Funding carry

// Funding carry: when funding runs at an extreme, take the side it pays and collect it; stand aside
// when it is ordinary again. The funding is the whole edge, so what it costs to get in and out
// decides whether it pays, and the Strategy report shows each: fees, slippage from the order book,
// and the funding received.
strategy('Funding carry', { shortName: 'Carry', precision: 0, from: '2025-03-01' });

const enter = input.float('Enter above (% a year)', 40, { min: 1, max: 500 });
const leave = input.float('Leave below (% a year)', 10, { min: 0, max: 500 });
const smoothing = input.int('Smoothing (hours)', 24, { min: 1, max: 500 });
const sides = input.choice('Trade', 'both', ['both', 'long', 'short'], { labels: { both: 'Long and short', long: 'Long only', short: 'Short only' } });

const chart = bars();
const fund = funding();
const yearly = ta.ema(smoothing);

const rate = plot.histogram('Funding', { color: color.neutral, unit: '% a year' });
plot.level('Zero', 0, { color: color.neutral, style: 'dotted' });

chart.onClose(() => {
  const apr = yearly.update(fund.rate({ hours: 8760 }) * 100);
  if (isNa(apr)) return;
  // Positive funding: longs pay shorts, so the carry is short.
  // Each side is its own trade: short only collects the positive extremes and sits out the rest.
  if (apr > enter && sides !== 'long') strategy.target(-1);
  else if (apr < -enter && sides !== 'short') strategy.target(1);
  else if (Math.abs(apr) < leave) strategy.target(0);
  rate.set(apr, apr > 0 ? color.down : color.up);
});