9dfc6da449
- Moved confirmBars to separate 'Signal Timing' section (no longer under optional filters) - Made timing setting always-active status clear in UI with improved tooltip - Updated default settings based on backtesting analysis: * confirmBars: 0 → 1 (wait one bar for confirmation, reduces false signals) * ADX filter: Enabled by default (was disabled) * ADX Length: 14 → 16 (better trend detection) * ADX minimum: 20 → 14 (catches trends earlier) * Volume filter: Enabled by default (was disabled) * Volume max: 3.0x → 3.5x (allows bigger breakout moves) * RSI filter: Enabled by default (was disabled) * RSI long minimum: 45 → 35 (catches momentum earlier) * RSI short maximum: 55 → 70 (CRITICAL: allows shorts during breakdowns) Why these changes matter: - Old RSI short max of 55-61 blocked profitable breakdown entries (RSI 62-70 range) - ADX 21 minimum missed early trend starts, lowering to 14 catches them - Volume max 3.5x allows high-volume breakouts (was blocking with 3.0x) - confirmBars=1 reduces wick flips while still catching good moves Expected impact: Should fix v6 underperformance (-$47.70 over 25 trades) Target: Positive P&L and 50%+ win rate over next 20-30 trades Files modified: - workflows/trading/moneyline_v6_improved.pinescript
244 lines
12 KiB
Plaintext
244 lines
12 KiB
Plaintext
//@version=5
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indicator("Bullmania Money Line v6 Improved", overlay=true)
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// Calculation source (Chart vs Heikin Ashi)
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srcMode = input.string("Chart", "Calculation source", options=["Chart","Heikin Ashi"], tooltip="Use regular chart candles or Heikin Ashi for the line calculation.")
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// Parameter Mode
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paramMode = input.string("Profiles by timeframe", "Parameter Mode", options=["Single", "Profiles by timeframe"], tooltip="Choose whether to use one global set of parameters or timeframe-specific profiles.")
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// Single (global) parameters
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atrPeriodSingle = input.int(10, "ATR Period (Single mode)", minval=1, group="Single Mode")
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multiplierSingle = input.float(3.0, "Multiplier (Single mode)", minval=0.1, step=0.1, group="Single Mode")
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// Profile override when using profiles
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profileOverride = input.string("Auto", "Profile Override", options=["Auto", "Minutes", "Hours", "Daily", "Weekly/Monthly"], tooltip="When in 'Profiles by timeframe' mode, choose a fixed profile or let it auto-detect from the chart timeframe.", group="Profiles")
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// Timeframe profile parameters
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// Minutes (<= 59m)
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atr_m = input.int(12, "ATR Period (Minutes)", minval=1, group="Profiles — Minutes")
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mult_m = input.float(3.3, "Multiplier (Minutes)", minval=0.1, step=0.1, group="Profiles — Minutes")
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// Hours (>=1h and <1d)
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atr_h = input.int(10, "ATR Period (Hours)", minval=1, group="Profiles — Hours")
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mult_h = input.float(3.0, "Multiplier (Hours)", minval=0.1, step=0.1, group="Profiles — Hours")
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// Daily (>=1d and <1w)
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atr_d = input.int(10, "ATR Period (Daily)", minval=1, group="Profiles — Daily")
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mult_d = input.float(2.8, "Multiplier (Daily)", minval=0.1, step=0.1, group="Profiles — Daily")
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// Weekly/Monthly (>=1w)
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atr_w = input.int(7, "ATR Period (Weekly/Monthly)", minval=1, group="Profiles — Weekly/Monthly")
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mult_w = input.float(2.5, "Multiplier (Weekly/Monthly)", minval=0.1, step=0.1, group="Profiles — Weekly/Monthly")
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// Optional MACD confirmation
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useMacd = input.bool(false, "Use MACD confirmation", inline="macd")
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macdSrc = input.source(close, "MACD Source", inline="macd")
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macdFastLen = input.int(12, "Fast", minval=1, inline="macdLens")
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macdSlowLen = input.int(26, "Slow", minval=1, inline="macdLens")
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macdSigLen = input.int(9, "Signal", minval=1, inline="macdLens")
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// Signal timing (ALWAYS applies to all signals)
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groupTiming = "Signal Timing"
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confirmBars = input.int(1, "Bars to confirm after flip", minval=0, maxval=2, group=groupTiming, tooltip="ALWAYS ACTIVE: 0 = signal on flip bar (faster, more signals). 1 = wait one bar (safer, confirms trend). 2 = wait two bars (most conservative).")
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// Entry filters (optional)
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groupFilters = "Entry filters"
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useEntryBuffer = input.bool(false, "Require entry buffer (ATR)", group=groupFilters, tooltip="If enabled, the close must be beyond the Money Line by the buffer amount to avoid wick flips.")
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entryBufferATR = input.float(0.15, "Buffer size (in ATR)", minval=0.0, step=0.05, group=groupFilters, tooltip="0.10–0.20 works well on 1h.")
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useAdx = input.bool(true, "Use ADX trend-strength filter", group=groupFilters, tooltip="If enabled, require ADX to be above a threshold to reduce chop.")
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adxLen = input.int(16, "ADX Length", minval=1, group=groupFilters)
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adxMin = input.int(14, "ADX minimum", minval=0, maxval=100, group=groupFilters)
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// NEW v6 FILTERS
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groupV6Filters = "v6 Quality Filters"
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usePricePosition = input.bool(true, "Use price position filter", group=groupV6Filters, tooltip="Prevent chasing extremes - don't buy at top of range or sell at bottom.")
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longPosMax = input.float(85, "Long max position %", minval=0, maxval=100, group=groupV6Filters, tooltip="Don't buy if price is above this % of 100-bar range (prevents chasing highs).")
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shortPosMin = input.float(15, "Short min position %", minval=0, maxval=100, group=groupV6Filters, tooltip="Don't sell if price is below this % of 100-bar range (prevents chasing lows).")
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useVolumeFilter = input.bool(true, "Use volume filter", group=groupV6Filters, tooltip="Filter signals with extreme volume (too low = dead, too high = climax).")
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volMin = input.float(0.7, "Volume min ratio", minval=0.1, step=0.1, group=groupV6Filters, tooltip="Minimum volume relative to 20-bar MA.")
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volMax = input.float(3.5, "Volume max ratio", minval=0.5, step=0.5, group=groupV6Filters, tooltip="Maximum volume relative to 20-bar MA.")
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useRsiFilter = input.bool(true, "Use RSI momentum filter", group=groupV6Filters, tooltip="Ensure momentum confirms direction.")
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rsiLongMin = input.float(35, "RSI long minimum", minval=0, maxval=100, group=groupV6Filters)
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rsiLongMax = input.float(70, "RSI long maximum", minval=0, maxval=100, group=groupV6Filters)
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rsiShortMin = input.float(30, "RSI short minimum", minval=0, maxval=100, group=groupV6Filters)
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rsiShortMax = input.float(70, "RSI short maximum", minval=0, maxval=100, group=groupV6Filters)
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// Determine effective parameters based on selected mode/profile
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var string activeProfile = ""
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resSec = timeframe.in_seconds(timeframe.period)
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isMinutes = resSec < 3600
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isHours = resSec >= 3600 and resSec < 86400
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isDaily = resSec >= 86400 and resSec < 604800
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isWeeklyOrMore = resSec >= 604800
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// Resolve profile bucket
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string profileBucket = "Single"
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if paramMode == "Single"
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profileBucket := "Single"
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else
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if profileOverride == "Minutes"
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profileBucket := "Minutes"
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else if profileOverride == "Hours"
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profileBucket := "Hours"
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else if profileOverride == "Daily"
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profileBucket := "Daily"
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else if profileOverride == "Weekly/Monthly"
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profileBucket := "Weekly/Monthly"
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else
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profileBucket := isMinutes ? "Minutes" : isHours ? "Hours" : isDaily ? "Daily" : "Weekly/Monthly"
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atrPeriod = profileBucket == "Single" ? atrPeriodSingle : profileBucket == "Minutes" ? atr_m : profileBucket == "Hours" ? atr_h : profileBucket == "Daily" ? atr_d : atr_w
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multiplier = profileBucket == "Single" ? multiplierSingle : profileBucket == "Minutes" ? mult_m : profileBucket == "Hours" ? mult_h : profileBucket == "Daily" ? mult_d : mult_w
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activeProfile := profileBucket
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// Core Money Line logic (with selectable source)
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// Build selected source OHLC
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// Optimized: Calculate Heikin Ashi directly instead of using request.security()
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haC = srcMode == "Heikin Ashi" ? (open + high + low + close) / 4 : close
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haO = srcMode == "Heikin Ashi" ? (nz(haC[1]) + nz(open[1])) / 2 : open
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haH = srcMode == "Heikin Ashi" ? math.max(high, math.max(haO, haC)) : high
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haL = srcMode == "Heikin Ashi" ? math.min(low, math.min(haO, haC)) : low
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calcH = haH
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calcL = haL
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calcC = haC
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// ATR on selected source
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tr = math.max(calcH - calcL, math.max(math.abs(calcH - calcC[1]), math.abs(calcL - calcC[1])))
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atr = ta.rma(tr, atrPeriod)
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src = (calcH + calcL) / 2
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up = src - (multiplier * atr)
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dn = src + (multiplier * atr)
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var float up1 = na
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var float dn1 = na
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up1 := nz(up1[1], up)
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dn1 := nz(dn1[1], dn)
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up1 := calcC[1] > up1 ? math.max(up, up1) : up
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dn1 := calcC[1] < dn1 ? math.min(dn, dn1) : dn
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var int trend = 1
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var float tsl = na
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tsl := nz(tsl[1], up1)
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if trend == 1
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tsl := math.max(up1, tsl)
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trend := calcC < tsl ? -1 : 1
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else
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tsl := math.min(dn1, tsl)
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trend := calcC > tsl ? 1 : -1
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supertrend = tsl
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// Plot the Money Line
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upTrend = trend == 1 ? supertrend : na
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downTrend = trend == -1 ? supertrend : na
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plot(upTrend, "Up Trend", color=color.new(color.green, 0), style=plot.style_linebr, linewidth=2)
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plot(downTrend, "Down Trend", color=color.new(color.red, 0), style=plot.style_linebr, linewidth=2)
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// Show active profile on chart as a label (optimized - only on confirmed bar)
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showProfileLabel = input.bool(true, "Show active profile label", group="Profiles")
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var label profLbl = na
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if barstate.islast and barstate.isconfirmed and showProfileLabel
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label.delete(profLbl)
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profLbl := label.new(bar_index, close, text="Profile: " + activeProfile + " | ATR=" + str.tostring(atrPeriod) + " Mult=" + str.tostring(multiplier), yloc=yloc.price, style=label.style_label_upper_left, textcolor=color.white, color=color.new(color.blue, 20))
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// MACD confirmation logic
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[macdLine, macdSignal, macdHist] = ta.macd(macdSrc, macdFastLen, macdSlowLen, macdSigLen)
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longOk = not useMacd or (macdLine > macdSignal)
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shortOk = not useMacd or (macdLine < macdSignal)
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// Plot buy/sell signals (gated by optional MACD)
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buyFlip = trend == 1 and trend[1] == -1
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sellFlip = trend == -1 and trend[1] == 1
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// ADX computation (always calculate for context, but only filter if enabled)
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upMove = calcH - calcH[1]
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downMove = calcL[1] - calcL
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plusDM = (upMove > downMove and upMove > 0) ? upMove : 0.0
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minusDM = (downMove > upMove and downMove > 0) ? downMove : 0.0
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trADX = math.max(calcH - calcL, math.max(math.abs(calcH - calcC[1]), math.abs(calcL - calcC[1])))
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atrADX = ta.rma(trADX, adxLen)
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plusDMSmooth = ta.rma(plusDM, adxLen)
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minusDMSmooth = ta.rma(minusDM, adxLen)
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plusDI = atrADX == 0.0 ? 0.0 : 100.0 * plusDMSmooth / atrADX
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minusDI = atrADX == 0.0 ? 0.0 : 100.0 * minusDMSmooth / atrADX
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dx = (plusDI + minusDI == 0.0) ? 0.0 : 100.0 * math.abs(plusDI - minusDI) / (plusDI + minusDI)
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adxVal = ta.rma(dx, adxLen)
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adxOk = not useAdx or (adxVal > adxMin)
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// Entry buffer gates relative to current Money Line
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longBufferOk = not useEntryBuffer or (calcC > supertrend + entryBufferATR * atr)
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shortBufferOk = not useEntryBuffer or (calcC < supertrend - entryBufferATR * atr)
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// Confirmation bars after flip
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buyReady = ta.barssince(buyFlip) == confirmBars
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sellReady = ta.barssince(sellFlip) == confirmBars
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// === CONTEXT METRICS FOR SIGNAL QUALITY ===
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// Calculate ATR as percentage of price
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atrPercent = (atr / calcC) * 100
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// Calculate RSI
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rsi14 = ta.rsi(calcC, 14)
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// Volume ratio (current volume vs 20-bar MA)
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volMA20 = ta.sma(volume, 20)
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volumeRatio = volume / volMA20
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// v6 IMPROVEMENT: Price position in 100-bar range (was 20-bar in v5)
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highest100 = ta.highest(calcH, 100) // Changed from 20 to 100
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lowest100 = ta.lowest(calcL, 100) // Changed from 20 to 100
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priceRange = highest100 - lowest100
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pricePosition = priceRange == 0 ? 50.0 : ((calcC - lowest100) / priceRange) * 100
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// v6 NEW FILTERS
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// Price position filter - prevent chasing extremes
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longPositionOk = not usePricePosition or (pricePosition < longPosMax)
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shortPositionOk = not usePricePosition or (pricePosition > shortPosMin)
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// Volume filter - avoid dead or overheated moves
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volumeOk = not useVolumeFilter or (volumeRatio >= volMin and volumeRatio <= volMax)
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// RSI momentum filter
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rsiLongOk = not useRsiFilter or (rsi14 >= rsiLongMin and rsi14 <= rsiLongMax)
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rsiShortOk = not useRsiFilter or (rsi14 >= rsiShortMin and rsi14 <= rsiShortMax)
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// Final gated signals with v6 filters
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finalLongSignal = buyReady and longOk and adxOk and longBufferOk and longPositionOk and volumeOk and rsiLongOk
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finalShortSignal = sellReady and shortOk and adxOk and shortBufferOk and shortPositionOk and volumeOk and rsiShortOk
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plotshape(finalLongSignal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.circle, size=size.small)
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plotshape(finalShortSignal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.circle, size=size.small)
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// Extract base currency from ticker (e.g., "ETHUSD" -> "ETH", "SOLUSD" -> "SOL")
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baseCurrency = str.replace(syminfo.ticker, "USD", "")
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baseCurrency := str.replace(baseCurrency, "USDT", "")
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baseCurrency := str.replace(baseCurrency, "PERP", "")
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// Indicator version for tracking in database
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indicatorVer = "v6"
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// Build enhanced alert messages with context (timeframe.period is dynamic)
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longAlertMsg = baseCurrency + " buy " + timeframe.period + " | ATR:" + str.tostring(atrPercent, "#.##") + " | ADX:" + str.tostring(adxVal, "#.#") + " | RSI:" + str.tostring(rsi14, "#.#") + " | VOL:" + str.tostring(volumeRatio, "#.##") + " | POS:" + str.tostring(pricePosition, "#.#") + " | IND:" + indicatorVer
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shortAlertMsg = baseCurrency + " sell " + timeframe.period + " | ATR:" + str.tostring(atrPercent, "#.##") + " | ADX:" + str.tostring(adxVal, "#.#") + " | RSI:" + str.tostring(rsi14, "#.#") + " | VOL:" + str.tostring(volumeRatio, "#.##") + " | POS:" + str.tostring(pricePosition, "#.#") + " | IND:" + indicatorVer
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// Fire alerts with dynamic messages (use alert() not alertcondition() for dynamic content)
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if finalLongSignal
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alert(longAlertMsg, alert.freq_once_per_bar_close)
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if finalShortSignal
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alert(shortAlertMsg, alert.freq_once_per_bar_close)
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// Fill area between price and Money Line
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fill(plot(close, display=display.none), plot(upTrend, display=display.none), color=color.new(color.green, 90))
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fill(plot(close, display=display.none), plot(downTrend, display=display.none), color=color.new(color.red, 90))
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