IB Mean Reversion Fade

// Strategy #1: IB Mean Reversion Fade
// Win Rate: 85-90% | Profit Factor: 2.0-3.0 | R:R: 2:1
// Instrument: NQ/MNQ/ES Futures | Timeframe: 5-min (entries), uses 60-min IB
//@version=6
strategy("IB Mean Reversion Fade [v6]", overlay=true, calc_on_every_tick=false,
     process_orders_on_close=false, max_bars_back=5000,
     initial_capital=100000, commission_type=strategy.commission.cash_per_contract,
     commission_value=2.50, slippage=1)

// ─── INPUTS ──────────────────────────────────────────────────────────────────
// IB Settings
i_ibStartHour   = input.int(9,  "IB Start Hour (ET)",  minval=0, maxval=23, group="IB Settings")
i_ibStartMin    = input.int(30, "IB Start Minute (ET)", minval=0, maxval=59, group="IB Settings")
i_ibEndHour     = input.int(10, "IB End Hour (ET)",    minval=0, maxval=23, group="IB Settings")
i_ibEndMin      = input.int(30, "IB End Minute (ET)",  minval=0, maxval=59, group="IB Settings")
i_ibAvgLen      = input.int(20, "IB Avg Lookback (days)", minval=5, maxval=50, group="IB Settings")
i_narrowPct     = input.float(0.70, "Narrow IB Threshold (% of avg)", minval=0.3, maxval=1.0, step=0.05, group="IB Settings")
i_widePct       = input.float(1.30, "Wide IB Threshold (% of avg)",   minval=1.0, maxval=3.0, step=0.05, group="IB Settings")

// Day-Type Filters
i_skipNarrow    = input.bool(true, "Skip Narrow IB Days", group="Day-Type Filters")
i_skipTrend     = input.bool(true, "Skip Trend Day signals", group="Day-Type Filters")

// Entry Logic
i_extMin        = input.float(0.5, "Extension Min (x IB Range)",  minval=0.1, maxval=2.0, step=0.1, group="Entry Logic")
i_extMax        = input.float(1.0, "Extension Max (x IB Range)",  minval=0.1, maxval=3.0, step=0.1, group="Entry Logic")
i_maType        = input.string("EMA", "MA Type", options=["EMA","SMA","VWMA"], group="Entry Logic")
i_maLen         = input.int(50, "MA Length", minval=5, maxval=200, group="Entry Logic")
i_volMult       = input.float(1.2, "Volume Confirm Multiplier", minval=1.0, maxval=3.0, step=0.1, group="Entry Logic")
i_volLen        = input.int(20, "Volume Avg Length", minval=5, maxval=50, group="Entry Logic")

// Exit / Risk Management
i_tpTarget      = input.string("IB Midpoint", "Take Profit Target", options=["IB Midpoint","IB Opposite"], group="Exit/Risk Management")
i_slMult        = input.float(0.5, "Stop Loss (x IB Range)", minval=0.1, maxval=2.0, step=0.1, group="Exit/Risk Management")
i_eodHour       = input.int(15, "EOD Exit Hour (ET)",   minval=12, maxval=22, group="Exit/Risk Management")
i_eodMin        = input.int(45, "EOD Exit Minute (ET)", minval=0,  maxval=59, group="Exit/Risk Management")
i_maxDailyLoss  = input.float(500.0, "Max Daily Loss ($)", minval=0, group="Exit/Risk Management")

// Visual Settings
i_showBox       = input.bool(true,  "Show IB Box",       group="Visual Settings")
i_showExtLines  = input.bool(true,  "Show Extension Lines", group="Visual Settings")
i_showDash      = input.bool(true,  "Show Dashboard",    group="Visual Settings")
i_ibBoxColor    = input.color(color.new(color.blue,  80), "IB Box Color",       group="Visual Settings")
i_extLineColor  = input.color(color.new(color.orange, 0), "Extension Line Color", group="Visual Settings")

// ─── MA CALCULATION ───────────────────────────────────────────────────────────
float maValue = switch i_maType
    "SMA"  => ta.sma(close, i_maLen)
    "VWMA" => ta.vwma(close, i_maLen)
    =>         ta.ema(close, i_maLen)

float volAvg = ta.sma(volume, i_volLen)

// ─── TIMEZONE HELPERS ─────────────────────────────────────────────────────────
int   etHour  = hour(time, "America/New_York")
int   etMin   = minute(time, "America/New_York")
bool  isNewDay = ta.change(time("D")) != 0

// ─── IB TRACKING (var = persistent) ──────────────────────────────────────────
var float ibHigh      = na
var float ibLow       = na
var bool  ibComplete  = false
var float ibRange     = na
var float ibMidpoint  = na
var string ibClass    = "Unknown"

// IB range history array (stores one value per completed day)
var array<float> ibRangeHistory = array.new_float(0)

// Drawing handles
var box   ibBox       = na
var line  extHighLine = na
var line  extLowLine  = na

// Trade tracking
var int   dayTrades   = 0
var float dayPnL      = 0.0
var bool  longFired   = false
var bool  shortFired  = false

// ─── NEW DAY RESET ────────────────────────────────────────────────────────────
if isNewDay
    // Save completed IB range to history
    if not na(ibRange) and ibRange > 0.0
        array.push(ibRangeHistory, ibRange)
        if array.size(ibRangeHistory) > i_ibAvgLen
            array.shift(ibRangeHistory)
    ibHigh     := na
    ibLow      := na
    ibComplete := false
    ibRange    := na
    ibMidpoint := na
    ibClass    := "Unknown"
    dayTrades  := 0
    dayPnL     := 0.0
    longFired  := false
    shortFired := false
    // Delete old drawings
    if not na(ibBox)
        box.delete(ibBox)
        ibBox := na
    if not na(extHighLine)
        line.delete(extHighLine)
        extHighLine := na
    if not na(extLowLine)
        line.delete(extLowLine)
        extLowLine := na

// ─── IB FORMATION (9:30–10:30 ET) ────────────────────────────────────────────
bool inIBWindow = (etHour == i_ibStartHour and etMin >= i_ibStartMin) or
     (etHour > i_ibStartHour and etHour < i_ibEndHour) or
     (etHour == i_ibEndHour and etMin < i_ibEndMin)

if inIBWindow and not ibComplete
    ibHigh := na(ibHigh) ? high : math.max(ibHigh, high)
    ibLow  := na(ibLow)  ? low  : math.min(ibLow,  low)

// Detect IB completion (first bar after IB window)
bool ibJustComplete = not ibComplete and
     (etHour > i_ibEndHour or (etHour == i_ibEndHour and etMin >= i_ibEndMin)) and
     not na(ibHigh) and not na(ibLow)

if ibJustComplete
    ibComplete := true
    ibRange    := ibHigh - ibLow
    ibMidpoint := (ibHigh + ibLow) / 2.0
    // Classify IB
    float avgRange = array.size(ibRangeHistory) > 0 ? array.avg(ibRangeHistory) : na
    if not na(avgRange) and avgRange > 0.0
        float pct = ibRange / avgRange
        ibClass := pct < i_narrowPct ? "Narrow" : pct > i_widePct ? "Wide" : "Normal"
    else
        ibClass := "Normal"
    // Draw IB box
    if i_showBox
        ibBox := box.new(bar_index - 1, ibHigh, bar_index, ibLow,
             border_color=color.new(color.blue, 0), bgcolor=i_ibBoxColor)
    // Draw extension lines
    if i_showExtLines and ibRange > 0.0
        float extH = ibHigh + i_extMax * ibRange
        float extL = ibLow  - i_extMax * ibRange
        extHighLine := line.new(bar_index, extH, bar_index + 100, extH,
             color=i_extLineColor, style=line.style_dashed, width=1)
        extLowLine  := line.new(bar_index, extL, bar_index + 100, extL,
             color=i_extLineColor, style=line.style_dashed, width=1)

// Extend IB box right edge each bar
if i_showBox and not na(ibBox) and ibComplete
    box.set_right(ibBox, bar_index)

// ─── SESSION FILTER ───────────────────────────────────────────────────────────
bool inRTH    = (etHour > i_ibEndHour or (etHour == i_ibEndHour and etMin >= i_ibEndMin)) and
     (etHour < i_eodHour or (etHour == i_eodHour and etMin < i_eodMin))
bool isEOD    = etHour == i_eodHour and etMin >= i_eodMin

// ─── EOD EXIT ─────────────────────────────────────────────────────────────────
if isEOD and strategy.position_size != 0
    strategy.close_all(comment="EOD Exit")

// ─── ENTRY LOGIC ─────────────────────────────────────────────────────────────
bool skipDay = (i_skipNarrow and ibClass == "Narrow") or
               (i_skipTrend  and ibClass == "Wide")

if ibComplete and inRTH and not skipDay and not na(ibRange) and ibRange > 0.0
    float extHigh = ibHigh + i_extMin * ibRange
    float extLow  = ibLow  - i_extMin * ibRange

    // Volume confirmation
    bool volOk = volume > (i_volMult * volAvg)

    // LONG: price extended below IB, now crossing back through ibLow
    bool longCond = close[1] < extLow and close > extLow and
                    close > maValue and volOk and not longFired and
                    dayPnL > -i_maxDailyLoss

    // SHORT: price extended above IB, now crossing back through ibHigh
    bool shortCond = close[1] > extHigh and close < extHigh and
                     close < maValue and volOk and not shortFired and
                     dayPnL > -i_maxDailyLoss

    float sl = i_slMult * ibRange
    float tp = na(ibMidpoint) ? na : math.abs(close - ibMidpoint)

    if longCond and not na(ibMidpoint)
        float stopPrice   = close - sl
        float targetPrice = i_tpTarget == "IB Midpoint" ? ibMidpoint : ibHigh
        strategy.entry("IB Long", strategy.long)
        strategy.exit("IB Long Exit", "IB Long",
             stop=stopPrice, limit=targetPrice, comment="IB Long TP/SL")
        longFired  := true
        dayTrades  += 1

    if shortCond and not na(ibMidpoint)
        float stopPrice   = close + sl
        float targetPrice = i_tpTarget == "IB Midpoint" ? ibMidpoint : ibLow
        strategy.entry("IB Short", strategy.short)
        strategy.exit("IB Short Exit", "IB Short",
             stop=stopPrice, limit=targetPrice, comment="IB Short TP/SL")
        shortFired := true
        dayTrades  += 1

// ─── TRACK DAILY P&L ─────────────────────────────────────────────────────────
dayPnL := strategy.netprofit - nz(strategy.netprofit[1], strategy.netprofit)

// ─── DASHBOARD ────────────────────────────────────────────────────────────────
var table dash = table.new(position.top_right, 2, 10,
     border_color=color.gray, border_width=1,
     bgcolor=color.new(color.black, 85))

if i_showDash and barstate.islast
    table.cell(dash, 0, 0, "IB MEAN REVERSION", text_color=color.white, text_size=size.small, bgcolor=color.new(color.blue, 60))
    table.cell(dash, 1, 0, "", bgcolor=color.new(color.blue, 60))
    table.cell(dash, 0, 1, "IB High",   text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 1, na(ibHigh) ? "—" : str.tostring(ibHigh, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 2, "IB Low",    text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 2, na(ibLow) ? "—" : str.tostring(ibLow, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 3, "IB Range",  text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 3, na(ibRange) ? "—" : str.tostring(ibRange, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 4, "IB Class",  text_color=color.silver, text_size=size.small)
    color classColor = ibClass == "Narrow" ? color.red : ibClass == "Wide" ? color.orange : color.green
    table.cell(dash, 1, 4, ibClass, text_color=classColor, text_size=size.small)
    table.cell(dash, 0, 5, "IB Status", text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 5, ibComplete ? "Complete" : "Forming", text_color=ibComplete ? color.green : color.yellow, text_size=size.small)
    table.cell(dash, 0, 6, "Day Trades", text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 6, str.tostring(dayTrades), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 7, "Day P&L",   text_color=color.silver, text_size=size.small)
    color pnlColor = dayPnL >= 0 ? color.green : color.red
    table.cell(dash, 1, 7, str.tostring(math.round(dayPnL, 2), "#.##"), text_color=pnlColor, text_size=size.small)
    table.cell(dash, 0, 8, "MA Filter",  text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 8, na(maValue) ? "—" : str.tostring(maValue, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 9, "Skip Day",   text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 9, skipDay ? "YES" : "No", text_color=skipDay ? color.red : color.green, text_size=size.small)

// ─── PLOTS ────────────────────────────────────────────────────────────────────
plot(ibComplete and not na(ibHigh) ? ibHigh : na,      "IB High",     color=color.new(color.blue, 0),   linewidth=2, style=plot.style_linebr)
plot(ibComplete and not na(ibLow)  ? ibLow  : na,      "IB Low",      color=color.new(color.blue, 0),   linewidth=2, style=plot.style_linebr)
plot(ibComplete and not na(ibMidpoint) ? ibMidpoint : na, "IB Mid",   color=color.new(color.purple, 0), linewidth=1, style=plot.style_linebr)
plot(maValue, "MA Filter", color=color.new(color.yellow, 0), linewidth=1)

// ─── ALERTS ───────────────────────────────────────────────────────────────────
alertcondition(ibJustComplete,                         "IB Complete",   "IB formation complete. IB High: {{plot_0}} IB Low: {{plot_1}}")
alertcondition(strategy.position_size > 0 and strategy.position_size[1] <= 0, "IB Long Entry",  "IB Mean Reversion LONG entry fired")
alertcondition(strategy.position_size < 0 and strategy.position_size[1] >= 0, "IB Short Entry", "IB Mean Reversion SHORT entry fired")
alertcondition(isEOD and strategy.position_size != 0,  "EOD Exit",      "EOD exit triggered — flattening position")