Thermodynamic Volume-Price Resonance (TVPR)

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © caizongxun

//@version=5
strategy("Thermodynamic Volume-Price Resonance (TVPR)", overlay=true, initial_capital=10, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// --- Parameters ---
int velocity_period = input.int(5, title="Velocity Period (N)", minval=1)
int bbw_period = input.int(20, title="BBW Period (M)", minval=1)
float epsilon = input.float(0.0001, title="Epsilon")
string htf = input.timeframe("15", title="Higher Timeframe for VWAP")
int energy_exit_bars = input.int(5, title="Energy Exhaustion Bars")

// --- 1. Price Velocity (vp) ---
float vp = (close - close[velocity_period]) / velocity_period

// --- 2. Volume-Price Momentum (KE) ---
// Logarithmic smoothing of volume, avoiding 0 or negative volume issues
float vol = volume > 0 ? volume : 1
float ke = math.log(vol) * math.pow(math.abs(vp), 2) * math.sign(vp)

// --- 3. System Entropy / Volatility (SE) ---
// Using standardized Bollinger Band Width
float basis = ta.sma(close, bbw_period)
float dev = 2 * ta.stdev(close, bbw_period)
float upper = basis + dev
float lower = basis - dev
float bbw = basis != 0 ? (upper - lower) / basis : 0

float bbw_mean = ta.sma(bbw, bbw_period)
float bbw_std = ta.stdev(bbw, bbw_period)
float se = bbw_std != 0 ? (bbw - bbw_mean) / bbw_std : 0

// --- 4. Thermodynamic Momentum Index (TMI) ---
float tmi = ke / (se + epsilon)

// --- Entry Conditions Logic ---

// Condition A: Energy Compression (SE < -1 in last 10 periods)
bool cond_a = ta.lowest(se, 10) < -1

// Condition B: Momentum Explosion
float tmi_mean = ta.sma(tmi, 20)
float tmi_std = ta.stdev(tmi, 20)
float tmi_upper = tmi_mean + 2 * tmi_std
float tmi_lower = tmi_mean - 2 * tmi_std

bool cond_b_long = ta.crossover(tmi, tmi_upper)
bool cond_b_short = ta.crossunder(tmi, tmi_lower)

// Condition C: Trend Filter (HTF VWAP)
float htf_vwap = request.security(syminfo.tickerid, htf, ta.vwap)
bool cond_c_long = close > htf_vwap
bool cond_c_short = close < htf_vwap

// Combine Conditions
bool enter_long = cond_a and cond_b_long and cond_c_long
bool enter_short = cond_a and cond_b_short and cond_c_short

// --- Execution & Risk Management Variables ---
var float entry_price = na
var float sl = na
var float initial_risk = na
var float entry_tmi = na
var int entry_bar = na

// State tracker to handle single entry operations
bool in_long = strategy.position_size > 0
bool in_short = strategy.position_size < 0

// --- Trade Entry Logic ---
if enter_long and strategy.position_size == 0
    strategy.entry("Long", strategy.long)
    entry_price := close
    sl := low
    initial_risk := close - low
    entry_tmi := math.abs(tmi)
    entry_bar := bar_index

if enter_short and strategy.position_size == 0
    strategy.entry("Short", strategy.short)
    entry_price := close
    sl := high
    initial_risk := high - close
    entry_tmi := math.abs(tmi)
    entry_bar := bar_index

// --- Exit & Management Logic ---
if in_long
    // 1. Dynamic Trailing Stop (Move to breakeven if profit > 1.5 * risk)
    if high > entry_price + 1.5 * initial_risk
        sl := math.max(sl, entry_price)
    
    // Check traditional stop loss
    strategy.exit("Exit Long", "Long", stop=sl)
    
    // 2. Time/Energy Exit
    if (bar_index - entry_bar) >= energy_exit_bars and math.abs(tmi) < 0.3 * entry_tmi
        strategy.close("Long", comment="Energy Exhaustion")

if in_short
    // 1. Dynamic Trailing Stop (Move to breakeven if profit > 1.5 * risk)
    if low < entry_price - 1.5 * initial_risk
        sl := math.min(sl, entry_price)
    
    // Check traditional stop loss
    strategy.exit("Exit Short", "Short", stop=sl)
    
    // 2. Time/Energy Exit
    if (bar_index - entry_bar) >= energy_exit_bars and math.abs(tmi) < 0.3 * entry_tmi
        strategy.close("Short", comment="Energy Exhaustion")

// --- Chart Visuals ---
plot(htf_vwap, color=color.new(color.blue, 0), title="HTF VWAP", linewidth=2)
plotshape(enter_long, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small, title="Long Signal")
plotshape(enter_short, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small, title="Short Signal")