Taught to Trade - Cost Hurdle

//@version=6
// Taught to Trade - Cost Hurdle
// Costs are not a fee taken off the end. They are a hurdle height you must clear
// before a trade is worth anything. This measures how tall that hurdle is here,
// and how often this instrument has actually produced a move that size.
// No buy/sell signals. Alerts are yours to configure.
indicator("Taught to Trade - Cost Hurdle", shorttitle = "TT HURDLE", overlay = true, max_bars_back = 1000)

grpC = "Your real costs"
commPct = input.float(0.04, "Commission per side (%)", minval = 0.0, step = 0.01, group = grpC)
slipPct = input.float(0.02, "Slippage per side (%)", minval = 0.0, step = 0.01, group = grpC)
spreadPct = input.float(0.0, "Spread paid once (%)", minval = 0.0, step = 0.01, group = grpC, tooltip = "Leave at zero if your commission figure already includes the spread.")

grpH = "Holding periods"
h1 = input.int(1, "Hold A (bars)", minval = 1, group = grpH)
h2 = input.int(5, "Hold B (bars)", minval = 1, group = grpH)
h3 = input.int(10, "Hold C (bars)", minval = 1, group = grpH)
h4 = input.int(20, "Hold D (bars)", minval = 1, group = grpH)
lookback = input.int(500, "Sample window (bars)", minval = 60, maxval = 1000, group = grpH)

grpT = "Table"
posIn = input.string("Top right", "Position", options = ["Top right", "Top left", "Bottom right", "Bottom left"], group = grpT)
szIn  = input.string("Small", "Text size", options = ["Tiny", "Small", "Normal"], group = grpT)

hurdlePct = (commPct + slipPct) * 2.0 + spreadPct
atr    = ta.atr(14)
atrPct = close > 0 ? atr / close * 100.0 : na
hurdleInAtr = nz(atrPct, 0) > 0 ? hurdlePct / atrPct : na
hurdleInPrice = close * hurdlePct / 100.0

f_move(int n) => close[n] > 0 ? math.abs(close - close[n]) / close[n] * 100.0 : na

m1 = f_move(h1)
m2 = f_move(h2)
m3 = f_move(h3)
m4 = f_move(h4)

c1 = math.sum(nz(m1, -1) > hurdlePct ? 1 : 0, lookback)
c2 = math.sum(nz(m2, -1) > hurdlePct ? 1 : 0, lookback)
c3 = math.sum(nz(m3, -1) > hurdlePct ? 1 : 0, lookback)
c4 = math.sum(nz(m4, -1) > hurdlePct ? 1 : 0, lookback)

v1 = math.sum(na(m1) ? 0 : 1, lookback)
v2 = math.sum(na(m2) ? 0 : 1, lookback)
v3 = math.sum(na(m3) ? 0 : 1, lookback)
v4 = math.sum(na(m4) ? 0 : 1, lookback)

med1 = ta.percentile_linear_interpolation(nz(m1, 0), lookback, 50)
med2 = ta.percentile_linear_interpolation(nz(m2, 0), lookback, 50)
med3 = ta.percentile_linear_interpolation(nz(m3, 0), lookback, 50)
med4 = ta.percentile_linear_interpolation(nz(m4, 0), lookback, 50)

f_safe(float num, float den) => den > 0 ? num / den : na
f_pc(float v)  => na(v) ? "-" : str.tostring(v, "#") + "%"
f_pc2(float v) => na(v) ? "-" : str.tostring(v, "#.###") + "%"

s1 = f_safe(c1 * 100.0, v1)
s2 = f_safe(c2 * 100.0, v2)
s3 = f_safe(c3 * 100.0, v3)
s4 = f_safe(c4 * 100.0, v4)

tblPos = posIn == "Top left" ? position.top_left : posIn == "Bottom right" ? position.bottom_right : posIn == "Bottom left" ? position.bottom_left : position.top_right
tblSz  = szIn == "Tiny" ? size.tiny : szIn == "Normal" ? size.normal : size.small

bgCol  = color.new(#0E1526, 10)
txtCol = color.new(#E6EAF2, 0)
hdrCol = color.new(#2F6FED, 0)
badCol = color.new(#B3261E, 25)
okCol  = color.new(#2E7D32, 25)

f_flag(float share) => na(share) ? bgCol : share < 50.0 ? badCol : okCol

var table t = table.new(tblPos, 4, 8, border_width = 1, border_color = color.new(#2F6FED, 70))

f_h(int c, string s) => table.cell(t, c, 0, s, text_color = color.white, text_size = tblSz, bgcolor = hdrCol)
f_r(int c, int r, string s, color bc) => table.cell(t, c, r, s, text_color = txtCol, text_size = tblSz, text_halign = text.align_right, bgcolor = bc)
f_l(int c, int r, string s, color bc) => table.cell(t, c, r, s, text_color = txtCol, text_size = tblSz, text_halign = text.align_left, bgcolor = bc)

if barstate.islast
    f_h(0, "HOLD")
    f_h(1, "Bars")
    f_h(2, "Cleared")
    f_h(3, "Median move")
    f_l(0, 1, str.tostring(h1) + " bars", bgCol)
    f_r(1, 1, str.tostring(v1), bgCol)
    f_r(2, 1, f_pc(s1), f_flag(s1))
    f_r(3, 1, f_pc2(med1), bgCol)
    f_l(0, 2, str.tostring(h2) + " bars", bgCol)
    f_r(1, 2, str.tostring(v2), bgCol)
    f_r(2, 2, f_pc(s2), f_flag(s2))
    f_r(3, 2, f_pc2(med2), bgCol)
    f_l(0, 3, str.tostring(h3) + " bars", bgCol)
    f_r(1, 3, str.tostring(v3), bgCol)
    f_r(2, 3, f_pc(s3), f_flag(s3))
    f_r(3, 3, f_pc2(med3), bgCol)
    f_l(0, 4, str.tostring(h4) + " bars", bgCol)
    f_r(1, 4, str.tostring(v4), bgCol)
    f_r(2, 4, f_pc(s4), f_flag(s4))
    f_r(3, 4, f_pc2(med4), bgCol)
    f_l(0, 5, "Hurdle", hdrCol)
    f_l(1, 5, str.tostring(hurdlePct, "#.###") + "% round trip", bgCol)
    f_l(0, 6, "In price", bgCol)
    f_l(1, 6, str.tostring(hurdleInPrice, format.mintick), bgCol)
    f_l(0, 7, "In ATR(14)", bgCol)
    f_l(1, 7, na(hurdleInAtr) ? "-" : str.tostring(hurdleInAtr, "#.##") + " x ATR", bgCol)

alertcondition(not na(hurdleInAtr) and hurdleInAtr > 1.0, title = "Round-trip cost now exceeds one ATR", message = "Cost Hurdle: a round trip on this chart now costs more than one ATR of movement.")
alertcondition(not na(hurdleInAtr) and hurdleInAtr > 0.5 and hurdleInAtr <= 1.0, title = "Round-trip cost now exceeds half an ATR", message = "Cost Hurdle: a round trip on this chart now costs more than half an ATR of movement.")