Delta turnaround 15m

script "Delta Turnaround 15m"

// Failed breakouts on the 15 minute chart, confirmed by volume delta. After
// the idea of "Delta Turnaround Optimized 15m" by Coach NecoKronos on the original platform,
// whose code is closed: this is a reconstruction from the signals it shows,
// not the original.
//
// A bar pokes beyond the high (or low) of the bars before it and closes
// back inside: the breakout failed. The bar has to reject that extreme with
// a wick, close in the turnaround's direction, carry normal volume, and its
// delta must not keep pushing the breakout. Then the script marks the bar
// and plans a trade from its close:
//
//   entry = close of the signal bar
//   stop  = entry -/+ 4 x ATR(14)          (Wilder ATR)
//   target = entry +/- 3 x the stop distance (3R)
//
// The entry, stop and target lines run until price reaches the stop or the
// target, or the next signal replaces the trade. Made for BTC on Binance
// futures at 15m like the original; other charts still run, with a note in
// the legend.

input (
  input.tab(title: "Settings")
  input.section(title: "Breakout")
  lookback = input.int(5, title: "Breakout lookback (bars)", min: 2, max: 50, description: "The bar must poke beyond the highest high (short) or lowest low (long) of this many bars before it and close back inside.")
  minPoke = input.float(0.14, title: "Poke beyond the extreme (ATR)", min: 0.0, max: 5.0, description: "How far the wick must reach past the old extreme, in ATRs.")
  minWick = input.float(0.39, title: "Rejection wick (ATR)", min: 0.0, max: 5.0, description: "The wick on the breakout side, in ATRs.")
  minBody = input.float(0.03, title: "Close in turnaround direction (ATR)", min: -1.0, max: 5.0, description: "The body must point the way of the trade by at least this much: a red bar for shorts, a green bar for longs.")
  input.section(title: "Delta and volume")
  maxPush = input.float(0.065, title: "Delta still pushing (share of volume)", min: 0.0, max: 1.0, description: "The bar's delta may lean towards the breakout by at most this share of its volume. 0.065 = up to 6.5 % net buying on a short signal.")
  minVolume = input.float(0.63, title: "Volume (x 20-bar average)", min: 0.0, max: 10.0, description: "The bar's volume against the average of the 20 bars before it.")
  input.section(title: "Trade")
  atrLen = input.int(14, title: "ATR length", min: 1, max: 200)
  stopAtr = input.float(4.0, title: "Stop (ATR)", min: 0.1, max: 20.0)
  reward = input.float(3.0, title: "Target (R)", min: 0.1, max: 20.0)
  showTrade = input.bool(true, title: "Show entry, stop and target")
  longColor = input.color(#00e676, title: "Long")
  shortColor = input.color(#ff1744, title: "Short")
  input.tab(title: "About")
  input.section(title: "What it does", description: "Marks failed breakouts on 15 minute BTC charts: a bar runs past the recent high or low, gets rejected and closes back inside while its volume delta stops pushing. A green dot under the bar is a long, a red dot over it a short.")
  input.section(title: "The trade", description: "Entry is the close of the signal bar. The stop sits 4 ATR away, the target 3 times the stop distance. The lines end where price reaches one of them or where the next signal replaces the trade.")
  input.section(title: "Signal rules", description: "Tuned for 15 minute BTC charts. Signals depend on the breakout lookback, rejection wick, volume and delta thresholds; entry, stop and target follow the rules described above.")
)

data chart = subscribe(data.ohlcv)

type Signal {
  side: string
  entry: float
  stop: float
  target: float
}

state (
  prevHigh: float? = null
  prevLow: float? = null
  prevAvgVol: float? = null
  // The trade being drawn: 1 long, -1 short, 0 none.
  dir = 0
  entry = 0.0
  stop = 0.0
  target = 0.0
  since: time? = null
  nextId = 0
  dots = entities.markerPool(max: 500)
  lines = entities.linePool(max: 1500)
)

alert longSignal = alert(title: "Delta Turnaround long", onClose: true, payload: Signal)
alert shortSignal = alert(title: "Delta Turnaround short", onClose: true, payload: Signal)

// Draws (or finishes) the current trade's three lines up to `t`.
fn drawTrade(t: time, open: bool) {
  if !showTrade || since == null {
    return
  }
  let start = since ?? t
  lines.get(nextId * 3).set(start, entry, t, entry, width: 1.0, color: #ffffffb0, style: linestyle.dashed, text: str.format("Entry {0:.1}", entry))
  lines.get(nextId * 3 + 1).set(start, stop, t, stop, width: 1.0, color: #ff5252, text: str.format("SL {0:.1}", stop))
  lines.get(nextId * 3 + 2).set(start, target, t, target, width: 1.0, color: #26a69a, text: str.format("TP {0:.1}", target))
  if !open {
    dir = 0
  }
}

on chart.close {
  let o = chart.open
  let h = chart.high
  let l = chart.low
  let c = chart.close
  let t = chart.time
  let v = chart.volume
  let buy = chart.buyVolume
  let sell = chart.sellVolume
  // Stateful helpers run on every bar.
  let atr = chart.atr(atrLen)
  let hiNow = ta.highest(chart.high, lookback)
  let loNow = ta.lowest(chart.low, lookback)
  let avgNow = ta.sma(chart.volume, 20)
  let ph = prevHigh
  let pl = prevLow
  let avg = prevAvgVol
  prevHigh = hiNow
  prevLow = loNow
  prevAvgVol = avgNow
  if o == null || h == null || l == null || c == null || t == null || v == null || atr == null || atr <= 0.0 {
    return
  }

  // 1. The open trade: stop or target reached on this bar ends it.
  if dir != 0 {
    let stopped = dir > 0 ? l <= stop : h >= stop
    let reached = dir > 0 ? h >= target : l <= target
    if stopped || reached {
      drawTrade(t, false)
    } else {
      drawTrade(t, true)
    }
  }

  if ph == null || pl == null || avg == null || avg <= 0.0 {
    return
  }
  let delta = (buy ?? 0.0) - (sell ?? 0.0)
  let push = v > 0.0 ? delta / v : 0.0
  let volOk = v >= avg * minVolume

  // 2. Failed breakout above: short. Below: long.
  let shortShape = h > ph && c < ph && (h - ph) >= minPoke * atr
  let shortCandle = (h - math.max(o, c)) >= minWick * atr && (o - c) >= minBody * atr
  let shortSig = shortShape && shortCandle && push <= maxPush && volOk
  let longShape = l < pl && c > pl && (pl - l) >= minPoke * atr
  let longCandle = (math.min(o, c) - l) >= minWick * atr && (c - o) >= minBody * atr
  let longSig = !shortSig && longShape && longCandle && -push <= maxPush && volOk

  if shortSig || longSig {
    // A new signal replaces the trade on the chart.
    if dir != 0 {
      drawTrade(t, false)
    }
    nextId += 1
    dir = longSig ? 1 : -1
    let sign = longSig ? 1.0 : -1.0
    entry = c
    stop = c - sign * stopAtr * atr
    target = c + sign * stopAtr * atr * reward
    since = t
    if longSig {
      dots.get(nextId).set(t, l - 0.3 * atr, shape: shape.circle, color: longColor, size: 6.0)
      longSignal.trigger(Signal { side: "long", entry: entry, stop: stop, target: target })
    } else {
      dots.get(nextId).set(t, h + 0.3 * atr, shape: shape.circle, color: shortColor, size: 6.0)
      shortSignal.trigger(Signal { side: "short", entry: entry, stop: stop, target: target })
    }
    drawTrade(t, true)
  }
}

on chart.update {
  // The legend: the market note, and the trade in play.
  let tfOk = time.tfSeconds(context.timeframe) == 900
  let marketOk = context.exchange == "binancef" && context.base == "BTC"
  let note = tfOk && marketOk ? "" : " · made for BTC Binance futures 15m"
  let trade = dir > 0 ? str.format(" · long {0:.1}", entry) : dir < 0 ? str.format(" · short {0:.1}", entry) : ""
  script.setTitle(str.format("Delta Turnaround 15m{0}{1}", trade, note))
}