelText = "Weekly Donchian\nEntry: " + str.tostring(wEntryLen) + "W\nExit: " + str.tostring(wExitLen) + "W"
    label.delete(infoLabel)
    infoLabel := label.new(bar_index, high, labelText, style=label.style_label_down, color=color.new(color.blue, 80), textcolor=color.white, size=size.small)