AlgoIndex - All Stages (AM & Mid-Day Long/Short)

3 日前

Scope (read first)
ES1! on 5-minute only. The strategy backtests ES fills; alerts can post JSON messages to a Webhook URL you configure. Exits are target-based with ITTC - if ES touches target intra-bar, an exit alert is sent immediately. No fixed ES stop-loss. Positions can also exit at scheduled time-based safety closes (session end, holiday/half-day, or expiration end). You can always close manually.

What this is
One intraday engine with four session presets (“Stages”). Stages only change session windows, trade side, and a few risk/confirmation governors—the core logic is the same. Single invite-only listing; not a multi-post suite.

How it trades

• Opening Range (OR): Each Stage begins with a short OR at its session start; that Stage won’t take entries until its OR closes.
  
• VWAP alignment: Trade with flow. Price must align with VWAP (simple pass/fail; optional gap offset).
  
• Real breakouts only: A composite “impulse” check looks for volume expansion, recent momentum, ATR-scaled range, body/range quality, and a clean OR break (or a gap-aware extension).
  
• Entry & target: Entries occur on the signal bar’s close; targets are set in underlying (ES) units.
  
• ITTC (close on touch): If ES touches target intra-bar, ITTC sends a one-shot exit.
  
• Adds (preset by Stage): S1/S2/S3 allow up to two adds on defined ES retraces; S4 disables adds. Adds use a fixed scale-out policy handled internally—no user input required.
  
• Time-based safety closes: At the configured session end (and on holiday/half-day or expiration when applicable), any open position is closed. These are time exits, not price stops.
  

Why traders use it
A progressive filter for intraday continuity: OR context → VWAP alignment → authentic breakout (impulse) → ITTC to sync ES triggers with options execution. Stage-governed adds keep scaled positions coherent from open to close.

Stages (session templates; one engine)

• S1 — 09:30–11:20 NY, Long-only. Standard impulse; adds ON.
  
• S2 — 09:30–11:30 NY, Short-only. Tighter breakout standard; adds ON.
  
• S3 — 11:15–15:15 NY, Long-only. Trade-protection ON; slightly lower underlying target; adds ON.
  
• S4 — 11:30–14:30 NY, Short-only. Alternative trigger governor; slightly lower underlying target; adds OFF.
  

You can replicate any Stage via session times, side, and thresholds; presets exist for convenience and auditability.

Public inputs (what you can adjust)

Contracts (order size)

• TP (Underlying) and TP (Options)
  
• Trade Limiter (toggle) + Max profitable trades per session
  
• Session settings: Exchange Day Session times, optional Custom Time Zone, Session 1 times, optional Session 2, and day-of-week checkboxes
  
• Visual overlays (display-only): VWAP, Prior-Day High/Low, Session High/Low, Round Numbers, Bias Banner, Trade Markers
  
• Display: Inputs in status line
  

Alerts (how to use)
Create an alert on this strategy and select “Any alert() function call.” (Optional) add a Webhook URL you control to receive the JSON the script sends. Leave Message empty.

Backtest vs options (read carefully)
Backtests show ES fills on 5-minute bars; options pricing (IV, DTE, spreads, partial fills) isn’t simulated. Because live execution uses options, ES PnL is a directional proxy only.
Evaluate quality via: trade count (target ≥100), win rate, average time-in-trade, MAE/MFE, and holding-time distribution. Do not read ES $ PnL as expected options returns—actual options outcomes depend on strike/DTE, IV regime, spreads, and execution.

Defaults used in this publication (match these before interpreting results)

• Dataset: last 12–24 months of ES1! 5-minute RTH (to ensure ≥100 trades)
  
• Initial capital: $25,000
  
• Commission: $1.00 per order per contract (≈ $2 round-trip)
  
• Slippage: 1 tick
  
• Order size: 1 contract; pyramiding only for Stage-governed adds
  
• No fixed ES stop-loss; exits are target-based with ITTC and scheduled safety closes
  

Operating notes

ES1! symbol only; 5-minute resolution only

• You can run multiple Stages in parallel via separate tabs/alerts; if you want a single net position across Stages, enforce it in your own tooling (e.g., ignore new orders while a position is open)
  
• Use a clean chart when publishing (only this strategy active)
  
• Keep results separate by using four TradingView tabs (one per Stage)
  

Disclosures
Educational research tool, not financial advice. Past or hypothetical performance does not guarantee future results. Trading involves risk, including the risk of loss. Test thoroughly and use at your own discretion.

昨日

リリースノート

Update: Live session-end exit now triggers 5 minutes before RTH close (12:55/15:55 ET) to avoid after-hours queueing, with no changes to entries, TPs, or backtests.

12 時間前

リリースノート

Bug fix: exit alerts no longer send with quantity 0—alerts now snapshot the live position size at close, and yesterday’s pre-close exit (12:55/15:55 ET) remains unchanged.