indicator-ttr-supertrend-ny-clarity-filter.pine

//@version=6
indicator("TTR + Supertrend + NY Clarity Filter [Indicator]", overlay=true)

// --- Supertrend Parameters ---
atrPeriod = input.int(10, "ATR Length", minval=1)
factor = input.float(3.0, "Factor", minval=0.01, step=0.01)

// --- TTR Inputs ---
ttrLongCondition = ta.crossover(ta.sma(close, 5), ta.sma(close, 20))
ttrShortCondition = ta.crossunder(ta.sma(close, 5), ta.sma(close, 20))

// --- Supertrend Calculation ---
[supertrend, direction] = ta.supertrend(factor, atrPeriod)

// --- NY Clarity Filter Inputs ---
nyOpenHour = input.int(9, "NY Open Hour (ET)", minval=0, maxval=23)
nyOpenMin = input.int(30, "NY Open Minute (ET)", minval=0, maxval=59)
premarketStartHour = input.int(7, "Premarket Start Hour (ET)", minval=0, maxval=23)
premarketStartMin = input.int(0, "Premarket Start Minute (ET)", minval=0, maxval=59)
premarketVolThreshold = input.float(80, "Premarket Volume % Threshold", minval=0, maxval=200)
overnightRangeCompressionPct = input.float(50, "Max Overnight Range Compression %", minval=0, maxval=100)
openingVolumeThrustMultiplier = input.float(2.0, "Opening Minute Volume Thrust Multiplier", minval=0.1, maxval=10)

// --- Helper Function ---
f_isInSession(_startH, _startM, _endH, _endM) =>
    (hour > _startH or (hour == _startH and minute >= _startM)) and (hour < _endH or (hour == _endH and minute <= _endM))

premarketSession = f_isInSession(premarketStartHour, premarketStartMin, nyOpenHour, nyOpenMin)
nySession = f_isInSession(nyOpenHour, nyOpenMin, 16, 0)

// --- NY Clarity Filter Data Storage ---
var float[] premarketVols = array.new_float()
var float premarketVolToday = 0.0
var int premarketDay_ = na

if dayofmonth != premarketDay_
    premarketDay_ := dayofmonth
    premarketVolToday := 0.0

if premarketSession
    premarketVolToday += volume

if (hour == nyOpenHour and minute == nyOpenMin and barstate.islast)
    array.unshift(premarketVols, premarketVolToday)
    if array.size(premarketVols) > 10
        array.pop(premarketVols)

premarketVolAvg = array.size(premarketVols) > 0 ? array.avg(premarketVols) : 0.0
premarketVolPct = premarketVolAvg > 0 ? (premarketVolToday / premarketVolAvg) * 100 : 100
filter1 = premarketVolPct >= premarketVolThreshold

prevClose = request.security(syminfo.tickerid, "D", close[1])
todayOpen = open
overnightRange = math.abs(todayOpen - prevClose)

var float[] overnightRanges = array.new_float()
if (hour == nyOpenHour and minute == nyOpenMin and barstate.islast)
    array.unshift(overnightRanges, overnightRange)
    if array.size(overnightRanges) > 10
        array.pop(overnightRanges)

overnightRangeAvg = array.size(overnightRanges) > 0 ? array.avg(overnightRanges) : 0.0
compressionPct = overnightRangeAvg > 0 ? (overnightRange / overnightRangeAvg) * 100 : 100
filter2 = compressionPct <= overnightRangeCompressionPct

prevHigh = request.security(syminfo.tickerid, "D", high[1])
prevLow = request.security(syminfo.tickerid, "D", low[1])
sweptPDH = high > prevHigh and close < prevHigh
sweptPDL = low < prevLow and close > prevLow
filter3 = sweptPDH or sweptPDL

var float openingMinVolume = na
if (hour == nyOpenHour and minute == nyOpenMin)
    openingMinVolume := volume

var float[] preNyVolumes = array.new_float()
if not nySession and not premarketSession and barstate.islast
    array.unshift(preNyVolumes, volume)
    if array.size(preNyVolumes) > 10
        array.pop(preNyVolumes)

preNyVolAvg = array.size(preNyVolumes) > 0 ? array.avg(preNyVolumes) : 0.0
filter4 = openingMinVolume >= preNyVolAvg * openingVolumeThrustMultiplier

filterScore = (filter1 ? 1 : 0) + (filter2 ? 1 : 0) + (filter3 ? 1 : 0) + (filter4 ? 1 : 0)
sessionLikelyClean = filterScore >= 3

longSupertrend = direction < 0
shortSupertrend = direction > 0

ttrLongSignal = ttrLongCondition and longSupertrend
ttrShortSignal = ttrShortCondition and shortSupertrend

plotshape(ttrLongSignal and sessionLikelyClean, title="Long Entry", location=location.belowbar, color=color.green, style=shape.labelup, text="Long")
plotshape(ttrShortSignal and sessionLikelyClean, title="Short Entry", location=location.abovebar, color=color.red, style=shape.labeldown, text="Short")

plotshape(ttrLongSignal and not sessionLikelyClean, title="Long Blocked", location=location.belowbar, color=color.gray, style=shape.xcross, text="Blocked")
plotshape(ttrShortSignal and not sessionLikelyClean, title="Short Blocked", location=location.abovebar, color=color.gray, style=shape.xcross, text="Blocked")

bgcolor(sessionLikelyClean ? color.new(color.green, 90) : color.new(color.red, 90))

var label dash = na
if na(dash)
    dash := label.new(bar_index, high, "", xloc.bar_index, yloc.price, style=label.style_label_left, color=color.new(color.black, 80), textcolor=color.white, size=size.small)

// Construct dashboard string separately to avoid multi-line assignment errors
dashboardText = "NY Clarity Filter\n"
dashboardText += "Premkt Vol %: " + str.tostring(premarketVolPct, "#.0") + "% (" + (filter1 ? "✔" : "✘") + ")\n"
dashboardText += "Overnight Range Compression: " + str.tostring(compressionPct, "#.0") + "% (" + (filter2 ? "✔" : "✘") + ")\n"
dashboardText += "PDH/PDL Sweep+Reject: " + (filter3 ? "✔" : "✘") + "\n"
dashboardText += "Opening Vol Thrust: " + (filter4 ? "✔" : "✘") + "\n"
dashboardText += "Score: " + str.tostring(filterScore) + "/4\n"
dashboardText += "Session Clean: " + (sessionLikelyClean ? "✔" : "✘")

label.set_xy(dash, bar_index, high)
label.set_text(dash, dashboardText)

alertcondition(not sessionLikelyClean and (ttrLongSignal or ttrShortSignal), title="Blocked Trade Due to NY Clarity Filter", message="Trade blocked because NY session likely not clean.")