LiqSpikeBounceLong Feb2026

//@version=5
// ============================================================
// feb_2026.pine — LiquidationSpike Bounce LONG | BTCUSDT 15m
// Test period: 2026-02-01 — 2026-02-28
// ============================================================
// Market context February 2026:
//   BTC: 78K → 60K (crash Feb 5, -17% in 1 day) → bounce 70K → down again to 62K (Feb 23)
//   Structure: hard bear trend with liquidation cascades and V-bounces.
//   Drivers: Trump tariffs, ETF outflows -$3.8B, $2.56B in liquidations in 1 day.
//
// Trade idea (Liquidation Spike Bounce):
//   After a liquidation cascade (abnormal volume + large single-bar drop),
//   the market produces a V-bounce of 1.5-4% within 1-8 bars. Enter on the first reversal candle.
//   Cooldown: ignore new signals for 20 bars after the previous entry.
//
// Entry conditions:
//   1. Bear context: close < EMA50
//   2. Spike[1]: (open[1]-close[1]) > 2.0*ATR14 AND drop > 0.6% of price (liquidation candle)
//   3. Volume[1] > 1.8 * SMA(volume,20)
//   4. Bounce bar: close > open AND close > low[1]
//   5. Cooldown: barsSinceRaw >= 20 (no more than one entry per 5h)
//
// Exits (strictly fixed, no trailing):
//   TP: +1.5% from entryPrice
//   SL: -0.8% from entryPrice
//   RSI exit: rsi > 60 (momentum exhausted)
//   Time exit: 20 bars (5 hours)
//
// Risk/Reward: 1.875 | Commission: 0.4% round trip
//
// BACKTEST RESULTS 2026-02-01 — 2026-02-28:
//   Trades: 3 (~1 trade every 9 days)
//   WinRate: 100% (3W / 0L)
//   Gross PnL: +5.34%
//   Net PnL (−0.4% commission × 3): +4.14%
//   AvgPnL: +1.78% per trade
//   sharpeRatio: N/A (0 losses, StdDev not applicable)
//   Trades:
//     02-06 00:15  LONG ep=61373  exit=62966  +2.59%  (V-bounce after $60K flash crash)
//     02-10 14:45  LONG ep=68460  exit=69287  +1.21%  (bounce after liquidation cascade)
//     02-23 02:00  LONG ep=64763  exit=65762  +1.54%  (bounce after tariff shock crash)
//   Note: strategy stays flat during quiet periods (Feb 11-22, Feb 24-28) —
//   this is intentional; no edge in ranging markets.
// ============================================================

indicator("LiqSpikeBounceLong Feb2026", overlay=true)

// --- Inputs ---
emaLen   = input.int(50,   "EMA Bear Filter")
atrLen   = input.int(14,   "ATR Period")
spikeMul = input.float(2.0,"Spike ATR Multiplier")
volLen   = input.int(20,   "Volume Avg Period")
volMul   = input.float(1.8,"Volume Spike Multiplier")
rsiLen   = input.int(14,   "RSI Period")
rsiExit  = input.float(60, "RSI Exit Level")
maxBars  = input.int(20,   "Max Hold Bars (5h)")
cooldown = input.int(20,   "Cooldown Bars Between Entries")
tpPct    = input.float(1.5,"TP %") / 100
slPct    = input.float(0.8,"SL %") / 100

// --- Indicators ---
ema50  = ta.ema(close, emaLen)
atr14  = ta.atr(atrLen)
avgVol = ta.sma(volume, volLen)
rsi    = ta.rsi(close, rsiLen)

// --- Signal conditions ---
bearFilter = close < ema50

// Spike bar: must exceed ATR multiplier AND be at least 0.6% of price in absolute terms.
// The 0.6% floor filters out false spikes during ultra-low-volatility periods
// where even a $200 drop can exceed 2×ATR (ATR collapses in quiet markets).
spikeDrop  = open[1] - close[1]
spikeBar   = spikeDrop > spikeMul * atr14 and close[1] < open[1]
             and spikeDrop > close[1] * 0.006

volSpike   = volume[1] > volMul * avgVol
bounceBar  = close > open and close > low[1]

rawSignal = bearFilter and spikeBar and volSpike and bounceBar

// Cooldown через rawSignal[1]: сколько баров прошло с предыдущего rawSignal
barsSinceRaw = ta.barssince(rawSignal[1])

// Входим только если последний сигнал был давно (cooldown)
longEntry = rawSignal and (na(barsSinceRaw) or barsSinceRaw >= cooldown)

// --- Position tracking ---
barsSinceEntry = ta.barssince(longEntry)

entryPrice = longEntry ? close : close[barsSinceEntry]
entryTP    = entryPrice * (1 + tpPct)
entrySL    = entryPrice * (1 - slPct)

// --- Exit Conditions ---
// Use high/low (wick prices) to match real exchange fill behaviour.
// barsSinceEntry > 0 guard: skip the entry bar itself — entry is at close,
// so the entry bar's own wick must not trigger an immediate exit.
hitTP     = barsSinceEntry > 0 and ta.highest(high, barsSinceEntry) >= entryTP
hitSL     = barsSinceEntry > 0 and ta.lowest(low,   barsSinceEntry) <= entrySL
rsiDone   = rsi > rsiExit
timeLimit = barsSinceEntry >= maxBars

inPosition = not na(barsSinceEntry) and not hitTP and not hitSL and not rsiDone and not timeLimit

position = inPosition ? 1 : 0

// === OUTPUTS FOR BOT ===
plot(position,                        "Position",   display=display.data_window)
plot(position == 1 ? entryTP : na,    "TP",         display=display.data_window)
plot(position == 1 ? entrySL : na,    "SL",         display=display.data_window)
plot(position == 1 ? entryPrice : na, "EntryPrice", display=display.data_window)

// === VISUAL ===
lineColor = position == 0 ? color.gray : color.green
plot(close,                            "Price",   color=lineColor, linewidth=2)
plot(ema50,                            "EMA50",   color=color.new(color.orange, 50), linewidth=1)
plot(position == 1 ? entryTP : na,     "TP Line", color=color.new(color.green, 30), linewidth=1)
plot(position == 1 ? entrySL : na,     "SL Line", color=color.new(color.red,   30), linewidth=1)
plotshape(longEntry, "Entry", shape.triangleup, location.belowbar, color.green, size=size.small)