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// >_ QuantTraderAcademy — https://academy.quantaste.com
// This source code is subject to the terms of the Mozilla Public License 2.0
// VIX Backwardation Indicator – PineScript v6

//@version=6
indicator(
     title       = "VIX Backwardation Signal",
     shorttitle  = "VIX BWD",
     overlay     = false,
     max_bars_back = 500
 )

// ─── INPUTS ──────────────────────────────────────────────────────────────────
grp_settings = "Impostazioni"
threshold   = input.float(1.5,  title = "Soglia backwardation (%)",  minval = 0.0, step = 0.1, group = grp_settings,
                          tooltip = "Segnale attivo quando (VX1 - VX2) / VX2 * 100 supera questa soglia")
show_table  = input.bool(true,  title = "Mostra tabella info",        group = grp_settings)

grp_colors = "Colori"
col_bwd     = input.color(color.new(color.red,    0),  title = "Backwardation", group = grp_colors)
col_contg   = input.color(color.new(color.teal,   0),  title = "Contango",      group = grp_colors)
col_neutral = input.color(color.new(color.gray,   0),  title = "Neutro (0)",     group = grp_colors)
col_bg_bwd  = input.color(color.new(color.red,   80),  title = "Sfondo backwardation", group = grp_colors)

// ─── DATI FUTURES VIX (chiusura giornaliera) ─────────────────────────────────
vx1 = request.security("CBOE:VX1!", "D", close, lookahead = barmerge.lookahead_off)
vx2 = request.security("CBOE:VX2!", "D", close, lookahead = barmerge.lookahead_off)

// ─── CALCOLO SPREAD ───────────────────────────────────────────────────────────
spread_pct = (vx1 - vx2) / vx2 * 100

// ─── CONDIZIONI ───────────────────────────────────────────────────────────────
is_valid      = not na(vx1) and not na(vx2) and vx2 > 0
is_bwd        = is_valid and spread_pct >  threshold
is_contango   = is_valid and spread_pct <  0.0
is_neutral    = is_valid and not is_bwd and not is_contango

// ─── BACKGROUND ───────────────────────────────────────────────────────────────
bgcolor(is_bwd ? col_bg_bwd : na, title = "Sfondo backwardation")

// ─── PLOT PRINCIPALE ─────────────────────────────────────────────────────────
plot_color = is_bwd      ? col_bwd    :
             is_contango ? col_contg  : col_neutral

plot(spread_pct,
     title     = "Spread VX1-VX2 (%)",
     color     = plot_color,
     linewidth = 2,
     style     = plot.style_line)

// ─── LINE DI RIFERIMENTO ─────────────────────────────────────────────────────
hline(0,         "Zero",            color = color.new(color.white, 30), linestyle = hline.style_solid,  linewidth = 1)
hline(threshold, "Soglia BWD",      color = color.new(color.red,   20), linestyle = hline.style_dashed, linewidth = 1)

h0     = hline(0, editable = false, display = display.none)
h_thr  = hline(threshold, editable = false, display = display.none)
fill(h0, h_thr, color = color.new(color.red, 92), title = "Zona soglia BWD")

// ─── FRECCE SEGNALE ───────────────────────────────────────────────────────────
entered_bwd = is_bwd and not is_bwd[1]
plotshape(entered_bwd,
     title    = "Entrata backwardation",
     style    = shape.triangleup,
     location = location.bottom,
     color    = col_bwd,
     size     = size.small,
     text     = "BWD")

exited_bwd = not is_bwd and is_bwd[1]
plotshape(exited_bwd,
     title    = "Uscita backwardation",
     style    = shape.triangledown,
     location = location.top,
     color    = col_contg,
     size     = size.small,
     text     = "EXIT")

// ─── TABELLA INFO ─────────────────────────────────────────────────────────────
if show_table and barstate.islast
    var table t = table.new(
         position.top_right, 2, 6,
         bgcolor         = color.new(color.black, 20),
         border_width    = 1,
         border_color    = color.new(color.white, 60),
         frame_width     = 1,
         frame_color     = color.new(color.white, 40)
     )

    table.cell(t, 0, 0, "VIX FUTURES",
         text_color  = color.white,
         text_size   = size.small,
         bgcolor     = color.new(color.navy, 10),
         text_halign = text.align_center)
    table.cell(t, 1, 0, "Valore",
         text_color  = color.white,
         text_size   = size.small,
         bgcolor     = color.new(color.navy, 10),
         text_halign = text.align_center)

    table.cell(t, 0, 1, "VX1! (front)",  text_color = color.white, text_size = size.small)
    table.cell(t, 1, 1, str.tostring(vx1, "#.##"), text_color = color.yellow, text_size = size.small)

    table.cell(t, 0, 2, "VX2! (second)", text_color = color.white, text_size = size.small)
    table.cell(t, 1, 2, str.tostring(vx2, "#.##"), text_color = color.yellow, text_size = size.small)

    table.cell(t, 0, 3, "Spread (%)",    text_color = color.white, text_size = size.small)
    spread_color = is_bwd ? color.red : is_contango ? color.teal : color.gray
    table.cell(t, 1, 3, str.tostring(spread_pct, "#.##") + "%",
         text_color = spread_color, text_size = size.small)

    table.cell(t, 0, 4, "Soglia (%)",    text_color = color.white, text_size = size.small)
    table.cell(t, 1, 4, str.tostring(threshold, "#.##") + "%",
         text_color = color.orange, text_size = size.small)

    status_txt   = is_bwd      ? "⚠ BACKWARDATION" :
                   is_contango ? "✓ Contango"       : "– Neutro"
    status_color = is_bwd      ? color.red    :
                   is_contango ? color.teal   : color.gray
    table.cell(t, 0, 5, "Stato",         text_color = color.white, text_size = size.small)
    table.cell(t, 1, 5, status_txt,      text_color = status_color, text_size = size.small)

// ─── ALERT ────────────────────────────────────────────────────────────────────
alertcondition(entered_bwd,
     title   = "VIX → Backwardation",
     message = "⚠ VIX entra in BACKWARDATION – Spread supera soglia")

alertcondition(exited_bwd,
     title   = "VIX → Uscita Backwardation",
     message = "✓ VIX esce dalla backwardation")

{ >_ QuantTraderAcademy — https://academy.quantaste.com }
{==================================================================================
 Strategy:  VIX Backwardation Short SP500

 Descrizione:
 Strategia solo SHORT su SP500 a 30 minuti.
 Utilizza come filtro la struttura a termine dei VIX futures (backwardation).
 La backwardation e' valida solo quando il contratto front-month (Data2)
 e' significativamente superiore al secondo contratto (Data3), con soglia 1.5%.

 Setup del chart:
   Data1 = SP500 futures (ES) - 30 minuti
   Data2 = VIX front-month future (scadenza piu' vicina)
   Data3 = VIX second-month future (scadenza successiva)

 Regole di ingresso (tutte devono essere vere):
   1. Orario tra le 09:00 e le 15:00
   2. VIX in backwardation significativa (front > second di almeno 1.5%)
   3. SMA(20) incrocia verso il basso SMA(50) su SP500
   4. Nessuna posizione aperta

 Gestione del rischio:
   - Stop Loss:    2000 $
   - Break Even:   attivato se profitto aperto >= 1000 $
   - Take Profit:  3500 $
   - La posizione resta aperta fino a SL, TP o BE
==================================================================================}

[IntrabarOrderGeneration = false]

{--- INPUTS ---}
Inputs:
    SMA_Fast_Len(20),                   { Lunghezza SMA veloce }
    SMA_Slow_Len(50),                   { Lunghezza SMA lenta }
    Backwardation_Threshold(1.5),       { Soglia % backwardation minima }
    StartTime(0900),                    { Orario inizio operativita' }
    EndTime(1500),                      { Orario fine operativita' }
    StopLossAmt(2000),                  { Stop loss in dollari }
    BreakEvenTrigger(1000),             { Profitto minimo per attivare break even }
    ProfitTargetAmt(3500);              { Take profit in dollari }

{--- VARIABILI ---}
Variables:
    VIX_Front(0),                       { Prezzo VIX front-month (Data2) }
    VIX_Second(0),                      { Prezzo VIX second-month (Data3) }
    BackwardationPct(0),                { Percentuale di backwardation }
    IsBackwardation(false),             { Flag: backwardation valida }
    SMA_Fast(0),                        { SMA 20 periodi su SP500 }
    SMA_Slow(0),                        { SMA 50 periodi su SP500 }
    CrossDown(false),                   { Flag: incrocio ribassista }
    IsTimeWindow(false),                { Flag: siamo nella finestra oraria }
    BreakEvenActivated(false);          { Flag: break even gia' attivato }

{==================================================================================
 CALCOLO INDICATORI
==================================================================================}

{ Media mobili semplici su SP500 (Data1) }
SMA_Fast = Average(Close, SMA_Fast_Len);
SMA_Slow = Average(Close, SMA_Slow_Len);

{ Lettura prezzi VIX futures }
VIX_Front  = Close of Data2;
VIX_Second = Close of Data3;

{ Calcolo backwardation percentuale: (Front - Second) / Second * 100 }
If VIX_Second > 0 then
    BackwardationPct = ((VIX_Front - VIX_Second) / VIX_Second) * 100
Else
    BackwardationPct = 0;

{ Backwardation valida se front-month supera second-month di almeno la soglia }
IsBackwardation = BackwardationPct >= Backwardation_Threshold;

{ Incrocio ribassista: SMA veloce attraversa verso il basso la SMA lenta }
CrossDown = SMA_Fast crosses below SMA_Slow;

{ Finestra oraria valida }
IsTimeWindow = (Time >= StartTime) and (Time <= EndTime);

{==================================================================================
 LOGICA DI INGRESSO - SOLO SHORT
==================================================================================}

If MarketPosition = 0 then begin
    { Reset flag break even quando siamo flat }
    BreakEvenActivated = false;

    If IsTimeWindow
       and IsBackwardation
       and CrossDown then begin
        SellShort("VIX_BW_Short") next bar at Market;
    end;
end;

{==================================================================================
 GESTIONE DEL RISCHIO
==================================================================================}

If MarketPosition = -1 then begin

    { Stop Loss fisso in dollari }
    SetStopLoss(StopLossAmt);

    { Take Profit fisso in dollari }
    SetProfitTarget(ProfitTargetAmt);

    { Break Even: quando il profitto aperto supera la soglia,
      sposta lo stop al prezzo di entrata }
    SetBreakEven(BreakEvenTrigger);

end;