65 lines
2.9 KiB
Text
65 lines
2.9 KiB
Text
|
// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
|
||
|
|
// © Acum08
|
||
|
|
|
||
|
|
//@version=6
|
||
|
|
strategy("Institutional Flow Volume Block Analyzer", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=3)
|
||
|
|
|
||
|
|
// Inputs
|
||
|
|
lookbackPeriod = input.int(20, "Volume Lookback Period")
|
||
|
|
volumeThreshold = input.float(2.0, "Volume Spike Multiplier")
|
||
|
|
minVolumeFilter = input.float(0, "Minimum Volume Filter (0 = Off)")
|
||
|
|
impactDecayFactor = input.float(0.9, "Impact Decay Factor")
|
||
|
|
signalThreshold = input.float(0.5, "Signal Threshold for Entries")
|
||
|
|
useTrailingStop = input.bool(true, "Use Trailing Stop")
|
||
|
|
stopPercent = input.float(1.5, "Trailing Stop %")
|
||
|
|
|
||
|
|
// Calculate average volume
|
||
|
|
avgVolume = ta.sma(volume, lookbackPeriod)
|
||
|
|
|
||
|
|
// Identify high volume block trades
|
||
|
|
isHighVolume = volume > avgVolume * volumeThreshold and (minVolumeFilter == 0 or volume >= minVolumeFilter)
|
||
|
|
blockDirection = close > open ? 1 : close < open ? -1 : 0
|
||
|
|
|
||
|
|
// Calculate impact with decay for cumulative flow
|
||
|
|
var float cumulativeImpact = 0.0
|
||
|
|
cumulativeImpact := cumulativeImpact * impactDecayFactor + (isHighVolume ? blockDirection : 0)
|
||
|
|
|
||
|
|
// Entry conditions based on institutional flow momentum
|
||
|
|
longEntry = ta.crossover(cumulativeImpact, signalThreshold)
|
||
|
|
shortEntry = ta.crossunder(cumulativeImpact, -signalThreshold)
|
||
|
|
|
||
|
|
// Strategy entries
|
||
|
|
if (longEntry)
|
||
|
|
strategy.entry("Long", strategy.long)
|
||
|
|
if (shortEntry)
|
||
|
|
strategy.entry("Short", strategy.short)
|
||
|
|
|
||
|
|
// Exit condition: close opposite position if flow reverses
|
||
|
|
if (cumulativeImpact < -signalThreshold)
|
||
|
|
strategy.close("Long")
|
||
|
|
if (cumulativeImpact > signalThreshold)
|
||
|
|
strategy.close("Short")
|
||
|
|
|
||
|
|
// Trailing stop management
|
||
|
|
if useTrailingStop
|
||
|
|
trailValue = stopPercent / 100 * close
|
||
|
|
if strategy.position_size > 0
|
||
|
|
strategy.exit("Stop Long", "Long", trail_offset=trailValue, trail_points=trailValue)
|
||
|
|
if strategy.position_size < 0
|
||
|
|
strategy.exit("Stop Short", "Short", trail_offset=trailValue, trail_points=trailValue)
|
||
|
|
|
||
|
|
// Visuals: color the bars based on cumulative impact
|
||
|
|
barcolor(
|
||
|
|
cumulativeImpact > 0.5 ? color.new(color.green, 0) :
|
||
|
|
cumulativeImpact > 0.1 ? color.new(color.lime, 50) :
|
||
|
|
cumulativeImpact > 0 ? color.new(color.yellow, 80) :
|
||
|
|
cumulativeImpact == 0 ? color.gray :
|
||
|
|
cumulativeImpact > -0.1? color.new(color.orange, 80):
|
||
|
|
cumulativeImpact > -0.5? color.new(color.red, 50) :
|
||
|
|
color.new(color.red, 0))
|
||
|
|
// Plot cumulative impact line
|
||
|
|
plot(cumulativeImpact, color=color.blue, title="Institutional Buying/Selling Momentum")
|
||
|
|
|
||
|
|
// Plot volume spikes markers
|
||
|
|
plotshape(isHighVolume and blockDirection == 1, title="Buy Spike", location=location.abovebar, style=shape.triangleup, size=size.tiny, color=color.green)
|
||
|
|
plotshape(isHighVolume and blockDirection == -1, title="Sell Spike", location=location.belowbar, style=shape.triangledown, size=size.tiny, color=color.red)
|