Anti-Volume Stop-Loss (AVSL)

-- DefineCommand: Set up the command for stop-loss generation
DefineCommand('AVSL_StopLoss', 'Stop loss generation using Anti-Volume logic with Plots')

-- Define parameters and inputs
local name = DefineParameter(StringType, 'name', 'Unique name of the indicator.', false, 'AVSL_Indicator', 'Text')
local chartIndex = DefineParameter(NumberType, 'chartIndex', 'The index on which to chart VPCI', false, 1, 'Number')
local chartIndexH = DefineParameter(NumberType, 'chartIndex-zscor', 'The index on which to chart AVSL', false, 2, 'Number')

InputGroupHeader('Stop Loss Settings')
local lenF = Input('Fast average', 12)
local srcF = Input('Fast Price type', ClosePrices())
local lenS = Input('Slow average', 26)
local srcS = Input('Slow Price type', ClosePrices())
local lenT = Input('Signal', 9)
local mult = Input('StdDev', 2.0)
local offset = Input('Offset', 2)
local bbLength = Input('BB Length', 20)
local bbMult = Input('BB Multiplier', 2.5)
local highlightBreaches = Input('Highlight BB Breaches?', true)
local vpcLength = Input('VPC Length', 20)
local shortTerm = Input('Short Term', 5)
local longTerm = Input('Long Term', 20)
local lengthMA = Input('VPCI MA Length', 8)

-- Data retrieval
local prices = ClosePrices()
local high = HighPrices()
local low = LowPrices()
local volume = GetVolume()

-- VPCI Calculation
local vpc = CC_VWHMA(prices, volume, vpcLength) - SMA(prices, vpcLength)
local vpr = CC_VWHMA(prices, volume, shortTerm) / SMA(prices, shortTerm)
local vm = SMA(volume, shortTerm) / SMA(volume, longTerm)
local vpci = CC_HMA((vpc * vpr * vm), lengthMA)
local vpciMA = CC_HMA(vpci, lengthMA)

-- BBands for VPCI
local vpciBB = BBANDS(vpci, bbLength, bbMult, bbMult, SmaType)
local upperBB = vpciBB[1]
local lowerBB = vpciBB[3]

-- Plotting VPCI and its Bollinger Bands
Plot(chartIndex, 'VPCI', vpci, White)
Plot(chartIndex, 'VPCI MA', vpciMA, Orange)
local upperPlot = Plot(chartIndex, 'Upper BB', upperBB, Red)
local lowerPlot = Plot(chartIndex, 'Lower BB', lowerBB, Green)
PlotBands(upperPlot, lowerPlot, SkyBlue(15))

-- Function to calculate dynamic stop-loss adjustment based on volume and price
local function PriceFun(VPC, VPR, VM, src)
    local VPCI = VPC * VPR * VM
    local lenV = (VPC < 0) and Ceil(Abs(VPCI - 3)) or Ceil(VPCI + 3) or 1

    -- Ensure lenV is a number and within the bounds of src
    lenV = Min(lenV, #src)

    local priceAdjustments = HNC() -- Initialize the array for adjusted prices
    local totalAdjustedPrice = 0.0

    -- Iterate through calculated lenV to adjust prices dynamically
    for i = 1, #lenV do
        local adjustmentFactor = VPC  -- Default to VPC if conditions below don't apply
        if VPC > -1 and VPC < 0 then
            adjustmentFactor = -1
        elseif VPC < 1 and VPC >= 0 then
            adjustmentFactor = 1
        end

        -- Calculate the adjusted price
        local adjustedPrice = (src[i] or 0) * (1 / (adjustmentFactor or 1)) * (1 / (VPR or 1))
        priceAdjustments = ArrayAdd(priceAdjustments, adjustedPrice) -- Appending each calculated price
        totalAdjustedPrice = totalAdjustedPrice + adjustedPrice
    end

    -- Compute the average of adjusted prices and normalize it
    local averageAdjustedPrice = totalAdjustedPrice / #priceAdjustments / 100
    return averageAdjustedPrice
end

-- Calculations for stop-loss
local DeV = mult * vpci * vm
local AVSL = SMA(low - PriceFun(vpc, vpr, vm, low) + DeV, lenS)

-- Z-score Calculation for Price Anomalies
local zscore = CC_Z_Score(prices, 30, 10)

-- Plotting Z-score
Plot(chartIndexH, 'zscore', zscore, LineOptions(Red, Spiked, Solid, 1, 0, LeftAxis, '', true, false))
PlotHorizontalLine(chartIndexH, 'z-zero', Gray, 0, Dashed, LeftAxis)

-- Highlighting Z-score crossovers
if CrossOver(zscore, 0) then
    PlotVerticalLine(chartIndexH, '', Purple, Time(), Dashed)
elseif CrossUnder(zscore, 0) then
    PlotVerticalLine(chartIndexH, '', Cyan, Time(), Dashed)
end

-- Signal Logic based on VPCI and Z-score
local signal = SignalNone -- Initialize with no signal

-- Highlight Breaches and Determine Signal based on VPCI and its Bollinger Bands
if vpci > upperBB and zscore[1] > 1 then
    if highlightBreaches then
        PlotSignalBar(-4, Red) -- Highlight overbought condition
    end
    signal = SignalShort
elseif vpci < lowerBB and zscore[1] < -1 then
    if highlightBreaches then
        PlotSignalBar(-4, Green) -- Highlight oversold condition
    end
    signal = SignalLong
end

-- Optionally, you could also plot the VPCI signal directly as a shape on the chart
-- This is in addition to the BB breaches highlight
if signal == SignalLong then
    PlotShape(0, ShapeTriangleUp, DarkGreen, 3, false) -- Indicate a long signal
elseif signal == SignalShort then
    PlotShape(0, ShapeTriangleDown, Red, 3, true) -- Indicate a short signal
end

-- Plotting AVSL as Dots
local avslPlot = Plot(0, 'AVSL', AVSL, Red)
PlotShapes(avslPlot, ShapeCross, Green)

-- Declare stopLossTriggered as local variable
local stopLossTriggered = false

-- Determine if stop-loss is triggered based on AVSL
if signal == SignalLong and prices[#prices] < AVSL then
    stopLossTriggered = true
elseif signal == SignalShort and prices[#prices] > AVSL then
    stopLossTriggered = true
end

local result = {
    signal = signal,
    stopLossTriggered = stopLossTriggered
}

local dType = ListDynamicType
local dDescription = 'Custom object containing signals and stop-loss.'
local dSuggestions = 'Validate settings before use in trading algorithms.'
DefineOutput(dType, result, dDescription, dSuggestions)

local dIndex, dType, dName, dDescription, dSuggestions

-- Output index for signal
dIndex = 1
dType = EnumType
dName = 'signal'
dDescription = 'Trading signal based on VPCI and BBands.'
dSuggestions = 'Validate settings before use in trading algorithms.'
DefineOutputIndex(dIndex, dType, dName, dDescription, dSuggestions)

-- Output index for stopLossTriggered
dIndex = 2
dType = BooleanType
dName = 'stopLossTriggered'
dDescription = 'Flag to indicate if stop-loss is triggered.'
dSuggestions = 'Set to true if stop-loss condition is met.'
DefineOutputIndex(dIndex, dType, dName, dDescription, dSuggestions)