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