Volatility Breakout (Larry Williams) [JR]

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © JayadevRana
//@version=6
// Larry Williams — Volatility Breakout, as he describes it in "Long-Term Secrets to Short-Term Trading":
// buy when price moves a fraction of yesterday's range away from the reference price, protect with a stop
// sized by the same range, and get out fast ("first profitable opening").
// TradingView cannot know tomorrow's open at tonight's close, so the reference is the CLOSE (a variant
// Williams also uses); the exit is taken at the open after the first profitable close.
strategy("Volatility Breakout (Larry Williams) [JR]", shorttitle = "LW Breakout", overlay = true,
     initial_capital = 100000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100,
     commission_type = strategy.commission.percent, commission_value = 0.02, slippage = 2,
     margin_long = 0, margin_short = 0, process_orders_on_close = false, pyramiding = 0)

G1 = "1 · Breakout"
kLong   = input.float(1.0, "Long: buy stop at close + k × yesterday's range", minval = 0.05, step = 0.05, group = G1)
kShort  = input.float(0.6, "Short: sell stop at close − k × range", minval = 0.05, step = 0.05, group = G1)
dirMode = input.string("Long only", "Direction", options = ["Long only", "Both", "Short only"], group = G1,
     tooltip = "Williams traded stock indices mostly from the long side")
G2 = "2 · Exit"
stopK    = input.float(0.5, "Stop: entry − k × range (0 = no stop)", minval = 0, step = 0.05, group = G2)
exitMode = input.string("Hold N days", "Exit", options = ["First profitable close", "Next open", "Hold N days"], group = G2)
holdN    = input.int(3, "Max days in trade", minval = 1, maxval = 30, group = G2)
G3 = "3 · Filters"
trendOn  = input.bool(false, "Trend filter: close above close N days ago", group = G3)
trendN   = input.int(20, "Trend lookback (days)", minval = 2, group = G3)
rangeMin = input.float(0.0, "Skip if yesterday's range < % of price", minval = 0, step = 0.1, group = G3)
G4 = "4 · Test window"
fromT = input.time(timestamp("2000-01-01T00:00:00"), "Trade from", group = G4)
toT   = input.time(timestamp("2100-01-01T00:00:00"), "Trade until", group = G4)
showLv = input.bool(true, "Show trigger levels", group = G4)

inWin   = time >= fromT and time <= toT
rng     = high - low
canLong = dirMode != "Short only"
canShrt = dirMode != "Long only"
trendUp = not trendOn or close > close[trendN]
trendDn = not trendOn or close < close[trendN]
rangeOK = rng >= close * rangeMin / 100
longTrig  = close + kLong * rng
shortTrig = close - kShort * rng
flat = strategy.position_size == 0

var float rngAtEntry = na
var int   entryBar   = na
if strategy.position_size != 0 and strategy.position_size[1] == 0
    rngAtEntry := rng[1]
    entryBar   := bar_index

// orders placed at this close work during the next bar
strategy.cancel_all()
if flat and inWin and rangeOK
    if canLong and trendUp
        strategy.entry("LW L", strategy.long, stop = longTrig)
    if canShrt and trendDn
        strategy.entry("LW S", strategy.short, stop = shortTrig)

if strategy.position_size > 0
    ep = strategy.position_avg_price
    if stopK > 0
        strategy.exit("LW L stop", "LW L", stop = ep - stopK * rngAtEntry)
    held = bar_index - entryBar + 1
    if (exitMode == "First profitable close" and close > ep) or exitMode == "Next open" or held >= holdN
        strategy.close("LW L", comment = "exit")
if strategy.position_size < 0
    ep = strategy.position_avg_price
    if stopK > 0
        strategy.exit("LW S stop", "LW S", stop = ep + stopK * rngAtEntry)
    held = bar_index - entryBar + 1
    if (exitMode == "First profitable close" and close < ep) or exitMode == "Next open" or held >= holdN
        strategy.close("LW S", comment = "exit")
if not inWin and not flat
    strategy.close_all(comment = "window end")

plot(showLv and flat and canLong ? longTrig : na, "Buy stop (next bar)", color.new(color.teal, 0), 1, plot.style_circles, offset = 1)
plot(showLv and flat and canShrt ? shortTrig : na, "Sell stop (next bar)", color.new(color.red, 0), 1, plot.style_circles, offset = 1)
plot(strategy.position_size > 0 and stopK > 0 ? strategy.position_avg_price - stopK * rngAtEntry : na, "Long stop", color.new(color.red, 0), 2, plot.style_linebr)
plot(strategy.position_size < 0 and stopK > 0 ? strategy.position_avg_price + stopK * rngAtEntry : na, "Short stop", color.new(color.red, 0), 2, plot.style_linebr)