Walk-Forward Lab

//@version=6
// Lesson 19. An indicator, not a strategy: the backtest is run by hand inside the
// script, so every trade it counts is visible in the code rather than hidden in
// the engine. table, plot, plotshape, fill and bgcolor render on every build.
indicator("Walk-Forward Lab", overlay = true)

// 1. Settings. The split date is the only input that matters in this lesson.
// Left of it is the data you fitted on. Right of it is the test.
splitT  = input.time(timestamp("2025-09-01T00:00 +0000"), "In-sample ends")
fastLen = input.int(15, "Fast average", minval = 2)
slowLen = input.int(150, "Slow average", minval = 5)
atrMult = input.float(2.0, "Stop = ATR x", step = 0.5)
rr      = input.float(2.0, "Target = R x", step = 0.5)
shade   = input.bool(true, "Shade in-sample and out-of-sample")

// 2. The line in time. One boolean decides which half a bar belongs to.
// Teal behind the bars means in sample: the settings have already seen this data.
// Yellow means out of sample: this is the only part that is evidence of anything.
inSample = time < splitT
bgcolor(not shade ? na : inSample ? color.new(color.teal, 90) :
  color.new(color.orange, 90), title = "Sample shading")

// 3. A deliberately ordinary entry, and one open trade tracked by hand. ta.ema,
// ta.atr and ta.crossover are called on every single bar, never inside an if, so
// they keep a correct running state no matter what the trade logic is doing. A
// trade ends at the stop for minus one R, or at the target for plus rr.
atr  = ta.atr(14)
fast = ta.ema(close, fastLen)
slow = ta.ema(close, slowLen)
xUp  = ta.crossover(fast, slow)
var float entry = na
var float stop  = na
var float targ  = na
var array<float> rs = array.new<float>()
var array<int>   ts = array.new<int>()
var float lastR  = na
var bool  opened = false
var bool  closed = false
opened := false
closed := false
if na(entry)
    if xUp and atr > 0
        entry  := close
        stop   := close - atrMult * atr
        targ   := close + atrMult * atr * rr
        opened := true
else
    if low <= stop or high >= targ
        lastR := low <= stop ? -1.0 : rr
        array.push(rs, lastR)
        array.push(ts, time)
        entry  := na
        closed := true

// 4. Two buckets, filled on the last bar from the trade list and the timestamp
// each trade carries. Slot 0 is the in-sample half, slot 1 is out of sample, so
// the same code measures both halves and nothing can leak from one to the other.
var array<float> nTrade = array.new_float(2, 0)
var array<float> nWin   = array.new_float(2, 0)
var array<float> sumR   = array.new_float(2, 0)
var array<float> grossW = array.new_float(2, 0)
var array<float> grossL = array.new_float(2, 0)
if barstate.islast
    array.fill(nTrade, 0.0)
    array.fill(nWin, 0.0)
    array.fill(sumR, 0.0)
    array.fill(grossW, 0.0)
    array.fill(grossL, 0.0)
    if array.size(rs) > 0
        for i = 0 to array.size(rs) - 1
            r = array.get(rs, i)
            b = array.get(ts, i) < splitT ? 0 : 1
            array.set(nTrade, b, array.get(nTrade, b) + 1)
            array.set(sumR, b, array.get(sumR, b) + r)
            if r > 0
                array.set(nWin, b, array.get(nWin, b) + 1)
                array.set(grossW, b, array.get(grossW, b) + r)
            else
                array.set(grossL, b, array.get(grossL, b) - r)

// 5. What you actually see on the chart. The ribbon between the two averages is the
// signal, tinted by which half it is in, and the little markers are the entries and
// the closed trades, so you can watch winners thin out after the line.
p1 = plot(fast, "Fast average", color = color.new(color.silver, 30), linewidth = 2)
p2 = plot(slow, "Slow average", color = color.new(color.gray, 30), linewidth = 2)
fill(p1, p2, color = inSample ? color.new(color.teal, 80) :
  color.new(color.orange, 80), title = "Trend ribbon")
plotshape(opened, "Entry", shape.circle, location.belowbar,
  color.new(color.blue, 0), size = size.tiny)
plotshape(closed and lastR > 0, "Winner", shape.triangleup, location.belowbar,
  color.new(color.teal, 0), size = size.tiny)
plotshape(closed and lastR <= 0, "Loser", shape.xcross, location.abovebar,
  color.new(color.red, 0), size = size.tiny)

// 6. Small helpers for the report. A function may not assign to a global in Pine,
// so each of these only reads its arguments and hands back a value or a cell.
var table t = table.new(position.top_right, 3, 8, border_width = 1)
put(c, r, s, col, bg) =>
    table.cell(t, c, r, s, text_color = col, text_size = size.normal, bgcolor = bg)
pf(b) =>
    l = array.get(grossL, b)
    l > 0 ? array.get(grossW, b) / l : na
per(b) =>
    n = array.get(nTrade, b)
    n > 0 ? array.get(sumR, b) / n : na
txt(v, d) =>
    na(v) ? "-" : str.tostring(v, d == 0 ? "#" : d == 1 ? "#.#" : "#.##")

// 7. The report, drawn once on the last bar. Read it left to right: the middle
// column is the settings on the data they were fitted to, the right column is them
// on data they never saw, and the bottom row is how much of the edge survived.
if barstate.islast
    head = color.new(color.blue, 20)
    put(0, 0, "metric", color.white, head)
    put(1, 0, "IN SAMPLE", color.white, color.new(color.teal, 40))
    put(2, 0, "OUT OF SAMPLE", color.white, color.new(color.orange, 40))
    for b = 0 to 1
        n  = array.get(nTrade, b)
        w  = array.get(nWin, b)
        bg = b == 0 ? color.new(color.teal, 80) : color.new(color.orange, 80)
        put(b + 1, 1, txt(n, 0), color.white, bg)
        put(b + 1, 2, n > 0 ? txt(w / n * 100, 1) + "%" : "-", color.white, bg)
        put(b + 1, 3, txt(array.get(sumR, b), 1) + "R", color.white, bg)
        put(b + 1, 4, txt(per(b), 2) + "R", color.white, bg)
        put(b + 1, 5, txt(pf(b), 2), color.white, bg)
    put(0, 1, "trades", color.silver, color.new(color.black, 60))
    put(0, 2, "win rate", color.silver, color.new(color.black, 60))
    put(0, 3, "total R", color.silver, color.new(color.black, 60))
    put(0, 4, "R per trade", color.silver, color.new(color.black, 60))
    put(0, 5, "profit factor", color.silver, color.new(color.black, 60))
    keep = na(per(0)) or per(0) == 0 or na(per(1)) ? na : per(1) / per(0) * 100
    kcol = na(keep) ? color.silver : keep >= 100 ? color.teal : color.red
    put(0, 6, "edge kept out of sample", color.white, color.new(color.black, 40))
    put(1, 6, "", color.white, color.new(color.black, 40))
    put(2, 6, txt(keep, 0) + "%", kcol, color.new(color.black, 40))
    put(0, 7, "fitted on the left of the line, tested on the right", color.silver,
      color.new(color.black, 60))
    put(1, 7, "", color.silver, color.new(color.black, 60))
    put(2, 7, "", color.silver, color.new(color.black, 60))