Institutional Risk Engine v3

//version=6
strategy(
"Institutional Risk Engine v3",
overlay=true,
initial_capital=100000,
pyramiding=0,
default_qty_type=strategy.percent_of_equity,
default_qty_value=10,
calc_on_order_fills=true)

// ==========================================================
// 1️⃣ MULTI-ASSET DATA
// ==========================================================
btc = request.security("BINANCE:BTCUSDT", timeframe.period, close)
eth = request.security("BINANCE:ETHUSDT", timeframe.period, close)
es = request.security("CME_MINI:ES1!", timeframe.period, close)

// Returns
btc_ret = math.log(btc/btc[1])
eth_ret = math.log(eth/eth[1])
es_ret = math.log(es/es[1])

// Volatility
btc_vol = ta.stdev(btc_ret, 50)
eth_vol = ta.stdev(eth_ret, 50)
es_vol = ta.stdev(es_ret, 50)

// Correlations
corr_be = ta.correlation(btc_ret, eth_ret, 50)
corr_bs = ta.correlation(btc_ret, es_ret, 50)
corr_es = ta.correlation(eth_ret, es_ret, 50)

// ==========================================================
// 2️⃣ VOL PARITY WITH CORRELATION ADJUSTMENT
// ==========================================================
inv_btc = btc_vol != 0 ? 1/btc_vol : 0
inv_eth = eth_vol != 0 ? 1/eth_vol : 0
inv_es = es_vol != 0 ? 1/es_vol : 0

sum_inv = inv_btc + inv_eth + inv_es

w_btc = inv_btc / sum_inv
w_eth = inv_eth / sum_inv
w_es = inv_es / sum_inv

// Approx portfolio variance
portfolio_var = (
w_btc*w_btc*btc_vol*btc_vol +
w_eth*w_eth*eth_vol*eth_vol +
w_es*w_es*es_vol*es_vol +
2*w_btc*w_eth*corr_be*btc_vol*eth_vol +
2*w_btc*w_es*corr_bs*btc_vol*es_vol +
2*w_eth*w_es*corr_es*eth_vol*es_vol
)
// ==========================================================
// 3️⃣ 12-MONTH SHARPE TARGETING (252 trading days proxy)
// ==========================================================
ret = math.log(close/close[1])
mean_ret = ta.sma(ret, 252)
vol_ret = ta.stdev(ret, 252)

sharpe = vol_ret != 0 ? (mean_ret / vol_ret) * math.sqrt(252) : 0

target_sharpe = 1.5

sharpe_scale =
sharpe > target_sharpe ? 1 :
sharpe > 1 ? 0.7 :
0.4

// ==========================================================
// 4️⃣ RISK OF RUIN
// ==========================================================
wins = strategy.wintrades
loss = strategy.losstrades
total = strategy.closedtrades

p = total > 0 ? wins / total : 0.5
q = 1 - p

risk_per_trade = 0.01
capital_units = strategy.equity * risk_per_trade

risk_of_ruin =
p > q ? math.pow(q/p, capital_units) : 1

// ==========================================================
// 5️⃣ PROP FIRM SURVIVAL MODEL
// ==========================================================
var float peak_equity = na
peak_equity := na(peak_equity) ? strategy.equity : math.max(peak_equity, strategy.equity)

trailing_dd = (strategy.equity - peak_equity) / peak_equity

// Daily
var float day_start = na
new_day = ta.change(time("D")) != 0
if new_day
day_start := strategy.equity

daily_pnl = strategy.equity - day_start

daily_loss_limit = day_start * 0.03
trailing_limit = -0.10

prop_ok =
daily_pnl > -daily_loss_limit and
trailing_dd > trailing_limit

// Near violation compression
prop_scale =
trailing_dd > -0.05 ? 1 :
trailing_dd > -0.08 ? 0.6 :
0.3

// ==========================================================
// FINAL CAPITAL SCALING
// ==========================================================
base_alloc = 0.6

final_scale = base_alloc * sharpe_scale * prop_scale

position_pct = final_scale * 100
// ==========================
// ENTRY
// ==========================

long_signal = close > ta.ema(close, 20) and ta.crossover(ta.rsi(close, 6), 50)

// Prop condition default (avoid empty block issues)
if strategy.position_size == 0 and prop_ok
if long_signal
strategy.entry("LONG", strategy.long)

// ==========================================================
// EXIT
// ==========================================================
if strategy.position_size != 0
avg = strategy.position_avg_price
strategy.exit("EXIT",
limit = avg * 1.01,
stop = avg * 0.995)

// ==========================================================
// DASHBOARD
// ==========================================================
var table dash = table.new(position.top_right, 2, 8)

if barstate.islast
table.cell(dash, 0, 0, "Portfolio Vol")
table.cell(dash, 0, 1, "Sharpe")
table.cell(dash, 1, 1, str.tostring(sharpe,"#.##"))

table.cell(dash, 0, 2, "Risk of Ruin")
table.cell(dash, 1, 2, str.tostring(risk_of_ruin,"#.#####"))

table.cell(dash, 0, 3, "Trailing DD")
table.cell(dash, 1, 3, str.tostring(trailing_dd*100,"#.##")+"%")

table.cell(dash, 0, 4, "Prop OK")
table.cell(dash, 1, 4, str.tostring(prop_ok))

table.cell(dash, 0, 5, "Sharpe Scale")
table.cell(dash, 1, 5, str.tostring(sharpe_scale,"#.##"))

table.cell(dash, 0, 6, "Prop Scale")
table.cell(dash, 1, 6, str.tostring(prop_scale,"#.##"))

table.cell(dash, 0, 7, "Position %")
table.cell(dash, 1, 7, str.tostring(position_pct,"#.##"))