ORB Twisted M

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © goodgains


//@version=5
strategy("ORB_twisted_m_v3", overlay = true, default_qty_type = strategy.fixed, default_qty_value = 3, initial_capital = 1000000, calc_on_order_fills = true)

// @keywords: opening-range-breakout, orb-high, orb-low, orb-midpoint, range-extension, profit-target, trailing-stop, long-entry, short-entry, one-trade-per-side, stop-loss, session-filter, opening-range-size, extension-targets, close-at-time, colored-candles, range-breakout, range-breakdown, stepline-levels, intraday-strategy

// inputs
_orb_session        = input.session('0930-0945', title = 'ORB Session (EST)')
_trade_session      = input.session('0945-1400', title = 'Trade Session (EST)') 
_tp_amount1         = input.float(0.50, title = 'Extension 1 of Opening Range', minval = 0.00)    
_tp_amount2         = input.float(1.00, title = 'Extension 2 of Opening Range', minval = 0.00)
_sl_type            = input.string('On Close', title = 'Stop Loss Type', options = ['On Close', 'On Touch'])
_tp3_length         = input.int(3, title = 'Trail Exit Line Length')
_tp3_type           = input.string('On Close', title = 'Trail Exit Type', options = ['On Close', 'On Touch'])
_close_at_time      = input.bool(true, title = 'Close All Trades at 4pm (EST)')
_only_one_side      = input.bool(true, title = 'Only 1 Long & 1 Short Per Day')
_color_candles      = input.bool(false, title = 'Color Candles')

if _tp_amount2 < _tp_amount1
    runtime.error("TP Amount 2 cannot be less than TP Amount 1")


// calculate orb
or_session = time(timeframe.period, str.format('{0}:1234567', _orb_session), 'America/New_York')
var or_high = 0.0
var or_low = 0.0
var or_mid = 0.0
var days_open = 0.0

var float orh_ext1 = 0.00
var float orh_ext2 = 0.00

var float orl_ext1 = 0.00
var float orl_ext2 = 0.00

var float or_size  = 0.00
var float tp1_amount = 0.00
var float tp2_amount = 0.00

if or_session
    if not or_session[1]
        or_low := low
        or_high := high
        days_open := open
        or_size := math.round_to_mintick(or_high - or_low)
        tp1_amount := or_size * _tp_amount1
        tp2_amount := or_size * _tp_amount2
    else 
        or_low := math.min(low, or_low)
        or_high := math.max(high, or_high)
        or_size := math.round_to_mintick(or_high - or_low)
        tp1_amount := or_size * _tp_amount1
        tp2_amount := or_size * _tp_amount2
else if dayofweek != dayofweek[1]
    or_low := na
    or_high := na
    days_open := na
    or_size := na
    tp1_amount := na
    tp2_amount := na







// calculate ma
high_ma_value = ta.sma(high, _tp3_length)
low_ma_value = ta.sma(low, _tp3_length)




// create trade signals / manage trades
var bool time_to_trade  = na
var bool orh_break      = na
var bool orl_break      = na

var bool orh_ext1_break = na
var bool orl_ext1_break = na
var bool orh_ext2_break = na
var bool orl_ext2_break = na

var bool moved_to_breakeven = na
var bool start_trail_stop   = na

var float long_stop         = na
var float short_stop        = na

var bool can_long       = na
var bool can_short      = na


can_long := not _only_one_side ? true : or_session ? true : strategy.position_size > 0 ? false : can_long[1]
can_short := not _only_one_side ? true : or_session ? true : strategy.position_size < 0 ? false : can_short[1]


time_to_trade := time(timeframe.period, str.format('{0}:1234567', _trade_session), 'America/New_York')
orh_break := time_to_trade and can_long and ta.crossover(close, or_high)
orl_break := time_to_trade and can_short and ta.crossunder(close, or_low)
new_position = (strategy.position_size > 0 and strategy.position_size[1] <= 0) or (strategy.position_size < 0 and strategy.position_size[1] >= 0)


orh_ext1 :=  strategy.position_size > 0 ? math.round_to_mintick(strategy.position_avg_price + tp1_amount) : strategy.position_size > 0 ? orh_ext1[1] : na
orh_ext2 :=  strategy.position_size > 0 ? math.round_to_mintick(strategy.position_avg_price + tp2_amount) : strategy.position_size > 0 ? orh_ext2[1] : na

orl_ext1 :=  strategy.position_size < 0 ? math.round_to_mintick(strategy.position_avg_price - tp1_amount) : strategy.position_size < 0 ? orl_ext1[1] : na
orl_ext2 :=  strategy.position_size < 0 ? math.round_to_mintick(strategy.position_avg_price - tp2_amount) : strategy.position_size < 0 ? orl_ext2[1] : na


// plot(orl_ext1, color = color.yellow, style=plot.style_circles)
// barcolor(new_position and strategy.position_size > 0 ? color.yellow : na)
// barcolor(strategy.position_size > 0 ? color.lime : strategy.position_size < 0 ? color.rgb(255, 0, 0) : na)
// plot(orh_ext1, color = color.orange, style= plot.style_line)
// bgcolor(na(tp1_amount) ? color.orange : na)

orh_ext1_break := ta.crossover(high, orh_ext1)
orl_ext1_break := ta.crossunder(low, orl_ext1)
orh_ext2_break := ta.crossover(high, orh_ext2)
orl_ext2_break := ta.crossunder(low, orl_ext2)


moved_to_breakeven := new_position ? false 
 : strategy.position_size > 0 and (high >= orh_ext1 or orh_ext1_break) ? true
 : strategy.position_size < 0 and (low <= orl_ext1 or orl_ext1_break) ? true
 : moved_to_breakeven[1]

start_trail_stop := new_position ? false
 : strategy.position_size > 0 and (high >= orh_ext2 or orh_ext2_break) ? true
 : strategy.position_size < 0 and (low <= orl_ext2 or orl_ext2_break) ? true
 : start_trail_stop[1]

long_stop := not (strategy.position_size > 0) ? na
 : start_trail_stop ? (_tp3_type == 'On Close' ? strategy.position_avg_price : low_ma_value)
 : moved_to_breakeven ? strategy.position_avg_price
 : or_low
short_stop := not (strategy.position_size < 0) ? na
 : start_trail_stop ? (_tp3_type == 'On Close' ? strategy.position_avg_price : high_ma_value)
 : moved_to_breakeven ? strategy.position_avg_price
 : or_high



var bool long_stop_hit = na
var bool short_stop_hit = na
long_stop_hit := new_position ? na
  : strategy.position_size > 0 and _sl_type == 'On Close' and close < long_stop and barstate.isconfirmed ? true
  : false
short_stop_hit := new_position ? na
  : strategy.position_size < 0 and _sl_type == 'On Close' and close > short_stop and barstate.isconfirmed ? true
  : false


var bool long_trail_hit = na
var bool short_trail_hit = na
long_trail_hit := new_position ? na
  : strategy.position_size > 0 and start_trail_stop and _tp3_type == 'On Close'and close < low_ma_value and barstate.isconfirmed ? true
  : false
short_trail_hit := new_position ? na
  : strategy.position_size < 0 and start_trail_stop and _tp3_type == 'On Close' and close > high_ma_value and barstate.isconfirmed ? true
  : false



// send orders
if orh_break
    strategy.entry("LE", strategy.long, comment = 'LE')
if orl_break
    strategy.entry("SS_E", strategy.short, comment = 'SS_E')

if strategy.position_size > 0
    strategy.exit('L_TP1', 'LE', qty = strategy.position_size / 3, limit = orh_ext1, stop =  _sl_type == 'On Touch' ? long_stop : na, comment_profit = 'L_TP1', comment_loss = 'L_SL1')
    strategy.exit('L_TP2', 'LE', qty = strategy.position_size / 2, limit = orh_ext2, stop = _sl_type == 'On Touch' ? long_stop : na, comment_profit = 'L_TP2', comment_loss = 'L_SL2')
    strategy.exit('L_TP3', 'LE', qty = strategy.position_size, limit = na, stop = _sl_type == 'On Touch' ? long_stop : na, comment_profit = 'L_TP3', comment_loss = 'L_SL3')
else if strategy.position_size < 0
    strategy.exit('SS_TP1', 'SS_E', qty = strategy.position_size / 3, limit = orl_ext1, stop = _sl_type == 'On Touch' ? short_stop : na, comment_profit = 'SS_TP1', comment_loss = 'SS_SL1')
    strategy.exit('SS_TP2', 'SS_E', qty = strategy.position_size / 2, limit = orl_ext2, stop = _sl_type == 'On Touch' ? short_stop : na, comment_profit = 'SS_TP2', comment_loss = 'SS_SL2')
    strategy.exit('SS_TP3', 'SS_E', qty = strategy.position_size , limit = na, stop = _sl_type == 'On Touch' ? short_stop : na, comment_profit = 'SS_TP3', comment_loss = 'SS_SL3')

if long_trail_hit
    strategy.close('LE', 'L_TS', immediately = true)
if short_trail_hit
    strategy.close('SS_E', 'SS_TS', immediately = true)

if long_stop_hit
    strategy.close('LE', 'L_SL', immediately = true)
if short_stop_hit
    strategy.close('SS_E', 'SS_SL', immediately = true)


// visualize trade
entry_plot = plot(strategy.position_avg_price, title = 'Entry', color = color.blue, style = plot.style_circles)
lstop_plot = plot(long_stop, title = 'Long Stop', color = color.fuchsia, style = plot.style_circles)
ssstop_plot = plot(short_stop, title = 'Short Stop', color = color.fuchsia, style = plot.style_circles)



// visualize orb
or_high_plot = plot(not or_session ? or_high : na, title='ORH', 
 color=color.new(color.white, 70), linewidth=2, style=plot.style_linebr, offset = 0)
or_low_plot = plot(not or_session ? or_low : na, title='ORL', 
 color=color.new(color.white, 70), linewidth=2, style=plot.style_linebr, offset = 0)
fill(or_high_plot, or_low_plot, title='OR Fill', color=color.new(color.silver, 95))

orh_ext1_plot = plot(strategy.position_size > 0 ? orh_ext1 : na, title='ORH TP 1', 
 color=color.new(color.maroon, 0) , linewidth=1, style=plot.style_circles, offset = 0)
orh_ext2_plot = plot(strategy.position_size > 0 ? orh_ext2 : na, title='ORH TP 2', 
 color=color.new(color.maroon, 0), linewidth=1, style=plot.style_circles, offset = 0)

orl_ext1_plot = plot(strategy.position_size < 0 ? orl_ext1 : na, title='ORL TP 1', 
 color=color.new(color.green, 0), linewidth=1, style=plot.style_circles, offset = 0)
orl_ext2_plot = plot(strategy.position_size < 0 ? orl_ext2 : na, title='ORL TP 2', 
 color=color.new(color.green, 0), linewidth=1, style=plot.style_circles, offset = 0)

plot(low_ma_value, title = 'Low MA', color = strategy.position_size > 0 and start_trail_stop ? color.new(color.fuchsia, 0) : color.new(color.red, 50), style = plot.style_steplinebr)
plot(high_ma_value, title = 'High MA', color = strategy.position_size < 0 and start_trail_stop ? color.new(color.fuchsia, 0) : color.new(color.green, 50), style = plot.style_steplinebr)




orb_color = not _color_candles ? na 
 : not or_session and na(or_high) ? color.gray
 : or_session ? color.white
 : close > or_high ? color.lime
 : close < or_low ? color.red 
 : color.yellow
barcolor(orb_color)



// display risk
var float long_tp1_dollar = 0.00
var float long_tp2_dollar = 0.00
var float long_sl_dollar = 0.00

long_tp1_dollar := not (strategy.position_size > 0) ? na 
 : new_position ? (orh_ext1 - strategy.position_avg_price) * syminfo.pointvalue * math.floor(strategy.position_size / 3)
 : long_tp1_dollar[1]

long_tp2_dollar := not (strategy.position_size > 0) ? na 
 : new_position ? (orh_ext2 - strategy.position_avg_price) * syminfo.pointvalue * math.floor(strategy.position_size / 3)
 : long_tp2_dollar[1]

long_sl_dollar := not (strategy.position_size > 0) ? na 
 : (long_stop - strategy.position_avg_price) * syminfo.pointvalue * strategy.position_size


var float short_tp1_dollar = 0.00
var float short_tp2_dollar = 0.00
var float short_sl_dollar = 0.00

short_tp1_dollar := not (strategy.position_size < 0) ? na 
 : new_position ? (orl_ext1 - strategy.position_avg_price) * syminfo.pointvalue * math.floor(strategy.position_size / 3)
 : short_tp1_dollar[1]

short_tp2_dollar := not (strategy.position_size < 0) ? na 
 : new_position ? (orl_ext2 - strategy.position_avg_price) * syminfo.pointvalue * math.floor(strategy.position_size / 3)
 : short_tp2_dollar[1]

short_sl_dollar := not (strategy.position_size < 0) ? na 
 : (short_stop - strategy.position_avg_price) * syminfo.pointvalue * strategy.position_size


var label long_tp1_label = na
var label long_tp2_label = na
var label long_sl_label = na

var label short_tp1_label = na
var label short_tp2_label = na
var label short_sl_label = na

if strategy.position_size > 0
    if new_position
        long_tp1_label := label.new(bar_index + 1, orh_ext1, text = "$"+str.tostring(long_tp1_dollar, format.mintick), color = color.rgb(43, 94, 45),
         style = label.style_label_left, textcolor = color.white)
        long_tp2_label := label.new(bar_index + 1, orh_ext2, text = "$"+str.tostring(long_tp2_dollar, format.mintick), color = color.rgb(43, 94, 45),
         style = label.style_label_left, textcolor = color.white)
        long_sl_label := label.new(bar_index + 1, long_stop, text = "$"+str.tostring(long_sl_dollar, format.mintick), color = color.rgb(172, 33, 33),
         style = label.style_label_left, textcolor = color.white)
    else
        label.set_x(long_tp1_label, bar_index+1)
        label.set_x(long_tp2_label, bar_index+1)
        label.set_xy(long_sl_label, bar_index+1, long_stop)
        label.set_text(long_sl_label, "$"+str.tostring(long_sl_dollar, format.mintick))
        label.set_color(long_sl_label, long_sl_dollar > 0 ? color.rgb(109, 170, 111) : color.rgb(172, 33, 33))

if strategy.position_size < 0
    if new_position
        short_tp1_label := label.new(bar_index + 1, orl_ext1, text = "$"+str.tostring(short_tp1_dollar, format.mintick), color = color.rgb(43, 94, 45),
         style = label.style_label_left, textcolor = color.white)
        short_tp2_label := label.new(bar_index + 1, orl_ext2, text = "$"+str.tostring(short_tp2_dollar, format.mintick), color = color.rgb(43, 94, 45),
         style = label.style_label_left, textcolor = color.white)
        short_sl_label := label.new(bar_index + 1, short_stop, text = "$"+str.tostring(short_sl_dollar, format.mintick), color = color.rgb(172, 33, 33),
         style = label.style_label_left, textcolor = color.white)
    else
        label.set_x(short_tp1_label, bar_index+1)
        label.set_x(short_tp2_label, bar_index+1)
        label.set_xy(short_sl_label, bar_index+1, short_stop)
        label.set_text(short_sl_label, "$"+str.tostring(short_sl_dollar, format.mintick))
        label.set_color(short_sl_label, short_sl_dollar > 0 ? color.rgb(109, 170, 111) : color.rgb(172, 33, 33))


if _close_at_time and time == timestamp("America/New_York", year, month, dayofmonth, 16, 0)       
    strategy.close_all('TX', immediately = true)


open_risk = strategy.position_size > 0 ? long_sl_dollar
 : strategy.position_size < 0 ? short_sl_dollar
 : na 
open_reward = strategy.position_size > 0 ? (moved_to_breakeven ? 0 : long_tp1_dollar) + (start_trail_stop ? 0 : long_tp2_dollar) + (start_trail_stop ? strategy.openprofit : long_tp2_dollar) 
 : strategy.position_size < 0 ? (moved_to_breakeven ? 0 : short_tp1_dollar) + (start_trail_stop ? 0 : short_tp2_dollar) + (start_trail_stop ? strategy.openprofit : short_tp2_dollar) 
 : na 



var t = table.new(position = position.bottom_right, columns = 1, rows = 4, bgcolor = color.black, border_width = 1)
if barstate.islast
    table.clear(t,0,0,0,3)

    if strategy.position_size != 0
        table.cell(t,0,0, text = 'Entry ' + str.tostring(strategy.position_size) + ' @ ' + str.tostring(strategy.position_avg_price), bgcolor = color.rgb(30, 91, 141), text_color = color.white, text_halign = text.align_left)
        table.cell(t,0,1, text = 'Open$ ' + str.tostring(strategy.openprofit, format.mintick), bgcolor = strategy.openprofit > 0 ? color.rgb(43, 94, 45)  : color.rgb(172, 33, 33), text_color = color.white, text_halign = text.align_left)
        table.cell(t,0,2, text = 'Reward$  ' + str.tostring(open_reward, format.mintick), bgcolor = open_reward > 0 ? color.rgb(43, 94, 45)  : color.rgb(172, 33, 33), text_color = color.white, text_halign = text.align_left) 
        table.cell(t,0,3, text = 'Risk$  ' + str.tostring(open_risk, format.mintick), bgcolor = open_risk > 0 ? color.rgb(109, 170, 111)  : color.rgb(172, 33, 33), text_color = color.white, text_halign = text.align_left)