VWAP Mean Reversion (RSI + Deviation + ATR Risk)33

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คำอธิบาย

this is an indicator that relies on other indicators. it relies on volume price action fvgs.OBS. and standard deviations.

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Pine Script Source

//@version=5
strategy("VWAP Mean Reversion (RSI + Deviation + ATR Risk)",
     overlay=true,
     initial_capital=10000,
     pyramiding=0,
     process_orders_on_close=true,
     calc_on_order_fills=true)

// ───────── Inputs
qty           = input.int(1, "Contracts/Shares", minval=1)

rsiLen        = input.int(14, "RSI Length", minval=1)
rsiOS         = input.int(30, "RSI Oversold", minval=1, maxval=50)
rsiOB         = input.int(70, "RSI Overbought", minval=50, maxval=99)

devLen        = input.int(50, "Deviation Lookback", minval=10)
devMult       = input.float(2.0, "Deviation Mult (Z-like)", step=0.1, minval=0.5)

atrLen        = input.int(14, "ATR Length", minval=1)
stopATR       = input.float(2.0, "Stop = ATR Mult", step=0.1, minval=0.5)
targetR       = input.float(1.2, "Target = R Multiple", step=0.1, minval=0.5)

useHTFTrend   = input.bool(true, "HTF Trend Filter")
htfTf         = input.timeframe("60", "HTF (e.g., 60, 240, D)")
htfEmaLen     = input.int(200, "HTF EMA Length", minval=1)

useSession    = input.bool(false, "Use Session Filter")
sessionStr    = input.session("0830-1500", "Session (Exchange Time)")

exitAtVWAP    = input.bool(true, "Take Profit at VWAP (else fixed R)")
timeStopOn    = input.bool(true, "Time Stop")
timeStopBars  = input.int(25, "Time Stop Bars", minval=5)

// ───────── Filters
inSession = not useSession or not na(time(timeframe.period, sessionStr))

htfEma = request.security(syminfo.tickerid, htfTf, ta.ema(close, htfEmaLen), barmerge.gaps_off, barmerge.lookahead_off)
trendLongOk  = not useHTFTrend or close >= htfEma
trendShortOk = not useHTFTrend or close <= htfEma

// ───────── Core signals
vwap = ta.vwap(hlc3)
rsi  = ta.rsi(close, rsiLen)
atr  = ta.atr(atrLen)

// Deviation from VWAP (standardized)
dist      = close - vwap
distMean  = ta.sma(dist, devLen)
distStd   = ta.stdev(dist, devLen)
z         = distStd != 0 ? (dist - distMean) / distStd : 0.0

// ───────── Entry logic (fade extremes)
longCond  = inSession and trendLongOk  and (z <= -devMult) and (rsi <= rsiOS)
shortCond = inSession and trendShortOk and (z >=  devMult) and (rsi >= rsiOB)

if (longCond and strategy.position_size <= 0)
    strategy.entry("Long", strategy.long, qty=qty)

if (shortCond and strategy.position_size >= 0)
    strategy.entry("Short", strategy.short, qty=qty)

// ───────── Risk (hard stop + target)
riskDist = atr * stopATR

longStop   = strategy.position_avg_price - riskDist
shortStop  = strategy.position_avg_price + riskDist

longTargetR  = strategy.position_avg_price + riskDist * targetR
shortTargetR = strategy.position_avg_price - riskDist * targetR

// If exitAtVWAP, profit target is VWAP (but never worse than fixed-R target)
longLimit  = exitAtVWAP ? math.max(vwap, longTargetR)  : longTargetR
shortLimit = exitAtVWAP ? math.min(vwap, shortTargetR) : shortTargetR

strategy.exit("LX", from_entry="Long",  stop=longStop,  limit=longLimit)
strategy.exit("SX", from_entry="Short", stop=shortStop, limit=shortLimit)

// ───────── Time stop
var int entryBar = na
if (strategy.position_size != 0 and strategy.position_size[1] == 0)
    entryBar := bar_index
if (strategy.position_size == 0)
    entryBar := na

if timeStopOn and strategy.position_size != 0 and not na(entryBar)
    if (bar_index - entryBar) >= timeStopBars
        strategy.close(strategy.position_size > 0 ? "Long" : "Short", comment="TimeStop")

// ───────── Visuals
plot(vwap, "VWAP", color=color.yellow, linewidth=2)
plot(htfEma, "HTF EMA", color=color.gray)
plotchar(longCond,  "Long",  "▲", location=location.belowbar, size=size.tiny)
plotchar(shortCond, "Short", "▼", location=location.abovebar, size=size.tiny)