STRO v2 Skew/Tail Risk & CF-VaR

//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © AssetWhisper — https://assetwhisper.com/indicators/
// ============================================================================
//  STRO v2 — Skew/Tail Risk + Cornish-Fisher VaR
//  Idea: la forma de la distribución de los retornos recientes cambia antes que
//  la volatilidad. Asimetría (skew) negativa y colas pesadas (curtosis) elevan la
//  probabilidad de movimientos extremos a la baja. v2 traduce esos momentos en
//  algo accionable: el VaR de Cornish-Fisher (peor movimiento esperado 1 de cada
//  20 y 1 de cada 100 barras) frente al VaR gaussiano, la asimetría entre cola
//  izquierda y derecha y una distancia mínima de stop coherente con la cola actual.
// ============================================================================
indicator("STRO v2 — Skew/Tail Risk & CF-VaR", shorttitle="STRO v2", overlay=false)

n       = input.int(60, "Window (bars)", minval=20, maxval=250)
smoothL = input.int(5, "Smoothing", minval=1, maxval=20)
skewTh  = input.float(0.5, "Skew threshold (|S|)", minval=0.1, maxval=2.0, step=0.1)
kurtTh  = input.float(2.0, "Heavy tails: excess kurtosis >", minval=0.5, maxval=10.0, step=0.5)
showMoments = input.bool(true, "Show S and K", group="Visual")

// === MOMENTOS DE LOS LOG-RETORNOS ===
r    = math.log(close / close[1])
mean = ta.sma(r, n)
sd   = ta.stdev(r, n)
s3 = 0.0
s4 = 0.0
if sd > 0
    for i = 0 to n - 1
        zi = (nz(r[i]) - mean) / sd
        s3 += zi * zi * zi
        s4 += zi * zi * zi * zi
skewRaw = s3 / n
kurtRaw = s4 / n - 3                 // exceso de curtosis (normal = 0)
S = ta.ema(skewRaw, smoothL)
K = ta.ema(kurtRaw, smoothL)

// === CUANTILES DE CORNISH-FISHER ===
cfQ(z, sk, ku) =>
    z + (z * z - 1) * sk / 6 + (z * z * z - 3 * z) * ku / 24 - (2 * z * z * z - 5 * z) * sk * sk / 36

Sc = math.max(-3.0, math.min(3.0, S))       // rango de validez de la expansión
Kc = math.max(-2.0, math.min(10.0, K))
q95 = cfQ(-1.645, Sc, Kc)
q99 = cfQ(-2.326, Sc, Kc)
var95cf = -(mean + sd * q95) * 100          // pérdida % esperada 1 de cada 20 barras
var99cf = -(mean + sd * q99) * 100          // 1 de cada 100
var95n  = -(mean - 1.645 * sd) * 100
var99n  = -(mean - 2.326 * sd) * 100
tailPremium = var95n > 0 ? var95cf / var95n : 1.0
up95cf = (mean + sd * cfQ(1.645, Sc, Kc)) * 100
asym   = up95cf - var95cf                   // > 0: cola derecha mayor que la izquierda

// === RÉGIMEN ===
negSkew = S < -skewTh
posSkew = S > skewTh
heavy   = K > kurtTh
riskLevel = negSkew and heavy ? 3 : (negSkew or heavy) ? 2 : posSkew and not heavy ? 0 : 1
riskLabel = riskLevel == 3 ? "HIGH TAIL RISK" : riskLevel == 2 ? "ELEVATED" : riskLevel == 1 ? "NORMAL" : "BENIGN"
riskColor = riskLevel == 3 ? color.red : riskLevel == 2 ? color.orange : riskLevel == 1 ? color.gray : color.green

osc = ta.ema(math.max(-100.0, math.min(100.0, -S * 20 + K * 10)), smoothL)

// === VISUAL ===
hline(0, "Zero", color=color.gray)
hline(20, "Risk warning", color=color.new(color.orange, 60), linestyle=hline.style_dashed)
hline(-20, "Benign", color=color.new(color.green, 60), linestyle=hline.style_dashed)
plot(osc, "Tail-risk oscillator", color=riskColor, linewidth=3)
plot(showMoments ? S * 30 : na, "Skew ×30", color=color.new(color.blue, 50), linewidth=1)
plot(showMoments ? K * 15 : na, "Excess kurtosis ×15", color=color.new(color.purple, 50), linewidth=1)
bgcolor(riskLevel == 3 ? color.new(color.red, 92) : riskLevel == 0 ? color.new(color.green, 93) : na, title="Tail regime")
plotshape(S > 0 and S[1] <= 0, "Skew turning positive", style=shape.diamond, location=location.bottom, color=color.lime, size=size.tiny, text="S+")
plotshape(S < 0 and S[1] >= 0, "Skew turning negative", style=shape.diamond, location=location.top, color=color.maroon, size=size.tiny, text="S-")
plot(riskLevel, "STRO risk level (export: 0 benign .. 3 high)", display=display.none)
plot(var99cf, "STRO VaR99 CF % (export)", display=display.none)

var table t = table.new(position.top_right, 2, 9, bgcolor=color.new(color.black, 60))
table.cell(t, 0, 0, "TAIL RISK", text_color=color.white, text_size=size.small)
table.cell(t, 1, 0, riskLabel, bgcolor=color.new(riskColor, 30), text_color=color.white, text_size=size.small)
table.cell(t, 0, 1, "Skew", text_color=color.white, text_size=size.small)
table.cell(t, 1, 1, str.tostring(S, "#.##"), text_color=negSkew ? color.red : posSkew ? color.lime : color.white, text_size=size.small)
table.cell(t, 0, 2, "Excess kurtosis", text_color=color.white, text_size=size.small)
table.cell(t, 1, 2, str.tostring(K, "#.##"), text_color=heavy ? color.red : color.white, text_size=size.small)
table.cell(t, 0, 3, "VaR 95% CF / normal", text_color=color.white, text_size=size.small)
table.cell(t, 1, 3, str.tostring(var95cf, "#.##") + "% / " + str.tostring(var95n, "#.##") + "%", text_color=color.orange, text_size=size.small)
table.cell(t, 0, 4, "VaR 99% CF / normal", text_color=color.white, text_size=size.small)
table.cell(t, 1, 4, str.tostring(var99cf, "#.##") + "% / " + str.tostring(var99n, "#.##") + "%", text_color=color.red, text_size=size.small)
table.cell(t, 0, 5, "Tail premium", text_color=color.white, text_size=size.small)
table.cell(t, 1, 5, str.tostring(tailPremium, "#.##") + "x", text_color=tailPremium > 1.3 ? color.red : tailPremium < 0.9 ? color.lime : color.white, text_size=size.small)
table.cell(t, 0, 6, "Up/down 95% asym.", text_color=color.white, text_size=size.small)
table.cell(t, 1, 6, str.tostring(asym, "#.##") + " pts", text_color=asym > 0 ? color.lime : color.red, text_size=size.small)
table.cell(t, 0, 7, "Min stop (≥ VaR99)", text_color=color.white, text_size=size.small)
table.cell(t, 1, 7, str.tostring(math.max(0.0, var99cf), "#.##") + "% per bar", text_color=color.aqua, text_size=size.small)
table.cell(t, 0, 8, "σ / bar", text_color=color.white, text_size=size.small)
table.cell(t, 1, 8, str.tostring(sd * 100, "#.##") + "%  (n=" + str.tostring(n) + ")", text_color=color.gray, text_size=size.small)

// === ALERTAS ===
alertcondition(riskLevel == 3 and riskLevel[1] != 3, "STRO High tail risk", "STRO v2: negative skew with heavy tails - defensive mode")
alertcondition(riskLevel == 0 and riskLevel[1] != 0, "STRO Benign tails", "STRO v2: positive skew, normal tails - favourable for longs")
alertcondition(tailPremium > 1.5 and tailPremium[1] <= 1.5, "STRO Tail premium", "STRO v2: CF VaR exceeds normal VaR by 50%+")
alertcondition(S < 0 and S[1] >= 0, "STRO Skew negative", "STRO v2: skewness turned negative")