forex-scalping.com

Code: Select all

//@version=5
strategy("Institutional Gold Scalper [Asymmetric Journaling]", shorttitle="XAU Pro Scalp", overlay=true, calc_on_every_tick=true, initial_capital=100000, currency=currency.USD, commission_value=3.0)

// =========================================================================
// 1. INPUTS & CONFIGURATION
// =========================================================================
grpRisk = "Risk & Position Sizing"
inpRiskPct    = input.float(1.0, title="Risk Per Trade (%)", step=0.1, group=grpRisk, tooltip="Position size is dynamically calculated based on this risk % and the SL distance.")
inpStopLoss   = input.int(200, title="Hard Stop Loss (Ticks)", group=grpRisk)
inpTakeProfit = input.int(400, title="Take Profit (Ticks)", group=grpRisk)

grpTime = "Time Stop Mechanics"
inpTimeStopMins = input.int(15, title="Time Stop Window (Minutes)", group=grpTime)

grpPA = "Price Action Sensitivity"
inpSweepSize  = input.float(0.6, title="Sweep Wick Min %", step=0.1, group=grpPA, tooltip="For a trap, the wick must be at least this % of the total candle size.")
inpDispSize   = input.float(0.8, title="Displacement Body Min %", step=0.1, group=grpPA, tooltip="For momentum, the body must be at least this % of the total candle size.")

// =========================================================================
// 2. MTF DATA REQUESTS (Strict Anti-Repaint)
// =========================================================================
// Fetching the last CLOSED M5 candle to prevent lookahead bias.
// We use a custom function to calculate M5 internal metrics efficiently.
f_get_m5_data() =>
    body = math.abs(close - open)
    range_ = high - low
    topWick = high - math.max(close, open)
    btmWick = math.min(close, open) - low
    
    // Sweep Detectors
    isBullSweep = range_ > 0 and (btmWick / range_ >= inpSweepSize) and close > open
    isBearSweep = range_ > 0 and (topWick / range_ >= inpSweepSize) and close < open
    
    // Displacement Detectors (FVG/Imbalance precursors)
    isBullDisp = range_ > 0 and (body / range_ >= inpDispSize) and close > open
    isBearDisp = range_ > 0 and (body / range_ >= inpDispSize) and close < open
    
    [isBullSweep, isBearSweep, isBullDisp, isBearDisp, high, low]

[m5BullSweep, m5BearSweep, m5BullDisp, m5BearDisp, m5H, m5L] = request.security(syminfo.tickerid, "5", f_get_m5_data(), lookahead=barmerge.lookahead_off)

// Establish M5 Context (Holds until a new context overrides it)
var int m5Bias = 0 // 1 = Long, -1 = Short, 0 = Neutral
if m5BullSweep or m5BullDisp
    m5Bias := 1
else if m5BearSweep or m5BearDisp
    m5Bias := -1
else 
    // Decay bias if M5 prints neutral chop (dojis)
    m5Bias := 0 

// =========================================================================
// 3. M1 MICROSTRUCTURE ENTRY LOGIC
// =========================================================================
// We only want to execute on the *first* valid M1 pullback to prevent overtrading.
var bool signalExecuted = false
if m5Bias == 0
    signalExecuted := false // Reset when M5 loses clarity

// M1 Confirmation: Engulfing or strong momentum in the direction of M5 bias
m1BullConfirm = close > open and close > high[1] // Reclaim / Engulf
m1BearConfirm = close < open and close < low[1]  // Rejection / Engulf

bool validLong  = m5Bias == 1 and m1BullConfirm and not signalExecuted
bool validShort = m5Bias == -1 and m1BearConfirm and not signalExecuted

// =========================================================================
// 4. POSITION SIZING & EXECUTION
// =========================================================================
// Dynamic Position Sizing based on Account Equity and Tick Value
float riskAmount = (strategy.equity * inpRiskPct) / 100
float tickValue  = syminfo.mintick * syminfo.pointvalue
float slCashRisk = inpStopLoss * tickValue
float dynamicQty = slCashRisk > 0 ? (riskAmount / slCashRisk) : 0

var string tradeId = "Scalp"

if strategy.position_size == 0
    if validLong
        strategy.entry(tradeId, strategy.long, qty=dynamicQty)
        strategy.exit("SL/TP", from_entry=tradeId, loss=inpStopLoss, profit=inpTakeProfit)
        signalExecuted := true
        
    if validShort
        strategy.entry(tradeId, strategy.short, qty=dynamicQty)
        strategy.exit("SL/TP", from_entry=tradeId, loss=inpStopLoss, profit=inpTakeProfit)
        signalExecuted := true

// =========================================================================
// 5. STRICT TIME STOP MANAGEMENT
// =========================================================================
int barsInTrade = 0
if strategy.position_size != 0
    entryBarIndex = strategy.opentrades.entry_bar_index(strategy.opentrades - 1)
    barsInTrade  := bar_index - entryBarIndex
    
    // Time Stop Execution
    if barsInTrade >= inpTimeStopMins
        strategy.close(tradeId, comment="Time Stop") // Clean CSV output

// =========================================================================
// 6. UI & TELEMETRY DASHBOARD
// =========================================================================
// Draw M5 Sweep/Displacement levels on the M1 chart for visual backtesting
bgcolor(m5BullSweep or m5BullDisp ? color.new(color.teal, 90) : na, title="M5 Bull Zone")
bgcolor(m5BearSweep or m5BearDisp ? color.new(color.maroon, 90) : na, title="M5 Bear Zone")

var table hud = table.new(position.top_right, 2, 4, border_width=1, border_color=color.gray, frame_color=color.black, frame_width=1)

if barstate.islast
    // Header
    table.cell(hud, 0, 0, "SYSTEM", text_color=color.white, bgcolor=color.black)
    table.cell(hud, 1, 0, "STATE", text_color=color.white, bgcolor=color.black)
    
    // M5 Bias
    color biasColor = m5Bias == 1 ? color.teal : m5Bias == -1 ? color.maroon : color.gray
    string biasText = m5Bias == 1 ? "BULLISH" : m5Bias == -1 ? "BEARISH" : "NEUTRAL"
    table.cell(hud, 0, 1, "M5 Bias", text_color=color.white, bgcolor=color.new(color.gray, 80))
    table.cell(hud, 1, 1, biasText, text_color=color.white, bgcolor=biasColor)
    
    // Position Status
    string posText = strategy.position_size > 0 ? "LONG" : strategy.position_size < 0 ? "SHORT" : "FLAT"
    color posColor = strategy.position_size > 0 ? color.teal : strategy.position_size < 0 ? color.maroon : color.gray
    table.cell(hud, 0, 2, "Active Trade", text_color=color.white, bgcolor=color.new(color.gray, 80))
    table.cell(hud, 1, 2, posText, text_color=color.white, bgcolor=posColor)
    
    // Time Stop Countdown
    string timeText = strategy.position_size != 0 ? str.tostring(barsInTrade) + " / " + str.tostring(inpTimeStopMins) + "m" : "--"
    color timeColor = strategy.position_size != 0 ? (barsInTrade >= inpTimeStopMins - 2 ? color.red : color.green) : color.gray
    table.cell(hud, 0, 3, "Time Elapsed", text_color=color.white, bgcolor=color.new(color.gray, 80))
    table.cell(hud, 1, 3, timeText, text_color=color.white, bgcolor=timeColor)

Code: Select all

using cAlgo.API;
using cAlgo.API.Internals;
using System;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class GoldProScalp : Robot
    {
        // =========================================================================
        // INPUTS & CONFIGURATION
        // =========================================================================
        [Parameter("Risk Per Trade (%)", Group = "Risk Management", DefaultValue = 1.0, MinValue = 0.1, Step = 0.1)]
        public double RiskPercent { get; set; }

        [Parameter("Hard Stop Loss (Pips)", Group = "Risk Management", DefaultValue = 20)]
        public double StopLossPips { get; set; }

        [Parameter("Take Profit (Pips)", Group = "Risk Management", DefaultValue = 40)]
        public double TakeProfitPips { get; set; }

        [Parameter("Time Stop Window (Minutes)", Group = "Time Stop Mechanics", DefaultValue = 15)]
        public int TimeStopMinutes { get; set; }

        [Parameter("Sweep Wick Min %", Group = "Price Action Sensitivity", DefaultValue = 0.6)]
        public double SweepWickMinRatio { get; set; }

        [Parameter("Displacement Body Min %", Group = "Price Action Sensitivity", DefaultValue = 0.8)]
        public double DisplacementBodyMinRatio { get; set; }

        // =========================================================================
        // STATE & GLOBALS
        // =========================================================================
        private Bars _m5Bars;
        private MarketBias _m5Bias = MarketBias.Neutral;
        private bool _signalExecuted = false;
        private const string TradeLabel = "XAU_Pro_Scalp";

        private enum MarketBias { Neutral, Bullish, Bearish }

        // =========================================================================
        // INITIALIZATION
        // =========================================================================
        protected override void OnStart()
        {
            // Initialize MTF Data Series (No lookahead bias, naturally aligned)
            _m5Bars = MarketData.GetBars(TimeFrame.Minute5);
        }

        // =========================================================================
        // TICK EVENT: STRICT TIME STOP MANAGEMENT
        // =========================================================================
        protected override void OnTick()
        {
            var activePositions = Positions.FindAll(TradeLabel, SymbolName);

            foreach (var position in activePositions)
            {
                TimeSpan elapsed = Server.Time - position.EntryTime;

                if (elapsed.TotalMinutes >= TimeStopMinutes)
                {
                    // Asymmetric Journaling: Log the specific failure mode before the kill command
                    Print($"TIME STOP TRIGGERED: Pos #{position.Id} | Elapsed: {elapsed.TotalMinutes:F1}m | PnL: {position.NetProfit:C}. Reason: Lack of momentum.");
                    ClosePosition(position);
                }
            }
        }

        // =========================================================================
        // BAR EVENT: MICROSTRUCTURE ENTRY LOGIC (Runs on M1 Bar Close)
        // =========================================================================
        protected override void OnBar()
        {
            // 1. Manage State: Reset execution lock if M5 loses clarity
            UpdateM5Bias();
            if (_m5Bias == MarketBias.Neutral)
            {
                _signalExecuted = false;
                return;
            }

            // If a position is already open, do not pyramid
            if (Positions.FindAll(TradeLabel, SymbolName).Length > 0)
                return;

            // 2. M1 Confirmation (Engulfing / Reclaim)
            bool isM1BullConfirm = Bars.Last(1).Close > Bars.Last(1).Open && Bars.Last(1).Close > Bars.Last(2).High;
            bool isM1BearConfirm = Bars.Last(1).Close < Bars.Last(1).Open && Bars.Last(1).Close < Bars.Last(2).Low;

            // 3. Execution
            if (_m5Bias == MarketBias.Bullish && isM1BullConfirm && !_signalExecuted)
            {
                ExecuteScalp(TradeType.Buy);
            }
            else if (_m5Bias == MarketBias.Bearish && isM1BearConfirm && !_signalExecuted)
            {
                ExecuteScalp(TradeType.Sell);
            }
        }

        // =========================================================================
        // METHODS: MTF ANALYSIS & POSITION SIZING
        // =========================================================================
        private void UpdateM5Bias()
        {
            // Always reference the last *closed* M5 bar to lock the structure
            var lastM5 = _m5Bars.Last(1);

            double body = Math.Abs(lastM5.Close - lastM5.Open);
            double range = lastM5.High - lastM5.Low;
            
            if (range == 0) return;

            double topWick = lastM5.High - Math.Max(lastM5.Close, lastM5.Open);
            double bottomWick = Math.Min(lastM5.Close, lastM5.Open) - lastM5.Low;

            // Sweep Detectors (Liquidity Traps)
            bool isBullSweep = (bottomWick / range >= SweepWickMinRatio) && (lastM5.Close > lastM5.Open);
            bool isBearSweep = (topWick / range >= SweepWickMinRatio) && (lastM5.Close < lastM5.Open);

            // Displacement Detectors (Momentum / Imbalance)
            bool isBullDisp = (body / range >= DisplacementBodyMinRatio) && (lastM5.Close > lastM5.Open);
            bool isBearDisp = (body / range >= DisplacementBodyMinRatio) && (lastM5.Close < lastM5.Open);

            if (isBullSweep || isBullDisp)
                _m5Bias = MarketBias.Bullish;
            else if (isBearSweep || isBearDisp)
                _m5Bias = MarketBias.Bearish;
            else
                _m5Bias = MarketBias.Neutral;
        }

        private void ExecuteScalp(TradeType tradeType)
        {
            double riskInMoney = Account.Equity * (RiskPercent / 100);
            
            // cTrader specific: Calculate volume based on risk amount and pip value
            double volumeCalc = riskInMoney / (StopLossPips * Symbol.PipValue);
            double normalizedVolume = Symbol.NormalizeVolumeInUnits(volumeCalc, RoundingMode.Down);

            if (normalizedVolume < Symbol.VolumeInUnitsMin)
            {
                Print("Calculated volume is below symbol minimum. Aborting execution.");
                return;
            }

            var result = ExecuteMarketOrder(tradeType, SymbolName, normalizedVolume, TradeLabel, StopLossPips, TakeProfitPips);

            if (result.IsSuccessful)
            {
                _signalExecuted = true;
                Print($"ENTRY VALIDATED: {tradeType} executed. Time Stop initialized for {TimeStopMinutes} mins.");
            }
        }
    }
}