Seykota Alt 45: Dual Momentum

// 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 45: Dual-Momentum Confirmation
// THEORY: Require BOTH price momentum (Donchian) AND oscillator momentum (RSI) to enter
// - ENTRY: Donchian breakout AND RSI confirms (>50 for longs, <50 for shorts)
// - EXIT: Alt39's proven age-based profit targets (young 4N-7N-10N, mature 3N-6N-9N, aging 2N-4N-6N)
// INSIGHT: Many Donchian breakouts fail when RSI is weak. Wait for oscillator confirmation.
// HYPOTHESIS: Filtering false breakouts reduces whipsaws, especially on commodities (FCX problem)
// Expected to improve: Commodities (avoid false breakouts), Energy (reduce chop), Financials (better entries)

//@version=6
strategy("Seykota Alt 45: Dual Momentum 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)

allowLong = input.bool(true, "Allow LONGs?"), allowShort = input.bool(true, "Allow SHORTs?")
entryLen = input.int(55, "Donchian ENTRY", minval=10), nLen = input.int(20, "N = ATR length", minval=5)
stopN = input.float(2.0, "Initial stop (N)", minval=0.5, step=0.25)
trailLen = input.int(22, "Trail lookback", minval=5), trailN = input.float(3.0, "Trail (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)

// RSI Momentum Filter
useRsiFilter = input.bool(true, "Use RSI confirmation?")
rsiLen = input.int(14, "RSI length", minval=5)
rsiLongThresh = input.float(50.0, "RSI long threshold", minval=30, maxval=70)
rsiShortThresh = input.float(50.0, "RSI short threshold", minval=30, maxval=70)

// Age-Based Targets (from Alt39)
useTargets = input.bool(true, "Use age-based targets?")
youngAge = input.int(15, "Young pos threshold (bars)", minval=5), matureAge = input.int(30, "Mature pos threshold (bars)", minval=10)
youngT1 = input.float(4.0, "Young T1 (N)", minval=1, step=0.5), youngT2 = input.float(7.0, "Young T2 (N)", minval=1, step=0.5), youngT3 = input.float(10.0, "Young T3 (N)", minval=1, step=0.5)
standardT1 = input.float(3.0, "Standard T1 (N)", minval=1, step=0.5), standardT2 = input.float(6.0, "Standard T2 (N)", minval=1, step=0.5), standardT3 = input.float(9.0, "Standard T3 (N)", minval=1, step=0.5)
agingT1 = input.float(2.0, "Aging T1 (N)", minval=1, step=0.5), agingT2 = input.float(4.0, "Aging T2 (N)", minval=1, step=0.5), agingT3 = input.float(6.0, "Aging T3 (N)", minval=1, step=0.5)

useMarket = input.bool(false, "Use regime filter?"), marketSym = input.symbol("SPY", "Market symbol")
marketTF = input.timeframe("D", "Regime TF"), marketLen = input.int(200, "Market MA", minval=50)
minVol = input.int(0, "Min volume", minval=0), showSignals = input.bool(true, "Plot signals?"), plotDon = input.bool(true, "Plot Donchian?")
fromDate = input.time(defval=timestamp("2022-01-01T00:00:00"), title="FROM", confirm=true)
toDate = input.time(defval=timestamp("2099-12-31T23:59:59"), title="TO", confirm=true)
flatAtFrom = input.bool(true, "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")

sharesForUnit(_e, _n) =>
    r = _e * (riskPct/100.0)
    psr = math.max(stopN * _n, syminfo.mintick)
    math.max(1, math.floor(r / psr))

inRange = (time >= fromDate) and (time <= toDate)
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]
trailHighest = ta.highest(high, trailLen), trailLowest = ta.lowest(low, trailLen)

// RSI Momentum Confirmation
rsi = ta.rsi(close, rsiLen)
rsiLongOK = not useRsiFilter or (rsi > rsiLongThresh)  // RSI must be bullish for longs
rsiShortOK = not useRsiFilter or (rsi < rsiShortThresh)  // RSI must be bearish for shorts

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)

// DUAL MOMENTUM: Both price breakout AND RSI confirmation required
longBreak = allowLong and liqOK and longRegOK and rsiLongOK and (close > donHiPrev)
shortBreak = allowShort and liqOK and shortRegOK and rsiShortOK and (close < donLoPrev)

var float N_entry = na, var float entryPrice = na, var float lastAddLong = na, var float lastAddShort = na
var int units = 0, var int barsInPos = 0, var bool t1 = false, var bool t2 = false, var bool t3 = 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, entryPrice := na, t1 := false, t2 := false, t3 := false

if inRange and not inPos and longBreak
    N_entry := N, entryPrice := close, strategy.entry("L", strategy.long, qty=sharesForUnit(strategy.equity, N_entry))
    units := 1, lastAddLong := close
if inRange and not inPos and shortBreak
    N_entry := N, entryPrice := close, strategy.entry("S", strategy.short, qty=sharesForUnit(strategy.equity, N_entry))
    units := 1, lastAddShort := close

if inRange and inLong and units < maxUnits and high >= nz(lastAddLong) + addStepN * N_entry
    strategy.entry("L", strategy.long, qty=sharesForUnit(strategy.equity, N_entry)), units += 1, lastAddLong := close
if inRange and inShort and units < maxUnits and low <= nz(lastAddShort) - addStepN * N_entry
    strategy.entry("S", strategy.short, qty=sharesForUnit(strategy.equity, N_entry)), units += 1, lastAddShort := close

// AGE-BASED TARGETS (from Alt39 - proven winner)
var float activeT1 = na, var float activeT2 = na, var float activeT3 = na
if useTargets and inLong and not na(entryPrice) and not na(N_entry)
    if barsInPos <= youngAge
        activeT1 := youngT1, activeT2 := youngT2, activeT3 := youngT3
    else if barsInPos <= matureAge
        activeT1 := standardT1, activeT2 := standardT2, activeT3 := standardT3
    else
        activeT1 := agingT1, activeT2 := agingT2, activeT3 := agingT3

    if not t1 and high >= entryPrice + activeT1 * N_entry
        strategy.close("L", qty=sharesForUnit(strategy.equity, N_entry), comment="T1"), t1 := true
    if t1 and not t2 and high >= entryPrice + activeT2 * N_entry
        strategy.close("L", qty=sharesForUnit(strategy.equity, N_entry), comment="T2"), t2 := true
    if t2 and not t3 and high >= entryPrice + activeT3 * N_entry
        strategy.close("L", qty=sharesForUnit(strategy.equity, N_entry), comment="T3"), t3 := true

if useTargets and inShort and not na(entryPrice) and not na(N_entry)
    if barsInPos <= youngAge
        activeT1 := youngT1, activeT2 := youngT2, activeT3 := youngT3
    else if barsInPos <= matureAge
        activeT1 := standardT1, activeT2 := standardT2, activeT3 := standardT3
    else
        activeT1 := agingT1, activeT2 := agingT2, activeT3 := agingT3

    if not t1 and low <= entryPrice - activeT1 * N_entry
        strategy.close("S", qty=sharesForUnit(strategy.equity, N_entry), comment="T1"), t1 := true
    if t1 and not t2 and low <= entryPrice - activeT2 * N_entry
        strategy.close("S", qty=sharesForUnit(strategy.equity, N_entry), comment="T2"), t2 := true
    if t2 and not t3 and low <= entryPrice - activeT3 * N_entry
        strategy.close("S", qty=sharesForUnit(strategy.equity, N_entry), comment="T3"), t3 := true

var float stopL = na, var float stopS = na
if inRange and inLong
    stopL := math.round_to_mintick(math.max(entryPrice - stopN * N_entry, trailHighest - trailN * N_entry))
    strategy.exit("L-EXIT", from_entry="L", stop=stopL)
else
    stopL := na
if inRange and inShort
    stopS := math.round_to_mintick(math.min(entryPrice + stopN * N_entry, trailLowest + trailN * N_entry))
    strategy.exit("S-EXIT", from_entry="S", stop=stopS)
else
    stopS := na

plot(plotDon ? donHi : na, "DonHi", color=color.new(color.blue, 40))
plot(plotDon ? donLo : na, "DonLo", color=color.new(color.blue, 40))
plotshape(showSignals and longBreak, title="L", style=shape.triangleup, location=location.belowbar, size=size.tiny, color=color.new(color.green, 0))
plotshape(showSignals and shortBreak, title="S", style=shape.triangledown, location=location.abovebar, size=size.tiny, color=color.new(color.red, 0))
// Color based on position age: green = young, orange = mature, red = aging
ageColor = barsInPos <= youngAge ? color.green : (barsInPos <= matureAge ? color.orange : color.red)
plot(showSignals and inLong ? stopL : na, "Stop", color=color.new(ageColor, 0), style=plot.style_linebr, linewidth=2)
plot(showSignals and inShort ? stopS : na, "Stop", color=color.new(ageColor, 0), style=plot.style_linebr, linewidth=2)