ORB Dashboard for the TFLX Strategy

# ORB Range/ATR Dashboard - Technical Indicator Description

## Main Function
This indicator analyzes Opening Range Breakout (ORB) patterns by calculating a defined time period and its relation to historical volatility. The indicator combines multiple technical analysis methods and presents results in a configurable dashboard format.

**Purpose:** This indicator automates the manual calculation steps of the TFLX analysis methodology, providing real-time computation of volatility ratios, trend filters, and risk management parameters that would otherwise require manual calculation and monitoring.

## Requirements and Limitations
**Additional Indicator Required:** This dashboard indicator works in conjunction with a separate ORB range visualization indicator that displays the actual high/low range levels on the chart. The dashboard provides analysis and calculations, while the range indicator provides visual reference points.

**Important Notice:** This indicator serves as an analytical tool and calculation assistant for the TFLX methodology. It does not execute trades automatically but provides data analysis to support manual decision-making processes.

## TFLX Analysis Methodology Framework

### Core Analysis Rules (Discretionary Implementation)
**Primary Conditions:**
- Market position relative to neutral zones (BB analysis)
- Volatility range between 15-60% of ATR(3)
- News event screening (high-impact economic releases)
- Market session timing constraints (before calculated session end)
- US Bank Holiday considerations

**Exception Conditions:**
- High-impact news with rebreak patterns
- Reversal patterns during neutral market conditions

### Technical Specifications of the Methodology
**Range Definition:**
- Time Period: First 15 minutes after market open
- Measurement: High-Low range calculation
- Breakout Trigger: 5-minute close outside established range

**Volatility Analysis:**
- Formula: (Range Points / ATR(3) Previous Day) × 100
- Threshold Ranges:
- <15%: Below minimum threshold
- 15-20%: Low volatility range
- 25-30%: Moderate volatility range
- 30-40%: Good volatility range
- 40-50%: High volatility range
- 50-60%: Very high volatility range
- >60%: Above maximum threshold

**News Event Categories:**
- Major Events: NFP, CPI, PPI, FOMC releases
- Minor Events: All significant economic releases during market hours
- Impact Assessment: Market reaction analysis framework

**Trend Analysis Framework (1H Bollinger Bands):**
- Base Calculation: EMA(200) with standard deviation bands
- Reference Points: Market Open, ORB Close, Trigger Bar
- Decision Logic: 2 out of 3 reference points determine bias
- Zone Classifications:
- Within 0.5 multiplier: Neutral zone
- Within 1.5 multiplier: Directional bias zone
- Outside 1.5 multiplier: Strong directional zone

**Timing Constraints:**
- Session Window: Market open to calculated session end (typically 4.5 hours)
- Retracement Analysis: Maximum adverse movement before breakeven or stop loss

**Manual Calculation Process (Automated by Indicator):**
1. Measure range in points using chart measurement tools
2. Switch to daily timeframe
3. Set ATR period to 3
4. Extract previous day's ATR value
5. Calculate: (Range Points ÷ ATR Value) × 100
6. Apply percentage thresholds for analysis

## Core Components and Calculation Methods

### 1. Opening Range Calculation
**Data Source:** High/Low/Close prices of current timeframe
**Calculation:**
- Defines a configurable time period (default: 15 minutes)
- Collects during this period: `range_high = max(high)` and `range_low = min(low)`
- Calculates Range Size: `range_size = range_high - range_low`
- Stores the last close price of the period: `final_orb_close`

### 2. ATR (Average True Range) Integration
**Data Source:** Daily True Range values
**Calculation:**
```
daily_atr = ta.atr(length) // Default 3 periods
atr_yesterday = daily_atr[1] // Previous trading day
```
**Available Methods:** RMA (default), SMA, EMA, WMA

### 3. Volatility Ratio Calculation
**Formula:**
```
ratio = (range_size / atr_yesterday) * 100
```
**Purpose:** Normalization of current range against historical volatility
**Configurable Parameters:** Min/Max thresholds (default: 15-60%)

### 4. Bollinger Bands Integration (1H Timeframe)
**Data Source:** 1-hour chart data via `request.security()`
**Calculation:**
```
bb_ema = ta.ema(close, 200) // 1H timeframe
bb_std = ta.stdev(close, 200) // 1H timeframe
bb_upper = bb_ema + (bb_std * multiplier)
bb_lower = bb_ema - (bb_std * multiplier)
```
**Configurable Multipliers:**
- Neutral Zone: 0.5x standard deviation
- Strong Zone: 1.5x standard deviation

### 5. Trend Filter System (2/3 Method)
**Components:**
1. **NY Open Signal:** Compares 1H open price with BB levels
2. **ORB Close Signal:** Compares final ORB close with BB levels
3. **Trigger Signal:** Compares breakout price with BB levels

**Logic:**
```
if (bullish_signals >= 2) → "BULLISH"
if (bearish_signals >= 2) → "BEARISH"
else → "MIXED" or "NO TREND"
```

## Component Interaction

### Trade Signal Generation
**Algorithm:**
```
trade_allowed = (orb_ratio >= min_threshold AND orb_ratio <= max_threshold)
AND (bb_signal != "NEUTRAL")
AND (trend_filter_result contains "BULLISH" OR "BEARISH")
```

### Risk Management Calculation
**Entry Points:**
- Long Entry: `range_high`
- Short Entry: `range_low`

**Stop Loss Calculation:**
```
sl_level = range_low + (range_size * sl_position_percent / 100)
```

**Take Profit Calculation:**
```
tp_distance = range_size * tp_factor_percent / 100
long_tp = long_entry + tp_distance
short_tp = short_entry - tp_distance
```

**Position Sizing (CFD-optimized):**
```
risk_per_contract = avg_risk_points * contract_value * lot_size
max_contracts = max_risk_amount / risk_per_contract
```

**Margin Calculation (CFDs):**
```
position_value = total_units * entry_price
margin_required = position_value / leverage
```

## Dashboard Elements

### 1. Volatility Filter Section
- **ORB Range:** Current range in points
- **ATR Previous:** Yesterday's ATR values
- **ORB Ratio:** Calculated ratio with color coding

### 2. Trend Filter Section
- **NY Open vs BB:** Position of 1H open relative to BB
- **ORB Close vs BB:** Position of ORB close relative to BB
- **Trigger Bar vs BB:** Position of breakout price relative to BB
- **Trend Result:** Summary of 2/3 filter

### 3. Risk Management Section (optional)
- **R/R Ratio:** Calculated from TP/SL distances
- **Risk per Lot:** Based on instrument type
- **Max Lot Packages:** Automatic position sizing calculation
- **Margin Required:** For CFD instruments

### 4. Journal Section (optional)
- **Breakout Timing:** Categorization by bars (1-3, 4-6, 7-9, 10-12, 13+)
- **Direction Tracking:** Bullish/Bearish breakout direction
- **Position Analysis:** Distance of breakout to ORB range

## Automatic Instrument Detection

**CFD/Index Treatment:**
```
if (syminfo.type == "cfd" OR syminfo.type == "index")
contract_value = 1.0 * cfd_lot_size
```

**Forex Treatment:**
```
if (syminfo.type == "forex")
contract_value = syminfo.pointvalue * cfd_lot_size
```

**Futures/Stocks:**
```
contract_value = syminfo.pointvalue
```

## Timezone Handling
- All time calculations based on configurable timezone
- Session End Time: ORB Start + 4.5 hours
- Automatic overflow handling for 24h format

## Alert System
**ORB Formation Alert:**
- Triggered upon completion of ORB period
- Includes: Range size, high/low values

**Breakout Alert:**
- Triggered on close price outside ORB range
- Includes: Direction, trade status based on filters

## Configuration Options
- **ORB Period:** Start/end time in hours/minutes
- **ATR Parameters:** Period and calculation method
- **Volatility Thresholds:** Min/max percentage limits
- **BB Parameters:** Period and multipliers
- **Risk Management:** Risk amount, SL/TP positions
- **Dashboard Layout:** Position, size, colors, visibility

## Data Integrity
- State variables with `var` declaration for persistence
- Daily reset of all relevant variables
- Lookahead bias prevention through `barmerge.lookahead_off`
- Multi-timeframe safety through `request.security()` functions

This technical implementation provides a comprehensive analysis framework for Opening Range Breakout patterns with integrated volatility, trend, and risk management components.