Futures Playbook: VWAP + OR + Cross-Asset Tells

4 giorni fa

Futures Playbook: VWAP + OR + Cross-Asset Tells (with Trade Messages + Coach Panel)

This all-in-one futures trading toolkit combines Opening Range (OR) levels, VWAP, and cross-asset signals to help traders quickly read intraday structure, manage execution, and filter noise.

Core Features
• Opening Range (OR):
• Customizable OR window with High/Low and Midpoint.
• Automatic shading of the OR zone.
• VWAP & Bands:
• Built-in or session-anchored VWAP.
• Optional standard deviation bands for context.
• Cross-Asset Tells:
• Live reads on US 10Y yield, DXY, Crude, and Gold.
• Regime detection: rates risk, USD strength, energy softness, and real-rate easing.
• Confirmations:
• Volume vs. moving average filter.
• Cumulative delta with smoothing.
• ATR-based chop filter to avoid low-quality trends.

Trade Messages + Coach Panel
• Trade Messages (labels): Automatic on-chart prompts for OR completion, VWAP reclaim/loss, long/short setups, and EU close flows.
• Coach Panel (table): Real-time dashboard with regime context, directional bias, execution notes, risk reminders, and key levels (ORH, ORL, VWAP).

Alerts
• OR breakout (long/short with confirmations).
• VWAP reclaim or loss.
• 10Y yield crossing risk threshold.

Use Case

Designed for futures traders and scalpers who rely on VWAP + OR dynamics and need cross-asset confirmation before committing to trades. Great for structuring entries, managing risk, and filtering market noise throughout the session.

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Note di rilascio

Here’s a concise summary of the changes from the old script to the new one you shared:

Coach Panel & UI:

- Fixed the bug where the table was cleared incorrectly.
- Replaced the invalid call with the correct 5-argument call to clear the entire 1×7 table: table.clear(coach, 0, 0, 0, 6).
- Added new theming and improved readability.
- Added hdrBg/hdrText/bodyText/accentTxt to create a darker header and clear text.
- Added bgRow(i) zebra striping to alternate row backgrounds.
- Ensured that the “Key levels” row uses visible text, eliminating the white-on-white effect.
- Tightened the lifecycle of the table.
- The table coach variable is now created once, and panel updates occur only when barstate.islast is true.
- The corner selection logic is now handled by the fCorner() helper function.

Opening Range & VWAP Visuals:

- The OR band styling has been improved.
- The dedicated plots for ph/pl and the translucent fill (ph, pl, colORFill) have been retained to enhance the clarity of the OR window.
- The OR Mid line is now optional, and consistent colors and widths are used for a cleaner look.
- The VWAP options have been retained, and their implementation has been clarified.
- Users can now toggle between the built-in ta.vwap(hlc3) and session-anchored custom VWAP with proper session reset.
- The bands are calculated using ta.stdev(typical - vwap, vwapStDevLen) with configurable multipliers and soft fill.

Logic & Signals (unchanged in intent, but tidied up in structure):

- The session/OR control logic has been improved.
- The inSess/newSess/sessBar and inORWin variables govern when OR builds and when ORM is set.
- The baseLong/baseShort setups now require VWAP alignment, OR break/positioning, volume confirmation, ATR filtering, and the macro “realsEase / rates headwind.”
- The confirm-on-close functionality is now gated by the confirmOnClose signal.
• VWAP reclaim/loss: Kept as small circle markers above/below the bar.
• Cross-asset tells: Request security helpers with optional TF; derived flags: ratesRiskOn, usdFirm, oilSoft, realsEase.
• Alerts: OR breakout (long/short), VWAP reclaim/loss, and 10Y threshold.

TL;DR

The update primarily addresses three key areas:

1. Fixing a table API bug.
2. Overhauling the Coach Panel for enhanced clarity, incorporating a new theme, zebra rows, and legible numbers.
3. Preserving the core logic for OR/VWAP, confirmations, cross-asset tells, and alerts, while presenting them in a more organized and visually appealing manner on the chart.