Session Liquidity Sweep + Trend Confirmation

#pinescript #trading

This strategy aims to capture high-probability intraday trades by combining liquidity sweeps with a trend confirmation filter. It is designed for traders who want a systematic approach to trade breakouts during specific market sessions while controlling risk with ATR-based stops.

How it Works:

Session Filter: Trades are only considered during a defined session (default 9:30 - 11:00). This helps avoid low-volume periods that can lead to false signals.

Trend Confirmation: The strategy uses a 50-period EMA to identify the market trend. Long trades are only taken in an uptrend, and short trades in a downtrend.

Liquidity Sweep Detection:

A long entry occurs when price dips below the prior N-bar low but closes back above it, indicating a potential liquidity sweep that stops being triggered before the trend continues upward.
A short entry occurs when price spikes above the prior N-bar high but closes below it, signaling a potential sweep of stops before the downward trend resumes.

ATR-Based Risk Management:

Stop loss is calculated using the Average True Range (ATR) multiplied by a configurable factor (default 1.5).
Take profit is set based on a risk-reward ratio (default 2.5x).

Position Sizing: Default position size is 5% of equity per trade, making it suitable for risk-conscious trading.

Inputs:

Session Start/End (HHMM)
Liquidity Lookback Period (number of bars to define prior high/low)
ATR Length for stop calculation
ATR Stop Multiplier
Risk-Reward Ratio
EMA Trend Filter Length

Visuals:

Prior Liquidity High (red)
Prior Liquidity Low (green)
EMA Trend (blue)

Why Use This Strategy:

Captures stop-hunt moves often triggered by larger market participants.
Only trades with trend confirmation, reducing false signals.
Provides automatic ATR-based stop loss and take profit for consistent risk management.
Easy to adjust session time, ATR, EMA length, and risk-reward to suit your trading style.

Important Notes:

Assumes 0.05% commission and 1-pip slippage. Adjust according to your broker.
Not financial advice; intended for educational, backtesting, or paper trading purposes.
Always test strategies thoroughly before applying to live accounts.

//@version=6
strategy(
    "Session Liquidity Sweep + Trend Confirmation",
    overlay=true,
    initial_capital=100000,
    default_qty_type=strategy.percent_of_equity,
    default_qty_value=5,
    commission_type=strategy.commission.percent,
    commission_value=0.05,
    slippage=1
)


// ─────────────────────
// INPUTS
// ─────────────────────
sessionStart = input.int(930, "Session Start (HHMM)")
sessionEnd   = input.int(1100, "Session End (HHMM)")
lookbackBars = input.int(20, "Liquidity Lookback")
atrLen       = input.int(14, "ATR Length")
slMult       = input.float(1.5, "Stop ATR Multiplier")
rr           = input.float(2.5, "Risk-Reward")
emaTrendLen  = input.int(50, "EMA Trend Filter")


// ─────────────────────
// SESSION FILTER
// ─────────────────────
hourMinute = hour * 100 + minute
inSession  = (hourMinute >= sessionStart) and (hourMinute <= sessionEnd)


// ─────────────────────
// TREND FILTER
// ─────────────────────
emaTrend = ta.ema(close, emaTrendLen)
trendUp   = close > emaTrend
trendDown = close < emaTrend


// ─────────────────────
// LIQUIDITY LEVELS
// ─────────────────────
prevHigh = ta.highest(high[1], lookbackBars)
prevLow  = ta.lowest(low[1], lookbackBars)


// ─────────────────────
// SWEEP + CONFIRMATION
// ─────────────────────
sweepHigh = (high > prevHigh) and (close < prevHigh)
sweepLow  = (low < prevLow) and (close > prevLow)


// ─────────────────────
// ATR FOR RISK
// ─────────────────────
atrVal = ta.atr(atrLen)


// ─────────────────────
// ENTRY CONDITIONS
// ─────────────────────
longCond  = inSession and sweepLow and trendUp and (close > open) and (strategy.position_size == 0)
shortCond = inSession and sweepHigh and trendDown and (close < open) and (strategy.position_size == 0)


if longCond
    strategy.entry("Long", strategy.long)


if shortCond
    strategy.entry("Short", strategy.short)


// ─────────────────────
// RISK MANAGEMENT
// ─────────────────────
longStop  = strategy.position_avg_price - atrVal * slMult
longLimit = strategy.position_avg_price + atrVal * slMult * rr


shortStop  = strategy.position_avg_price + atrVal * slMult
shortLimit = strategy.position_avg_price - atrVal * slMult * rr


strategy.exit("Long Exit", "Long", stop=longStop, limit=longLimit)
strategy.exit("Short Exit", "Short", stop=shortStop, limit=shortLimit)


// ─────────────────────
// VISUALS
// ─────────────────────
plot(prevHigh, "Prior Liquidity High", color=color.new(color.red, 40))
plot(prevLow, "Prior Liquidity Low", color=color.new(color.green, 40))
plot(emaTrend, "EMA Trend", color=color.new(color.blue, 0))

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