PineFlow v6 — ORB Risk Strategy

//@version=6
//@strategy_alert_message {"secret":"REPLACE_ME","version":"2","event_id":"pineflow-orb-v1-{{ticker}}-{{interval}}-{{strategy.order.id}}-{{time}}","strategy_id":"pineflow-orb-v1","symbol":"{{ticker}}","timeframe":"{{interval}}","action":"{{strategy.order.action}}","quantity":{{strategy.order.contracts}},"price":{{strategy.order.price}},"timestamp":"{{time}}","order_id":"{{strategy.order.id}}","intent":"{{strategy.order.alert_message}}"}
strategy(
     "PineFlow v6 — ORB Risk Strategy",
     overlay = true,
     initial_capital = 100000,
     currency = currency.USD,
     pyramiding = 0,
     commission_type = strategy.commission.percent,
     commission_value = 0.05,
     slippage = 1,
     process_orders_on_close = true
)

const string STRATEGY_GROUP = "Strategy"
const string SESSION_GROUP = "Sessions"
const string RISK_GROUP = "Risk"
const string FILTER_GROUP = "Filters"
const string DISPLAY_GROUP = "Display"

bool enableLongs = input.bool(true, "Enable longs", group = STRATEGY_GROUP)
bool enableShorts = input.bool(true, "Enable shorts", group = STRATEGY_GROUP)
int maxTradesPerDay = input.int(2, "Maximum trades per day", minval = 1, group = STRATEGY_GROUP)

string openingRangeSession = input.session("0930-1000", "Opening range", group = SESSION_GROUP)
string tradingSession = input.session("0930-1600", "Trading session", group = SESSION_GROUP)
string sessionTimezone = input.string("America/New_York", "Session timezone", group = SESSION_GROUP)
bool flattenAtSessionEnd = input.bool(true, "Flatten at session end", group = SESSION_GROUP)

float riskPercent = input.float(1.0, "Equity risk per trade (%)", minval = 0.1, step = 0.1, group = RISK_GROUP)
int atrLength = input.int(14, "ATR length", minval = 1, group = RISK_GROUP)
float stopAtrMultiple = input.float(1.5, "Stop distance (ATR)", minval = 0.1, step = 0.1, group = RISK_GROUP)
float targetOneR = input.float(1.5, "Target 1 (R)", minval = 0.1, step = 0.1, group = RISK_GROUP)
float targetTwoR = input.float(3.0, "Target 2 (R)", minval = 0.1, step = 0.1, group = RISK_GROUP)
float quantityStep = input.float(1.0, "Quantity step", minval = 0.000001, group = RISK_GROUP)
float maxDailyLossPercent = input.float(3.0, "Maximum daily loss (%)", minval = 0.1, maxval = 100, group = RISK_GROUP)
float maxDrawdownPercent = input.float(20.0, "Maximum drawdown (%)", minval = 0.1, maxval = 100, group = RISK_GROUP)

int fastEmaLength = input.int(20, "Fast EMA", minval = 1, group = FILTER_GROUP)
int slowEmaLength = input.int(50, "Slow EMA", minval = 2, group = FILTER_GROUP)
int dmiLength = input.int(14, "DMI length", minval = 1, group = FILTER_GROUP)
int adxSmoothing = input.int(14, "ADX smoothing", minval = 1, group = FILTER_GROUP)
float minimumAdx = input.float(20.0, "Minimum ADX", minval = 0, step = 0.5, group = FILTER_GROUP)
string higherTimeframe = input.timeframe("240", "Confirmation timeframe", group = FILTER_GROUP)
int higherTimeframeEmaLength = input.int(50, "Confirmation EMA", minval = 1, group = FILTER_GROUP)

bool showDashboard = input.bool(true, "Show dashboard", group = DISPLAY_GROUP)
bool shadeOpeningRange = input.bool(true, "Shade opening range", group = DISPLAY_GROUP)

if barstate.isfirst and timeframe.in_seconds(higherTimeframe) <= timeframe.in_seconds()
    runtime.error("Confirmation timeframe must be higher than the chart timeframe.")

strategy.risk.max_intraday_loss(maxDailyLossPercent, strategy.percent_of_equity)
strategy.risk.max_drawdown(maxDrawdownPercent, strategy.percent_of_equity)

bool inOpeningRange = not na(time(timeframe.period, openingRangeSession, sessionTimezone))
bool inTradingSession = not na(time(timeframe.period, tradingSession, sessionTimezone))
bool openingRangeStarted = inOpeningRange and not inOpeningRange[1]
bool tradingSessionEnded = not inTradingSession and inTradingSession[1]

var float openingHigh = na
var float openingLow = na
var int tradesToday = 0
var float activeStop = na
var float activeTargetOne = na
var float activeTargetTwo = na

if openingRangeStarted
    openingHigh := high
    openingLow := low
    tradesToday := 0
else if inOpeningRange
    openingHigh := math.max(openingHigh, high)
    openingLow := math.min(openingLow, low)

float fastEma = ta.ema(close, fastEmaLength)
float slowEma = ta.ema(close, slowEmaLength)
[plusDi, minusDi, adx] = ta.dmi(dmiLength, adxSmoothing)
float atr = ta.atr(atrLength)

// The one-bar offset plus lookahead_on returns only confirmed higher-timeframe values.
float confirmedHigherTimeframeEma = request.security(
     syminfo.tickerid,
     higherTimeframe,
     ta.ema(close, higherTimeframeEmaLength)[1],
     lookahead = barmerge.lookahead_on
)

bool rangeReady = not inOpeningRange and not na(openingHigh) and not na(openingLow)
bool canTrade = (
     barstate.isconfirmed
     and inTradingSession
     and rangeReady
     and tradesToday < maxTradesPerDay
     and strategy.position_size == 0
)
bool longSignal = (
     canTrade
     and enableLongs
     and ta.crossover(close, openingHigh)
     and fastEma > slowEma
     and close > confirmedHigherTimeframeEma
     and adx >= minimumAdx
     and plusDi > minusDi
)
bool shortSignal = (
     canTrade
     and enableShorts
     and ta.crossunder(close, openingLow)
     and fastEma < slowEma
     and close < confirmedHigherTimeframeEma
     and adx >= minimumAdx
     and minusDi > plusDi
)

positionSize(float stopDistance) =>
    float riskCapital = strategy.equity * riskPercent / 100
    float riskPerUnit = stopDistance * syminfo.pointvalue
    float rawQuantity = riskPerUnit > 0 ? riskCapital / riskPerUnit : 0
    math.floor(rawQuantity / quantityStep) * quantityStep

if longSignal
    float stopDistance = atr * stopAtrMultiple
    float orderQuantity = positionSize(stopDistance)
    if orderQuantity >= quantityStep
        activeStop := close - stopDistance
        activeTargetOne := close + stopDistance * targetOneR
        activeTargetTwo := close + stopDistance * targetTwoR
        strategy.entry("Long", strategy.long, qty = orderQuantity, alert_message = "entry")
        strategy.exit(
             "Long TP1",
             from_entry = "Long",
             stop = activeStop,
             limit = activeTargetOne,
             qty_percent = 50,
             alert_message = "exit"
        )
        strategy.exit(
             "Long TP2",
             from_entry = "Long",
             stop = activeStop,
             limit = activeTargetTwo,
             qty_percent = 50,
             alert_message = "exit"
        )
        tradesToday += 1
else if shortSignal
    float stopDistance = atr * stopAtrMultiple
    float orderQuantity = positionSize(stopDistance)
    if orderQuantity >= quantityStep
        activeStop := close + stopDistance
        activeTargetOne := close - stopDistance * targetOneR
        activeTargetTwo := close - stopDistance * targetTwoR
        strategy.entry("Short", strategy.short, qty = orderQuantity, alert_message = "entry")
        strategy.exit(
             "Short TP1",
             from_entry = "Short",
             stop = activeStop,
             limit = activeTargetOne,
             qty_percent = 50,
             alert_message = "exit"
        )
        strategy.exit(
             "Short TP2",
             from_entry = "Short",
             stop = activeStop,
             limit = activeTargetTwo,
             qty_percent = 50,
             alert_message = "exit"
        )
        tradesToday += 1

if flattenAtSessionEnd and tradingSessionEnded and strategy.position_size != 0
    strategy.close_all(comment = "Session close", alert_message = "exit")

if strategy.position_size == 0 and strategy.position_size[1] != 0
    activeStop := na
    activeTargetOne := na
    activeTargetTwo := na

plot(openingHigh, "Opening range high", color = color.new(color.lime, 15), style = plot.style_linebr)
plot(openingLow, "Opening range low", color = color.new(color.red, 15), style = plot.style_linebr)
plot(fastEma, "Fast EMA", color = color.new(color.aqua, 0))
plot(slowEma, "Slow EMA", color = color.new(color.orange, 0))
plot(confirmedHigherTimeframeEma, "Confirmed HTF EMA", color = color.new(color.purple, 10), linewidth = 2)
plot(activeStop, "Active stop", color = color.red, style = plot.style_linebr)
plot(activeTargetOne, "Target 1", color = color.new(color.green, 20), style = plot.style_linebr)
plot(activeTargetTwo, "Target 2", color = color.new(color.green, 0), style = plot.style_linebr)

plotshape(longSignal, "Long signal", shape.triangleup, location.belowbar, color.lime, size = size.tiny)
plotshape(shortSignal, "Short signal", shape.triangledown, location.abovebar, color.red, size = size.tiny)
bgcolor(shadeOpeningRange and inOpeningRange ? color.new(color.blue, 90) : na, title = "Opening range")

var table dashboard = table.new(position.top_right, 2, 5, border_width = 1)
if barstate.islast and showDashboard
    table.cell(dashboard, 0, 0, "PineFlow ORB", text_color = color.white, bgcolor = color.new(color.blue, 20))
    table.cell(dashboard, 1, 0, "v6", text_color = color.white, bgcolor = color.new(color.blue, 20))
    table.cell(dashboard, 0, 1, "Range")
    table.cell(dashboard, 1, 1, str.tostring(openingHigh, format.mintick) + " / " + str.tostring(openingLow, format.mintick))
    table.cell(dashboard, 0, 2, "ADX")
    table.cell(dashboard, 1, 2, str.tostring(adx, "#.0"))
    table.cell(dashboard, 0, 3, "Trades today")
    table.cell(dashboard, 1, 3, str.tostring(tradesToday) + " / " + str.tostring(maxTradesPerDay))
    table.cell(dashboard, 0, 4, "Position")
    table.cell(dashboard, 1, 4, str.tostring(strategy.position_size))