VCP probe 06 - adx regime

// This Pine Script® code is licensed under Apache-2.0
// SPDX-License-Identifier: Apache-2.0
// © PineForge contributors 2026
//
// VCP probe 06 — manual ADX regime detection
//
// Purpose: isolate the regime-filter half of the VCP integration probe
// family. That family does NOT use ``ta.dmi`` — it builds DI/ADX BY HAND
// from ``ta.change(high)`` /
// ``ta.change(low)`` plus a chain of ``ta.rma`` smoothings on plusDM /
// minusDM / true range / dx. That manual chain is a likely source of
// TV/engine drift because:
//   (1) ``ta.change(high)`` produces ``na`` on bar 0; the plusDM /
//       minusDM ternaries explicitly carry the ``na`` (``na(upMove) ?
//       na : ...``);
//   (2) ``ta.rma`` is Wilder's smoothing (alpha = 1/length), which is
//       seeded differently across implementations (some use SMA seed,
//       some use first-non-na, some use 0);
//   (3) the ``adxValue = ta.rma(dx, adxLen)`` final pass adds another
//       length of warm-up, so any seed drift compounds.
// VCP then derives ``regime.isTrending = adxValue > 25`` and
// ``regime.trend = plusDI > minusDI ? 1 : -1`` and uses both to gate
// long/short entries via ``regimeAllowsLong`` / ``regimeAllowsShort``.
//
// This probe routes a trivial entry/exit through ONLY VCP's manual
// ADX. Any TV/engine drift here is attributable to the
// ``ta.rma``-of-``ta.tr`` / DI / DX / ADX chain at length 14, NOT
// to other VCP filters.
//
// Trade shape: long-only, pyramiding=1. Enter long on the bar that
// regime FIRST becomes "trending bull" (``isTrending and trend > 0``
// rising-edge). Close the long when the regime exits "trending bull".
//
// TV setup: 15m chart, ETH-USDT-USDT, same window as
// data/ohlcv_ETH-USDT-USDT_15m.csv. Export the trade list to trades.csv
// in this folder.
//@version=6
strategy("VCP probe 06 - adx regime", shorttitle="VCP_p06",
     overlay=true, initial_capital=1000000,
     commission_type=strategy.commission.percent, commission_value=0,
     slippage=0, default_qty_type=strategy.fixed, default_qty_value=1,
     pyramiding=1, process_orders_on_close=false)

// ---- ATR for the volatility ratio (literal 14, matches VCP) -------
float atrVal = ta.atr(14)

// ---- Manual ADX — IDENTICAL formula to VCP lines 419-428 ----------
int adxLen = 14
float upMove   = ta.change(high)
float downMove = -ta.change(low)
float plusDM   = na(upMove)   ? na : (upMove   > downMove and upMove   > 0 ? upMove   : 0)
float minusDM  = na(downMove) ? na : (downMove > upMove   and downMove > 0 ? downMove : 0)
float trueRange = ta.rma(ta.tr, adxLen)
float plusDI    = 100 * ta.rma(plusDM,  adxLen) / trueRange
float minusDI   = 100 * ta.rma(minusDM, adxLen) / trueRange
float dx        = 100 * math.abs(plusDI - minusDI) / (plusDI + minusDI)
float adxValue  = ta.rma(dx, adxLen)

bool isTrending = adxValue > 25
int  trend      = plusDI > minusDI ? 1 : -1
float volatility = atrVal / close * 100

// ---- regime rising / falling edge ----------------------------------
bool trendingBull = isTrending and trend > 0
bool regimeBullStart = trendingBull and not trendingBull[1]
bool regimeBullEnd   = not trendingBull and trendingBull[1]

// ---- trivial entry / exit ------------------------------------------
if regimeBullStart and strategy.position_size == 0
    strategy.entry("L", strategy.long, qty=1, comment="adx trending-bull start")

if regimeBullEnd and strategy.position_size > 0
    strategy.close("L", comment="adx trending-bull end exit")