EventFilterLib

6 hari lalu

🧠 EventFilterLib – Summary & Usage

📘 Purpose
EventFilterLib helps suppress trading signals around sensitive market times, improving signal quality and reducing risk during volatile or illiquid periods.

🔢 Included Event Filters
🟥 Tier 1 – High Impact Events (3h buffer default)
--FOMC Meetings
--NFP
--CPI
--Fed Chair Speeches
--US Federal Holidays

🟧 Tier 2 – Medium Impact Events (2h buffer default)
--ADP Employment Reports
--Retail Sales
--PPI Releases
--ISM Reports
--Crude Oil Inventories

🟦 Tier 3 – Session-Based Filters (built-in)
--NY Open/Close (±30min)
--Asia–London Overlap (07:00–09:00 UTC)
--NY Lunch (17:00–18:00 UTC)
--Midnight GMT Volatility Spike (00:00–00:30 UTC)

🟨 Weekend Filter
--Full-day block on Saturday/Sunday
--Optional buffer (e.g. Friday after 3pm)


The library returns 4 Booleans, [tier1, tier2, weekend, session]. You can call the function in your script using the following snippet:

//////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////
barTime = time

// === Inputs
weekendMode = input.bool(true, "Enable Weekend Filter")
bufferT1Before = input.int(180, "Tier 1 Buffer Before (min)")
bufferT1After = input.int(180, "Tier 1 Buffer After (min)")
bufferT2Before = input.int(120, "Tier 2 Buffer Before (min)")
bufferT2After = input.int(120, "Tier 2 Buffer After (min)")
bufferWBefore = input.int(180, "Weekend Buffer Before (min)")
bufferWAfter = input.int(180, "Weekend Buffer After (min)")

// === Call Function
[tier1, tier2, weekend, session] = EventFilterLib.isInQuietPeriod(
barTime, weekendMode, bufferT1Before, bufferT1After,
bufferWBefore, bufferWAfter, bufferT2Before, bufferT2After
)

// === Apply to Visualization or Signal Filter
bgcolor(tier1 ? color.red : na, title="Tier 1 Quiet")
bgcolor(tier2 ? color.orange : na, title="Tier 2 Quiet")
bgcolor(weekend ? color.blue : na, title="Weekend Quiet")
bgcolor(session ? color.purple : na, title="Session Quiet")

// Example Trade Block
allowTrade = not (tier1 or tier2 or weekend or session)
//////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////


/Novo Algo Team

6 hari lalu

Nota Keluaran

v2

6 hari lalu

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v3