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

//@version=6
strategy("TTR + Supertrend + NY Clarity Filter", 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 (simplified example placeholders) ---
ttrLongCondition = ta.crossover(ta.sma(close, 5), ta.sma(close, 20))  // Replace with actual TTR logic
ttrShortCondition = ta.crossunder(ta.sma(close, 5), ta.sma(close, 20)) // Replace with actual TTR logic

// --- 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))

// Premarket and NY session determination
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  // <<< FIX: changed variable name from "premarketDay" to "premarketDay_"

// Reset daily premarket volume
if dayofmonth != premarketDay_
    premarketDay_ := dayofmonth
    premarketVolToday := 0.0

// Accumulate premarket volume
if premarketSession
    premarketVolToday += volume

// Store premarket volume at NY open
if (hour == nyOpenHour and minute == nyOpenMin and barstate.islast)
    array.unshift(premarketVols, premarketVolToday)
    if array.size(premarketVols) > 10
        array.pop(premarketVols)

// 10-day avg premarket volume
premarketVolAvg = 0.0
if array.size(premarketVols) > 0
    sumVol = 0.0
    for i = 0 to array.size(premarketVols) - 1
        sumVol += array.get(premarketVols, i)
    premarketVolAvg := sumVol / array.size(premarketVols)

// Filter 1: Premarket volume %
premarketVolPct = premarketVolAvg > 0 ? (premarketVolToday / premarketVolAvg) * 100 : 100
filter1 = premarketVolPct >= premarketVolThreshold

// Filter 2: Overnight Range Compression
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 = 0.0
if array.size(overnightRanges) > 0
    sumRange = 0.0
    for i = 0 to array.size(overnightRanges) - 1
        sumRange += array.get(overnightRanges, i)
    overnightRangeAvg := sumRange / array.size(overnightRanges)

compressionPct = overnightRangeAvg > 0 ? (overnightRange / overnightRangeAvg) * 100 : 100
filter2 = compressionPct <= overnightRangeCompressionPct

// Filter 3: PDH/PDL Sweep + Rejection
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

// Filter 4: Opening Minute Volume Thrust
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 = 0.0
if array.size(preNyVolumes) > 0
    sumVol = 0.0
    for i = 0 to array.size(preNyVolumes) - 1
        sumVol += array.get(preNyVolumes, i)
    preNyVolAvg := sumVol / array.size(preNyVolumes)

filter4 = openingMinVolume >= preNyVolAvg * openingVolumeThrustMultiplier

// Final filter score and boolean
filterScore = (filter1 ? 1 : 0) + (filter2 ? 1 : 0) + (filter3 ? 1 : 0) + (filter4 ? 1 : 0)
sessionLikelyClean = filterScore >= 3

// --- Strategy Entry Conditions ---
longSupertrend = direction < 0  // uptrend
shortSupertrend = direction > 0 // downtrend

ttrLongSignal = ttrLongCondition and longSupertrend
ttrShortSignal = ttrShortCondition and shortSupertrend

longEntryAllowed = sessionLikelyClean and ttrLongSignal
shortEntryAllowed = sessionLikelyClean and ttrShortSignal

if (longEntryAllowed)
    strategy.entry("Long", strategy.long)
else if (ttrLongSignal and not sessionLikelyClean)
    label.new(bar_index, high, "Long Blocked", color=color.red, style=label.style_label_down, textcolor=color.white, size=size.small)

if (shortEntryAllowed)
    strategy.entry("Short", strategy.short)
else if (ttrShortSignal and not sessionLikelyClean)
    label.new(bar_index, low, "Short Blocked", color=color.red, style=label.style_label_up, textcolor=color.white, size=size.small)

// --- Dashboard Plot ---
var label dash = na
dashboardText = "NY Clarity Filter\n" +
   "Premkt Vol %: " + str.tostring(premarketVolPct, "#.0") + "% (" + (filter1 ? "✔" : "✘") + ")\n" +
   "Overnight Range Compression: " + str.tostring(compressionPct, "#.0") + "% (" + (filter2 ? "✔" : "✘") + ")\n" +
   "PDH/PDL Sweep+Reject: " + (filter3 ? "✔" : "✘") + "\n" +
   "Opening Vol Thrust: " + (filter4 ? "✔" : "✘") + "\n" +
   "Score: " + str.tostring(filterScore) + "/4\n" +
   "Session Clean: " + (sessionLikelyClean ? "✔" : "✘")

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

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

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