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dharmanandharmanan
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add accepted Regime Trend v1 Pine strategy
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‎research/regime-trend-v1/pine/regime-trend-v1-ratchet-v1.pine‎

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//@version=6
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strategy(
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"Regime Trend v1 +2 ATR BE Ratchet",
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overlay = true,
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pyramiding = 0,
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initial_capital = 10000,
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default_qty_type = strategy.percent_of_equity,
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default_qty_value = 100,
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commission_type = strategy.commission.percent,
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commission_value = 0.10,
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process_orders_on_close = false,
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calc_on_order_fills = true)
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// IMPORTANT: Run this script on a 5-minute chart.
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// The 4-hour entry/trend logic is requested from completed 4-hour candles.
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// The custom model below is authoritative for percentage-slippage parity.
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// TradingView's built-in `slippage` setting is tick-based, so visual Strategy Tester
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// fills can differ slightly from the custom normalized model shown in the table.
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const string BASE_TF = "240"
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const int FIVE_MINUTES_MS = 5 * 60 * 1000
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const float COMMISSION_RATE = 0.001
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const float SLIPPAGE_RATE = 0.0005
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const float INITIAL_STOP_ATR = 2.5
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const float TRAILING_STOP_ATR = 3.0
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const float ACTIVATION_ATR = 2.0
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const float ATR_FLOOR = 0.005
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bool isFiveMinuteChart = timeframe.isminutes and timeframe.multiplier == 5
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if barstate.isfirst and not isFiveMinuteChart
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runtime.error("Regime Trend v1 Ratchet must run on a 5-minute chart.")
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float htfClose = request.security(
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syminfo.tickerid,
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BASE_TF,
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close,
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gaps = barmerge.gaps_off,
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lookahead = barmerge.lookahead_off)
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float htfEma50 = request.security(
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syminfo.tickerid,
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BASE_TF,
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ta.ema(close, 50),
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gaps = barmerge.gaps_off,
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lookahead = barmerge.lookahead_off)
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float htfEma200 = request.security(
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syminfo.tickerid,
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BASE_TF,
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ta.ema(close, 200),
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gaps = barmerge.gaps_off,
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lookahead = barmerge.lookahead_off)
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float htfAtr14 = request.security(
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syminfo.tickerid,
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BASE_TF,
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ta.atr(14),
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gaps = barmerge.gaps_off,
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lookahead = barmerge.lookahead_off)
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float htfBreakout = request.security(
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syminfo.tickerid,
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BASE_TF,
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ta.highest(high[1], 20),
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gaps = barmerge.gaps_off,
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lookahead = barmerge.lookahead_off)
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bool htfBarClosesHere = time_close == time_close(BASE_TF)
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bool htfReady = not na(htfClose) and not na(htfEma50) and not na(htfEma200) and not na(htfAtr14) and not na(htfBreakout)
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f_breakEvenRawFloor(float modelEntryFill) =>
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float entryFeePerUnitNotional = COMMISSION_RATE
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float exitFillNeeded = modelEntryFill * (1.0 + entryFeePerUnitNotional) / (1.0 - COMMISSION_RATE)
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exitFillNeeded / (1.0 - SLIPPAGE_RATE)
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f_exitFill(float rawReference) =>
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rawReference * (1.0 - SLIPPAGE_RATE)
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var bool modelInTrade = false
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var bool pendingEntry = false
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var float pendingEntryAtr = na
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var bool pendingTrendExit = false
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var float modelEntryFill = na
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var float modelEntryAtr = na
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var float modelQuantity = na
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var float modelEntryFee = na
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var float originalStop = na
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var float pendingOriginalStop = na
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var float highestHtfClose = na
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var float activationPrice = na
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var float ratchetFloor = na
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var bool ratchetArmed = false
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var bool ratchetActive = false
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var bool parityGap = false
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var int modelEntryTime = na
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var int modelTradeCount = 0
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var int modelWinnerCount = 0
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var int modelRatchetExitCount = 0
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var int modelGapTradeCount = 0
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var float modelCumulativeNet = 0.0
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var float lastModelNet = na
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var string lastModelExitReason = "none"
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bool dataGapThisBar = not na(time[1]) and time - time[1] != FIVE_MINUTES_MS
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if modelInTrade and dataGapThisBar
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parityGap := true
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// State calculated on the previous 5-minute close becomes active now.
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if modelInTrade and not na(pendingOriginalStop)
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originalStop := math.max(originalStop, pendingOriginalStop)
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pendingOriginalStop := na
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if modelInTrade and ratchetArmed
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ratchetActive := true
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ratchetArmed := false
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bool enteredThisBar = false
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bool exitedThisBar = false
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// A signal submitted on the final 5-minute bar of a 4-hour candle fills here,
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// at the next 5-minute open, which is also the next 4-hour open.
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if pendingEntry and not modelInTrade
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modelEntryFill := open * (1.0 + SLIPPAGE_RATE)
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modelEntryAtr := pendingEntryAtr
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modelQuantity := 1.0 / modelEntryFill
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modelEntryFee := modelEntryFill * modelQuantity * COMMISSION_RATE
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originalStop := modelEntryFill - INITIAL_STOP_ATR * modelEntryAtr
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pendingOriginalStop := na
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highestHtfClose := na
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activationPrice := modelEntryFill + ACTIVATION_ATR * modelEntryAtr
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ratchetFloor := f_breakEvenRawFloor(modelEntryFill)
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ratchetArmed := false
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ratchetActive := false
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parityGap := dataGapThisBar
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pendingTrendExit := false
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modelEntryTime := time
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modelInTrade := true
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pendingEntry := false
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pendingEntryAtr := na
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enteredThisBar := true
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float activeRatchetFloor = modelInTrade and ratchetActive and not parityGap ? ratchetFloor : na
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float combinedStop = modelInTrade ? math.max(originalStop, nz(activeRatchetFloor, originalStop)) : na
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string modelExitReason = ""
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float modelRawExitReference = na
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bool ratchetBindingExit = false
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if modelInTrade
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if pendingTrendExit
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if open <= combinedStop
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modelRawExitReference := open
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ratchetBindingExit := ratchetActive and not parityGap and ratchetFloor > originalStop and open > originalStop
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modelExitReason := ratchetBindingExit ? "ratchet_gap" : "baseline_stop_gap"
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else
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modelRawExitReference := open
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modelExitReason := "trend_exit"
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else if open <= combinedStop
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modelRawExitReference := open
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ratchetBindingExit := ratchetActive and not parityGap and ratchetFloor > originalStop and open > originalStop
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modelExitReason := ratchetBindingExit ? "ratchet_gap" : "baseline_stop_gap"
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else if low <= combinedStop
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modelRawExitReference := combinedStop
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ratchetBindingExit := ratchetActive and not parityGap and ratchetFloor > originalStop
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modelExitReason := ratchetBindingExit ? "ratchet_stop" : "baseline_stop"
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if modelInTrade and modelExitReason != ""
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float modelExitFill = f_exitFill(modelRawExitReference)
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float modelExitFee = modelExitFill * modelQuantity * COMMISSION_RATE
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float modelGrossPnl = (modelExitFill - modelEntryFill) * modelQuantity
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float modelNetPnl = modelGrossPnl - modelEntryFee - modelExitFee
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modelTradeCount += 1
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modelWinnerCount += modelNetPnl > 0 ? 1 : 0
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modelRatchetExitCount += ratchetBindingExit ? 1 : 0
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modelGapTradeCount += parityGap ? 1 : 0
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modelCumulativeNet += modelNetPnl
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lastModelNet := modelNetPnl
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lastModelExitReason := modelExitReason
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modelInTrade := false
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pendingTrendExit := false
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modelEntryFill := na
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modelEntryAtr := na
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modelQuantity := na
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modelEntryFee := na
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originalStop := na
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pendingOriginalStop := na
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highestHtfClose := na
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activationPrice := na
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ratchetFloor := na
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ratchetArmed := false
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ratchetActive := false
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parityGap := false
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modelEntryTime := na
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exitedThisBar := true
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// Activation is evaluated only after the current candle's pre-existing stop.
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// Therefore the break-even floor can first act on the next 5-minute candle.
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if modelInTrade and not ratchetActive and not ratchetArmed and not parityGap
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bool activationTouched = open >= activationPrice or high >= activationPrice
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if activationTouched
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ratchetArmed := true
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// Completed 4-hour close logic. The resulting stop update and trend-exit order
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// become active at the next 5-minute bar, i.e. the next 4-hour open.
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if modelInTrade and htfBarClosesHere and htfReady and not exitedThisBar
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highestHtfClose := na(highestHtfClose) ? htfClose : math.max(highestHtfClose, htfClose)
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float candidateOriginalStop = highestHtfClose - TRAILING_STOP_ATR * htfAtr14
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pendingOriginalStop := math.max(originalStop, candidateOriginalStop)
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if htfClose < htfEma50
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pendingTrendExit := true
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strategy.close("Long", comment = "4H trend exit")
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// Keep the broker-emulator stop aligned with the stop that will be active on
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// the next 5-minute candle. The custom model remains authoritative for the
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// percentage-slippage arithmetic.
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if modelInTrade
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float nextOriginalStop = not na(pendingOriginalStop) ? math.max(originalStop, pendingOriginalStop) : originalStop
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bool nextRatchetActive = ratchetActive or ratchetArmed
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float nextCombinedStop = nextRatchetActive and not parityGap ? math.max(nextOriginalStop, ratchetFloor) : nextOriginalStop
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strategy.exit("Long Stop", "Long", stop = nextCombinedStop, comment_loss = "Active stop")
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bool bullishRegime = htfReady and htfEma50 > htfEma200 and htfClose > htfEma200
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bool breakout = htfReady and htfClose > htfBreakout
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bool volatilityAllowed = htfReady and htfAtr14 / htfClose >= ATR_FLOOR
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bool longSignal = htfBarClosesHere and bullishRegime and breakout and volatilityAllowed
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if longSignal and not modelInTrade and not pendingEntry and not exitedThisBar
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pendingEntry := true
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pendingEntryAtr := htfAtr14
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strategy.entry("Long", strategy.long, comment = "4H breakout")
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plot(htfEma50, "4H EMA 50", color = color.orange)
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plot(htfEma200, "4H EMA 200", color = color.blue)
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plot(modelInTrade ? originalStop : na, "Original 4H Stop", color = color.red, style = plot.style_linebr)
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plot(modelInTrade and ratchetActive and not parityGap ? ratchetFloor : na, "Ratchet Floor", color = color.aqua, style = plot.style_linebr)
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plot(modelInTrade ? activationPrice : na, "+2 ATR Activation", color = color.new(color.green, 40), style = plot.style_linebr)
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plotshape(longSignal and not modelInTrade, title = "Long signal", style = shape.triangleup, location = location.belowbar, color = color.green, size = size.tiny, text = "4H")
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plotshape(ratchetArmed, title = "Ratchet armed", style = shape.circle, location = location.abovebar, color = color.aqua, size = size.tiny, text = "BE")
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bgcolor(modelInTrade and parityGap ? color.new(color.red, 88) : na, title = "Parity gap trade")
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var table status = table.new(position.top_right, 2, 9, border_width = 1)
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if barstate.islast
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table.cell(status, 0, 0, "Model")
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table.cell(status, 1, 0, "Regime Trend v1 Ratchet")
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table.cell(status, 0, 1, "Chart")
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table.cell(status, 1, 1, timeframe.period)
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table.cell(status, 0, 2, "Trades")
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table.cell(status, 1, 2, str.tostring(modelTradeCount))
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table.cell(status, 0, 3, "Winners")
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table.cell(status, 1, 3, str.tostring(modelWinnerCount))
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table.cell(status, 0, 4, "Ratchet exits")
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table.cell(status, 1, 4, str.tostring(modelRatchetExitCount))
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table.cell(status, 0, 5, "Gap-flagged")
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table.cell(status, 1, 5, str.tostring(modelGapTradeCount))
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table.cell(status, 0, 6, "Custom net")
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table.cell(status, 1, 6, str.tostring(modelCumulativeNet, "#.######"))
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table.cell(status, 0, 7, "Last net")
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table.cell(status, 1, 7, na(lastModelNet) ? "n/a" : str.tostring(lastModelNet, "#.######"))
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table.cell(status, 0, 8, "Last exit")
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table.cell(status, 1, 8, lastModelExitReason)

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