Trend Following Setup - Sideways Market Skipper

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Arun_K_Bhaskar

//@version=5
indicator(title='Trend Following Setup - Sideways Market Skipper', shorttitle='Sideways Skip', overlay=false, max_bars_back=500)

//_____________________________ Menu Supertrend Start

g_st = '█████████████████ Supertrend █████████████████'
//bool i_st_display = input.bool(defval=true, title='Display', group=g_st)
int i_st_atr_period = input.int(defval=10, title="ATR Length", minval=1, group=g_st)
float i_st_factor = input.float(defval=3.0, title="Factor", minval=0.01, step=0.01, group=g_st)

//_____________________________ Menu Supertrend End

//_____________________________ Menu Range Start

g_r = '███████████████ Volatility Range ███████████████'

tt_r = 
 "• 'Auto ATR': Automatically sets the range based on the ATR value." +
 "\n• The range adjusts automatically when switching between symbols." +
 "\n• The default ATR timeframe is 1 hour." +
 "\n• For a Supertrend Long Crossover, the range is defined by adding the ATR value." +
 "\n• For a Supertrend Short Crossunder, the range is defined by subtracting the ATR value." +
 "\n\n• Type Points: Manually enter the points for different symbols to define the volatility range." +
 "\n• For example, the points are 60 for NIFTY and 120 for BANKNIFTY."

tt_tp = "Applicable only when 'Range Type' is selected as 'Type Points'."

tt_atr_tf =
 "• This uses the ATR value of the given timeframe." +
 "\n• The default ATR timeframe is 1 hour."

bool i_atr_range_display = input.bool(defval=true, title='Display', group=g_r)
string i_atr_range_choice = input.string(defval='Auto ATR', title='Range Type', options=['Auto ATR', 'Type Points'], tooltip=tt_r, group=g_r)
float i_atr_range_points = input.float(defval=120, title="Type Points", minval=0.01, tooltip=tt_tp, group=g_r)

//string i_atr_range_timeframe = input.timeframe(defval='60', title='ATR Timeframe', tooltip=tt_atr_tf, group=g_r)
int i_atr_range_length = input.int(defval=14, title='ATR Length', minval=1, group=g_r)
string i_atr_range_smoothing = input.string(title="ATR Smoothing", defval="RMA", options=["RMA", "SMA", "EMA", "WMA"], group=g_r)
float i_atr_range_multiplier = input.float(defval=1.5, title="ATR Multiplier", minval=1, step=0.5, group=g_r)
int i_atr_range_sma_length = input.int(defval=14, title='ATR SMA Length', minval=1, group=g_r)

//_____________________________ Menu Range End

//_____________________________ Menu Additional Fiters Start

g_af = '███████████████ Additional Fiters ███████████████'
tt_pchg = 
 "• If '% Change Above/Below +/-' is 4, it means relative volume is considered when the price change is above 4%." +
 "\n• A value of 4% is positive for bullish scenarios and negative for bearish scenarios." +
 "\n• The percentage change is calculated using cumulative percentage change, so there might be a minor difference between the actual and displayed percentage change."
tt_vpchg = 
 "• If 'Volume % Change Above' is 0, it means Relative Volume is considered when today's volume is greater than the previous day's volume." +
 "\n• For 'Screening Method' choice 'Retracement to EMA,' the 'Apply Volume % Change Filter' can be unchecked." +
 "\n• A 'Volume % Change Above' 300% or more often indicates a major breakout, which may happen today or the next day." +
 "\n• The volume percentage change is calculated using cumulative percentage change, so there might be a minor difference between the actual and displayed percentage change."
tt_atr = 
 "• ATR helps filter out longer or more volatile signal candles."
tt_atr_mul =
 "• Higher multiplier value filters a longer or more volatile signal candle."
tt_bf =
 "• If the input is '80', it means the body covers over 80% of the candle."
tt_bs =
 "• 2 means the candle is 2 times larger than the previous candle."
tt_vol =
 "• Filter out a candle when its volume is greater than the SMA of the volume."
tt_rv =
 "• Filter out a candle when its volume is greater than the Relative Volume."
tt_tf =
 "• Filter out a signals between the given Time."

bool i_pchg_filter = input.bool(defval=false, title='Apply % Change Filter', tooltip=tt_pchg, group=g_af)
float i_pchg_above_below = input.float(defval=2, title='% Change Above/Below +/-', minval=0, group=g_af)

bool i_vol_pchg_filter = input.bool(defval=false, title='Apply Volume % Change Filter', tooltip=tt_vpchg, group=g_af)
float i_vol_pchg_above = input.float(defval=0, title='Volume % Change Above', minval=0, group=g_af)

bool i_atr_filter = input.bool(defval=true, title='Apply ATR Filter', tooltip=tt_atr, group=g_af)
int i_atr_length = input.int(defval=14, minval=1, title='ATR Length', group=g_af)
float i_atr_multi = input.float(defval=1, title='ATR Multiplier', minval=1, group=g_af)

bool i_body_filter = input.bool(defval=false, title='Apply Body % Filter', tooltip=tt_bf, group=g_af)
float i_body_percent = input.float(defval=80, title='Body % Above', minval=0, maxval=100, group=g_af) / 100

bool i_body_size_filter = input.bool(defval=false, title='Apply Body Size Filter', tooltip=tt_bs, group=g_af)
int i_body_size_multiplier = input.int(defval=2, title='Body Size Multiplier (x)', minval=0,  group=g_af)

bool i_volume_filter = input.bool(defval=false, title='Apply Volume Filter', tooltip=tt_vol, group=g_af)
int i_vol_sma_length = input.int(defval=20, minval=1, title='Volume SMA Length', group=g_af)

bool i_rel_vol_filter = input.bool(defval=false, title='Apply Relative Volume Filter', tooltip=tt_rv, group=g_af)
int i_rel_vol_avg_vol_len = input.int(defval=90, title='Relative Volume Length', minval=2, group=g_af)
float i_rel_vol_avg_vol_multi = input.float(defval=5, title='Rel Vol SMA Multiplier', minval=0, group=g_af)

bool i_time_filter = input.bool(defval=false, title='Apply Time Filter', tooltip=tt_tf, group=g_af)
int i_hour_1 = input.int(defval=9, minval=0, title='Time From', inline='t_1', group=g_af)
int i_minute_1 = input.int(defval=15, minval=0, title=':', inline='t_1', group=g_af)
int i_hour_2 = input.int(defval=10, minval=0, title='Time To ', inline='t_2', group=g_af)
int i_minute_2 = input.int(defval=15, minval=0, title=':', inline='t_2', group=g_af)

//_____________________________ Menu Additional Fiters End

//_____________________________ Menu Table Start

g_dtb = '█████████████████ Data Table █████████████████'
bool i_tbl_data_show  = input.bool(defval=true, title='Display Table', group=g_dtb)
string i_tbl_data_pos = input.string(defval=position.bottom_right, title='Position', options=[position.top_left, position.top_center, position.top_right, position.middle_left, position.middle_center, position.middle_right, position.bottom_left, position.bottom_center, position.bottom_right], group=g_dtb)
string i_tbl_data_txt_size = input.string(defval=size.normal, title='Size', options=[size.auto, size.tiny, size.small, size.normal, size.large, size.huge], group=g_dtb)

//_____________________________ Menu Table End

//_____________________________ Chart Settings Start

g_ch = '███████████████ Chart Settings ███████████████'
color i_pos_color = input.color(defval=#26A69A, title='Positive Mid', group=g_ch)
color i_pos_light_color = input.color(defval=#ACE5DC, title='Positive Light', group=g_ch)
color i_neg_light_color = input.color(defval=#FCCBCD, title='Negative Light', group=g_ch)
color i_neg_color = input.color(defval=#FF5252, title='Negative Mid', group=g_ch)
color i_indicator_color = input.color(defval=#2962FF, title='Indicator', group=g_ch)
color i_signal_color = input.color(defval=#FF6D00, title='Signal', group=g_ch)
color i_neu_color = input.color(defval=#D1D4DC, title='Neutral Light', group=g_ch)
color i_neu_mid_color = input.color(defval=#2A2E39, title='Neutral Mid', group=g_ch)
color i_neu_dark_color = input.color(defval=#141516, title='Neutral Dark', group=g_ch)

//_____________________________ Chart Settings End

//_____________________________ 1. Supertrend Start

[supertrend, direction] = ta.supertrend(i_st_factor, i_st_atr_period)
supertrend := barstate.isfirst ? na : supertrend

// Plot Supertrend
upTrend = plot(series=direction < 0 ? supertrend : na, title="Supertrend Up", color=i_pos_color, style=plot.style_linebr, force_overlay=true)
downTrend = plot(series=direction < 0 ? na : supertrend, title="Supertrend Down", color=i_neg_color, style=plot.style_linebr, force_overlay=true)
bodyMiddle = plot(series=barstate.isfirst ? na : (open + close) / 2, title="Body Middle", display=display.none, force_overlay=true)
fill(plot1=bodyMiddle, plot2=upTrend, color=color.new(i_pos_color, 90), fillgaps=false)
fill(plot1=bodyMiddle, plot2=downTrend, color=color.new(i_neg_color, 90), fillgaps=false)

//_____________________________ 1. Supertrend End

//_____________________________ 2. ATR Start

ma_function_atr(source, length) =>
    switch i_atr_range_smoothing
        'RMA' => ta.rma(source, length)
        'SMA' => ta.sma(source, length)
        'EMA' => ta.ema(source, length)
        'WMA' => ta.wma(source, length)

atr = ma_function_atr(ta.tr(true), i_atr_range_length)
atr_sma = ta.sma(atr, i_atr_range_sma_length)
plot(series=atr, title="ATR", color=i_indicator_color)
plot(series=atr_sma, title="ATR SMA", color=i_signal_color)

// Range Source
range_input = i_atr_range_choice == 'Auto ATR' ? (atr * i_atr_range_multiplier) : i_atr_range_points
range_source = i_atr_range_choice == 'Type Points' ? i_atr_range_points :range_input

//_____________________________ 2. ATR End

//_____________________________ Cumulative Percentage Change Start

// Function to calculate Daily Cumulative Percentage Change of Close Price
cumulative_percentage_change() =>
    var float _cum_pct_change = na
    _is_new_day = ta.change(time('D')) != 0 ? 1 : 0
    _daily_pct_change = na(close[1]) ? 0 : (close - close[1]) / close[1] * 100
    _cum_pct_change := _is_new_day ? _daily_pct_change : (na(_cum_pct_change) ? _daily_pct_change : (_cum_pct_change + _daily_pct_change))
    _cum_pct_change

// Calculate current cumulative percentage change
cum_pchg = cumulative_percentage_change()

//_____________________________ Cumulative Percentage Change End

//_____________________________ Cumulative Volume Percentage Change Start

// Function to calculate Daily Cumulative Volume
cumulative_volume() =>
    var float _cum_vol = na
    _is_new_day = ta.change(time('D')) != 0 ? 1 : 0
    _cum_vol := _is_new_day ? volume : (na(_cum_vol) ? volume : (_cum_vol + volume))
    _cum_vol

// Calculate current and previous day cumulative volumes
var float current_cum_vol = na
var float prev_cum_vol = na

if ta.change(time('D')) != 0
    prev_cum_vol := current_cum_vol
    current_cum_vol := volume
else
    current_cum_vol += volume

// Calculate Cumulative Volume Percentage Change
cum_vol_pchg = (current_cum_vol - nz(prev_cum_vol, current_cum_vol)) / nz(prev_cum_vol, current_cum_vol) * 100

//_____________________________ Cumulative Volume Percentage Change End

//_____________________________ Additional Filters Start

// % Change Filter
bool pchg_above_filter = true
bool pchg_below_filter = true
if i_pchg_filter
    pchg_above_filter := cum_pchg > i_pchg_above_below
    pchg_below_filter := cum_pchg < -i_pchg_above_below

// Volume % Change Filter
bool vol_pchg_filter = true
if i_vol_pchg_filter
    vol_pchg_filter := cum_vol_pchg >= i_vol_pchg_above

// ATR Filter
bool atr_filter = true
if i_atr_filter
    atr_filter := (high - low) > ta.atr(i_atr_length) * i_atr_multi

// Body Percent Filter
bool body_filter = true
if i_body_filter
    body_filter := (math.abs(close - open)) / (high - low) >= i_body_percent

// Body Size Filter
bool body_size_filter = true
if i_body_size_filter
    body_size_filter := (math.abs(close - open)) / (high - low) >= i_body_percent and (high - low) >= (high[1] - low[1]) * i_body_size_multiplier

// Volume SMA Filter
bool volume_filter = true
if i_volume_filter
    volume_filter := volume > ta.sma(volume, i_vol_sma_length)

// Continuous Signals Filter
average_volume = ta.sma(volume, i_rel_vol_avg_vol_len)
relative_volume = volume / average_volume[1]
rel_vol_sma_multiplier = ta.sma(relative_volume, i_rel_vol_avg_vol_len) * i_rel_vol_avg_vol_multi

bool rel_vol_filter = true
if i_rel_vol_filter
    rel_vol_filter := relative_volume > rel_vol_sma_multiplier

// Time Filter
bool time_filter = true
if i_time_filter
    time_filter := (hour > i_hour_1 or (hour == i_hour_1 and minute >= i_minute_1)) and (hour < i_hour_2 or (hour == i_hour_2 and minute < i_minute_2))

//_____________________________ Additional Filters End

//_____________________________ Signals Start

// Condition 1
short_cont = ta.crossunder(close, supertrend) and barstate.isconfirmed
long_cont = ta.crossover(close, supertrend) and barstate.isconfirmed

// Get Volatility Range After Cross 
var top_price = float(na)
var bottom_price = float(na)

if (short_cont)
    bottom_price := close - range_source
    top_price := na  // Reset top_price to avoid plotting it

if (long_cont)
    top_price := close + range_source
    bottom_price := na  // Reset bottom_price to avoid plotting it

// Condition 2
short_break_cond = 
 close < bottom_price and 
 open > close and
 atr > atr_sma and
 pchg_below_filter and
 vol_pchg_filter and
 atr_filter and
 body_filter and
 body_size_filter and
 volume_filter and
 rel_vol_filter and 
 time_filter and
 barstate.isconfirmed

long_break_cond = 
 close > top_price and 
 open < close and
 atr > atr_sma and
 pchg_above_filter and
 vol_pchg_filter and
 atr_filter and
 body_filter and
 body_size_filter and
 volume_filter and
 rel_vol_filter and 
 time_filter and
 barstate.isconfirmed

// Short Signal
var short_current_state = 0
bear_previous_state = nz(short_current_state[1])
short_current_state := bear_previous_state == 2 ? 0 : bear_previous_state
if short_cont and short_current_state == 0
    short_current_state := 1
if short_break_cond and short_current_state == 1
    short_current_state := 2

bool short_break_trigger = short_current_state == 2 ? true : false

// Long Signal
var long_current_state = 0
bull_previous_state = nz(long_current_state[1])
long_current_state := bull_previous_state == 2 ? 0 : bull_previous_state
if long_cont and long_current_state == 0
    long_current_state := 1
if long_break_cond and long_current_state == 1
    long_current_state := 2

bool long_break_trigger = long_current_state == 2 ? true : false

// Plot Supertrend Cross Bar
barcolor(color=short_cont ? i_neg_light_color : long_cont ? i_pos_light_color : na, title='Supertrend Cross Candle')

// Plot Break Signal
plotshape(series=long_break_trigger ? 3 : na, title='Long Signal', style=shape.triangleup, location=location.belowbar, color=i_pos_light_color, size=size.tiny, force_overlay=true)
plotshape(series=short_break_trigger ? 3 : na, title='Short Signal', style=shape.triangledown, location=location.abovebar, color=i_neg_light_color, size=size.tiny, force_overlay=true)
barcolor(color=short_break_trigger ? i_neg_light_color : long_break_trigger ? i_pos_light_color : na, title='Signal Candle')

// Plot Historical Range
plot(series=i_atr_range_display and i_atr_range_display and top_price == top_price[1] ? top_price : na, title='Top Range', color=i_pos_color, linewidth=1, style=plot.style_steplinebr, offset=-1, force_overlay=true)
plot(series=i_atr_range_display and i_atr_range_display and bottom_price == bottom_price[1] ? bottom_price : na, title='Bottom Range', color=i_neg_color, linewidth=1, style=plot.style_steplinebr, offset=-1, force_overlay=true)

//_____________________________ Signals End

//_____________________________ Data Table Start

// To String
day_pchg_str = str.tostring(cum_pchg,"#.##") + ' %'
volume_pchg_str = str.tostring(cum_vol_pchg,"#.##") + ' %'
day_volume_str = str.tostring(current_cum_vol/100000,"#.##") + ' L'
prev_day_volume_str = str.tostring(prev_cum_vol/100000,"#.##") + ' L'

// Color
bgcolor_1 = i_neu_dark_color
bgcolor_2 = i_neu_mid_color

pchg_col = cum_pchg > 0 ? i_pos_color : i_neg_color
vol_pchg_col = cum_vol_pchg > 0 ? i_pos_color : i_neg_color
prev_vol_pchg_col = prev_cum_vol < current_cum_vol ? i_neg_color : i_pos_color

// Plot Table
var table tbl_data = table.new(position=i_tbl_data_pos, columns=2, rows=4, border_width=1, force_overlay=true)

if barstate.islast and i_tbl_data_show
    table.cell(table_id=tbl_data, column=0, row=0, text="%Chg", text_color=i_neu_color, text_halign=text.align_left, bgcolor=bgcolor_1, text_size=i_tbl_data_txt_size)
    table.cell(table_id=tbl_data, column=1, row=0, text=day_pchg_str, text_color=pchg_col, text_halign=text.align_right, bgcolor=bgcolor_1, text_size=i_tbl_data_txt_size)

    table.cell(table_id=tbl_data, column=0, row=1, text="Vol %Chg", text_color=i_neu_color, text_halign=text.align_left, bgcolor=bgcolor_2, text_size=i_tbl_data_txt_size)
    table.cell(table_id=tbl_data, column=1, row=1, text=volume_pchg_str, text_color=vol_pchg_col, text_halign=text.align_right, bgcolor=bgcolor_2, text_size=i_tbl_data_txt_size)

    table.cell(table_id=tbl_data, column=0, row=2, text="Vol", text_color=i_neu_color, text_halign=text.align_left, bgcolor=bgcolor_1, text_size=i_tbl_data_txt_size)
    table.cell(table_id=tbl_data, column=1, row=2, text=day_volume_str, text_color=vol_pchg_col, text_halign=text.align_right, bgcolor=bgcolor_1, text_size=i_tbl_data_txt_size)

    table.cell(table_id=tbl_data, column=0, row=3, text="PD Vol", text_color=i_neu_color, text_halign=text.align_left, bgcolor=bgcolor_2, text_size=i_tbl_data_txt_size)
    table.cell(table_id=tbl_data, column=1, row=3, text=prev_day_volume_str, text_color=prev_vol_pchg_col, text_halign=text.align_right, bgcolor=bgcolor_2, text_size=i_tbl_data_txt_size)

//_____________________________ Data Table End

//_____________________________ Code End

// Readme First:
// 
// Trend Following Setup - Sideways Market Skipper Scanner
// 
// Long Signal Logic:
//  - Close crosses above the Supertrend.
//  - Add ATR value (with multiplier) to the close to identify the potential sideways or volatility range.
//  - When the price crosses this range, it's considered a breakout.
//  - The ATR should be rising or the volatility is increasing.
// 
// Short Signal Logic:
//  - Close crosses below the Supertrend.
//  - Substract ATR value (with multiplier) to the close to identify the potential sideways or volatility range.
//  - When the price crosses this range, it's considered a breakdown.
//  - The ATR should be rising or the volatility is increasing.
//
// Entry: Enter after the retracement once the signal is generated.