/MNQ 5m WAVE (Fusion B-L/S)

позавчера

This strategy—built for the Nasdaq-100 micro future (/MNQ) on the 5-minute chart—combines a simple momentum trigger with a set of context filters and layered exits. The core entry uses a fast/slow EMA crossover (5 vs. 13) and only fires when volatility is adequate, trend/participation are aligned, and price sits at a tradable distance from VWAP. Signals are executed strictly on bar close (no intrabar execution), which avoids repainting and keeps backtests consistent with live behavior at bar close.

https://imgur.com/JJMh0Kjhttps://i.imgur.com/ny2aVFn.pnghttps://i.imgur.com/vh5tiVi.png

Volatility filtering relies on ATR (smoothed true range). You can toggle it globally and per side (long/short) and set an absolute threshold in points. If the market is below the threshold, new entries are inhibited; above it, entries are allowed. Because the threshold is in points, you should calibrate it to the symbol and timeframe (defaults are tuned for /MNQ 5m).

Trend and impulse are checked via a Weinstein-style block: a mid-term SMA and its slope, plus a volume condition. Longs require closes above the SMA with non-negative slope; shorts require closes below the SMA with non-positive slope. Additionally, current volume must exceed the prior bar and a short SMA of volume. This aims to separate genuine breakouts with participation from low-quality pokes.

Relative location uses a smoothed VWAP (separate smoothing for longs and shorts). Longs must trade above VWAP and within a configurable proximity window (e.g., ≤1.1%); shorts must be below VWAP and within their own proximity (e.g., ≤0.3%). This favors buying strength near an institutional reference and selling weakness near value, discouraging stretched entries with poor signal-to-noise.

The entry trigger, once all filters agree, is the EMA cross—up for longs, down for shorts. You can restrict the strategy to “Both,” “Longs Only,” or “Shorts Only.” Orders are placed at the close of the confirming bar, with fixed size by default and configurable commissions/margins in the strategy properties.

Exits combine three layers: (1) a fixed percentage stop loss from average entry; (2) a fixed percentage take profit; and (3) a trailing stop that activates only after a minimum favorable excursion and then follows the highest high/lowest low with a configurable distance behind. Trailing lines are drawn as step lines, and the area between entry and the active trailing is shaded, making risk protection and give-back immediately visible.

Optionally, you can enable an automatic “bars in trade” close (useful for fast rotation/stop-hunt styles). When enabled, the position closes once the bar count since entry exceeds a user-defined maximum. A floating label displays the live bar count versus the cap, with distinct styling for longs and shorts.

Execution is wired for automation. Each entry/exit emits a structured JSON payload via TradingView’s alert_message (ideal for “order fill” endpoints such as /signal), including OHLCV and informational metrics (ATR and ADX). Additionally, the strategy can issue a parallel alert() with a compact “advice” payload (toggle “Enable alert() pushes to /advice”). This separation lets the same event feed both execution and a validation/notification layer.

Visually, the script plots the working EMAs, the Weinstein SMAs, smoothed VWAPs, and the trailing lines per side, and it marks crosses with clear icons. The entry price is highlighted, and the fill between entry and trailing is colored (green/red) to show whether profits are being locked in or risk is increasing—so trade management is readable at a glance.

Key parameters exposed: EMA lengths per side; Weinstein block periods and thresholds (slope and volume); VWAP smoothing and per-side proximity; SL/TP percentages and trailing configuration (start and behind distance); ATR lengths and thresholds per side; trade direction selector; and the bars-auto-close module with its on-chart counter. Defaults are reasonable for /MNQ on 5m but are meant to be tuned to your instrument’s volatility and session microstructure.

Operating philosophy: enter less but better—on breakouts with bias and participation—preferably not too far from VWAP; then manage exits in layers that protect gains without choking extended moves. Asymmetry between long and short proximity/targets reflects the typically sharper nature of declines versus advances and can be tailored to your data.

Limitations and guidance: the ATR threshold is absolute (points), so it is not portable without calibration; ensure VWAP proximity windows fit your intraday seasonality and the session you trade (RTH/ETH). While the system is close-of-bar and non-repainting, results may vary with data feeds or session settings. Always validate in paper first; no strategy guarantees outcomes.

Disclaimer: for educational and informational purposes only. Not financial advice. Derivatives and leveraged products carry substantial risk, including the possibility of total loss. Tune parameters and automations at your own risk.

позавчера

Информация о релизе

Cosmetic update

12 часов назад

Информация о релизе

What’s new

Session Entry Filter (NY)

Prevents new entries during the first minutes after futures reopen, when fake moves are common.

Two independent switches:

Sunday open at 6:00 pm NY → entries allowed only after 6:16 pm (default 16 min; set to 25 to block exactly 5×5-min bars).

Weekday open (Mon–Thu) at 5:00 pm NY → entries allowed only after 5:16 pm (same minutes logic).

Affects entries only. Exits (SL/TP/trailing/auto-close) remain untouched.

Timezone handled with "America/New_York"; works on 5-minute charts (and other TFs if you adjust minutes).

Regime Filter (ADX + ATRrel) — optional replacement for classic ATR filter

New toggle: “Use Regime Filter (replaces ATR filters)”.

If ON, the strategy replaces the legacy ATR thresholds with a market-state filter built from:

ADX (trend strength) and

ATR relative to its SMA (volatility expansion/contration).

Modes:

Block Chop Only (recommended start): trades whenever it’s not CHOP.

Trend Only: only STRONG/TREND.

Trend + Transition: STRONG/TREND/TRANSITION; blocks only CHOP.

Directional bias option: “Enforce DI bias per direction”
Longs require DI+ ≥ DI-; shorts require DI- ≥ DI+.

If OFF, strategy keeps using your original ATR filters (no change to historical behavior).

How it works (under the hood)

Regime states:

STRONG TREND: ADX ≥ strong threshold and ATRrel > expansion.

TREND: ADX ≥ trend threshold and ATRrel ≥ 1.0 (but not STRONG).

CHOP: ADX ≤ chop max or ATRrel < contraction.

TRANSITION: none of the above.

Final entry conditions now include vol_ok_long/short:

When Regime Filter is ON → regime_*_ok (per mode + optional DI bias).

When OFF → original ATR filters (unchanged).

No repaint / no look-ahead

All calculations use causal ta.* functions on the current bar; entries are gated by barstate.isconfirmed (bar close).

No security() calls, no offsets or future data → no look-ahead bias and no repaint on closed bars.

Why this helps

Opens protection: blocks the most fragile minutes after the session reopens (Sun 6pm; Mon–Thu 5pm NY).

Fewer false starts in CHOP: the regime filter avoids trades when trend strength/volatility conditions are poor.

Suggested starting configuration

Use Regime Filter = ON

Mode = Block Chop Only

Enforce DI bias = ON

Keep default thresholds first; then tune gradually if needed.

Backtest guidance (avoid overfitting)

Validate out-of-sample windows (e.g., 2019–2022 vs 2023–present).

Compare win rate, PF, DD, and trade count with vs without the Regime Filter.

If trade count collapses or PF doesn’t improve, revert to Block Chop Only or turn the filter OFF.

Compatibility / other notes

All other logic (EMAs, VWAP, WSA, SL/TP/trailing, bars auto-close, alerts/payloads) remains unchanged.

If you want to block exactly the first five 5-minute bars, set the block minutes to 25. Default is 16 minutes.