Range Breakout Strategy UCMO Research

//@version=5
strategy("Range Breakout Strategy_UCMO Research", overlay=true, initial_capital=1000000, default_qty_type=strategy.percent_of_equity, default_qty_value=10, pyramiding=2)

// Add this with your other inputs
riskRewardRatio = input.float(2.0, "Reward/Risk Ratio", minval=0.1, step=0.1)
// Input time parameters
startHour = input.int(9, "Start Hour", minval=0, maxval=23)
startMinute = input.int(30, "Start Minute", minval=0, maxval=59)
endHour = input.int(16, "End Hour", minval=0, maxval=23)  // Market close at 16:00 (4:00 PM)
endMinute = input.int(0, "End Minute", minval=0, maxval=59)   // 00 minutes

// Get current time
currentHour = hour(time)
currentMinute = minute(time)

// Calculate time in minutes
currentTimeInMinutes = currentHour * 60 + currentMinute
startTimeInMinutes = startHour * 60 + startMinute
endTimeInMinutes = endHour * 60 + endMinute

// Variables for range calculation
var float rangeHigh = na
var float rangeLow = na
var float rangeSize = na
var bool inRangeBuilding = false
var bool rangeEstablished = false

// Variables to track daily trades
var bool longTakenToday = false
var bool shortTakenToday = false
var bool longStoppedOut = false
var bool shortStoppedOut = false

// Define range building period (first 15 minutes)
rangeBuildEndMinutes = startTimeInMinutes + 14
inRangeBuildingPeriod = currentTimeInMinutes >= startTimeInMinutes and currentTimeInMinutes <= rangeBuildEndMinutes
inTradingPeriod = currentTimeInMinutes > rangeBuildEndMinutes and currentTimeInMinutes <= endTimeInMinutes

// Reset values at the start of each day
if dayofmonth != dayofmonth[1] or (not inRangeBuildingPeriod[1] and inRangeBuildingPeriod)
    rangeHigh      := high
    rangeLow       := low
    rangeEstablished := false
    inRangeBuilding  := true
    longTakenToday   := false
    shortTakenToday  := false
    longStoppedOut   := false
    shortStoppedOut  := false

    // Readout of open positions from previous day (if positions carried over)
    // (strategy.position_size is the net position; positive means long, negative means short)
    openLong  = strategy.position_size > 0 ? strategy.position_size : 0
    openShort = strategy.position_size < 0 ? math.abs(strategy.position_size) : 0
    label.new(bar_index, high, text = "Open Positions\nLong: " + str.tostring(openLong) + "\nShort: " + str.tostring(openShort), color = color.yellow, textcolor = color.black, style = label.style_label_down)

// Update range values during building period
if inRangeBuildingPeriod and inRangeBuilding
    rangeHigh := math.max(rangeHigh, high)
    rangeLow := math.min(rangeLow, low)

// Establish range when building period ends
if inRangeBuildingPeriod[1] and not inRangeBuildingPeriod
    rangeSize := rangeHigh - rangeLow
    
    // Validate range size
    minRangeSize = 0 //syminfo.mintick * 10  // Minimum acceptable range
    maxRangeSize = 1e100 //ta.atr(14) * 2           // Maximum acceptable range based on ATR
    
    if rangeSize >= minRangeSize and rangeSize <= maxRangeSize
        rangeEstablished := true
        inRangeBuilding := false

        // label.new(bar_index, high, text="Range Established\n" + "High: " + str.tostring(rangeHigh) + "\n" + "Low: " + str.tostring(rangeLow) + "\n" + "Size: " + str.tostring(rangeSize) + "\n" + "R/R Ratio: " + str.tostring(riskRewardRatio), color=color.blue, textcolor=color.white,style=label.style_label_down)

    else
        // Invalid range - reset and skip this day
        rangeEstablished := false
        inRangeBuilding := false

        label.new(bar_index, high,text="Invalid Range Size\n" +"Size: " + str.tostring(rangeSize) + "\n" +"Min: " + str.tostring(minRangeSize) + "\n" +"Max: " + str.tostring(maxRangeSize),color=color.red,textcolor=color.white)

// Add near the top with other inputs
debugInfo = input.bool(false, "Show Debug Info")

// Add after your trade entry sections
if debugInfo and strategy.position_size != 0
    label.new(bar_index, high + (5 * syminfo.mintick), text="Bar Range: " + str.tostring(high - low, format.mintick) + "\nTarget Distance: " + str.tostring(riskRewardRatio * rangeSize, format.mintick), color=color.purple, style=label.style_label_down, textcolor=color.white)

// Initialize temporary flags for trades closed today in the current bar
var bool newLongStoppedOut  = false
var bool newShortStoppedOut = false

// Calculate the number of trades closed in the current 15-min bar
closedTradesDelta = strategy.closedtrades - strategy.closedtrades[1]

// Only process if one or more trades closed in this bar
if closedTradesDelta > 0
    // Loop over the newly closed trades in this bar.
    // (For example, if 2 trades closed, we iterate over both.)
    for i = strategy.closedtrades - closedTradesDelta to strategy.closedtrades - 1
        // Check if this trade was initiated today by comparing its entry day with the current day.
        if dayofmonth(strategy.closedtrades.entry_time(i)) == dayofmonth(time)
            // Get the exit price for this trade
            exit_price = strategy.closedtrades.exit_price(i)
            
            // If the exit price is less than or equal to the rangeLow, then assume it was a long stop out.
            if exit_price <= rangeLow
                newLongStoppedOut := true
            
            // If the exit price is greater than or equal to the rangeHigh, then assume it was a short stop out.
            if exit_price >= rangeHigh
                newShortStoppedOut := true

// Update the stop out flags based on any qualifying trades closed in the current bar.
if newLongStoppedOut
    longStoppedOut := true
if newShortStoppedOut
    shortStoppedOut := true

// // Check if trades hit stop loss
// if strategy.position_size == 0 and strategy.closedtrades > 0
//     last_trade = strategy.closedtrades - 1
//     exit_price = strategy.closedtrades.exit_price(last_trade)
    
//     // Check if long position was stopped out (price moved below stop)
//     if exit_price <= rangeLow
//         longStoppedOut := true
    
//     // Check if short position was stopped out (price moved above stop)
//     if exit_price >= rangeHigh
//         shortStoppedOut := true

// Trading logic - After range is established and during trading period
if rangeEstablished and inTradingPeriod
    // Long Entry
    longCondition = not longTakenToday or (shortStoppedOut and not longTakenToday)
    if longCondition and close >= rangeHigh
        strategy.entry("Long", strategy.long)
        strategy.exit("Long Exit", "Long", stop=rangeLow, limit=rangeHigh + (riskRewardRatio * rangeSize))
        longTakenToday := true
        // label.new(bar_index, low, text="LONG ENTRY\nTP: " + str.tostring(rangeHigh + (riskRewardRatio * rangeSize)) + "\nSL: " + str.tostring(rangeLow), color=color.green, style=label.style_label_up)

    // Short Entry
    shortCondition = not shortTakenToday or (longStoppedOut and not shortTakenToday)
    if shortCondition and close <= rangeLow
        strategy.entry("Short", strategy.short)
        strategy.exit("Short Exit", "Short", stop=rangeHigh, limit=rangeLow - (riskRewardRatio * rangeSize))
        shortTakenToday := true
        // label.new(bar_index, high, text="SHORT ENTRY\nTP: " + str.tostring(rangeLow - (riskRewardRatio * rangeSize)) + "\nSL: " + str.tostring(rangeHigh), color=color.red, style=label.style_label_down)

// Create plotting condition
var bool shouldPlot = false
if currentTimeInMinutes > startTimeInMinutes + 15  // Only plot after range building period
    shouldPlot := true

// Plot lines for visualization with time offset
plot(shouldPlot and rangeEstablished ? rangeHigh : na, color=color.blue, linewidth=2, style=plot.style_stepline, title="Range High")
plot(shouldPlot and rangeEstablished ? rangeLow : na, color=color.blue, linewidth=2, style=plot.style_stepline, title="Range Low")
plot(shouldPlot and rangeEstablished ? rangeHigh + rangeSize : na, color=color.green, linewidth=1, style=plot.style_stepline, title="Range High +1")
plot(shouldPlot and rangeEstablished ? rangeHigh + (riskRewardRatio * rangeSize) : na, color=color.green, linewidth=1, style=plot.style_stepline, title="Range High +R/R")
plot(shouldPlot and rangeEstablished ? rangeLow - rangeSize : na, color=color.red, linewidth=1, style=plot.style_stepline, title="Range Low -1")
plot(shouldPlot and rangeEstablished ? rangeLow - (riskRewardRatio * rangeSize) : na, color=color.red, linewidth=1, style=plot.style_stepline, title="Range Low -R/R")
// // Plot lines for visualization
// plot(rangeEstablished ? rangeHigh : na, color=color.blue, linewidth=2, style=plot.style_line, title="Range High")
// plot(rangeEstablished ? rangeLow : na, color=color.blue, linewidth=2, style=plot.style_line, title="Range Low")
// plot(rangeEstablished ? rangeHigh + rangeSize : na, color=color.green, linewidth=1, style=plot.style_line, title="Range High +1")
// plot(rangeEstablished ? rangeHigh + (2 * rangeSize) : na, color=color.green, linewidth=1, style=plot.style_line, title="Range High +2")
// plot(rangeEstablished ? rangeLow - rangeSize : na, color=color.red, linewidth=1, style=plot.style_line, title="Range Low -1")
// plot(rangeEstablished ? rangeLow - (2 * rangeSize) : na, color=color.red, linewidth=1, style=plot.style_line, title="Range Low -2")