ORB Multi-Model Indicator

A Pine Script v6 TradingView indicator implementing 7 Opening Range Breakout (ORB) models for the New York session, plus a Combined confidence-scoring mode. Built for discretionary and systematic traders who want multi-model confluence on ORB setups.

New: ORBPro_Indicator.pine — a separate, research-based single-strategy ORB indicator. See ORB Pro below.

New: XAUPro_Indicator.pine — a Gold-specialized session-breakout indicator. See XAU Pro below.

XAU Pro — Gold Session Breakout

XAUProIndicator.pine is purpose-built for XAUUSD / Gold — not a generic ORB with gold defaults, but a design driven by how gold actually trades:

Two gold-native setups:

• Setup A — Asian Range Breakout. Gold consolidates during the Asian session and breaks out when London/NY liquidity arrives — a classic documented gold pattern with typical targets of 1.5–2× the Asian range width. The range builds 19:00–02:00 NY; entries are allowed only during the London → NY-overlap trade window (03:00–11:30 NY). Days where the Asian range is already wide (> 2× ATR) are skipped — the move already happened overnight.
• Setup B — NY Opening Range Breakout. COMEX open + US data flow make 8:00–11:30 NY gold's most directional window. Opening-candle direction rule per Zarattini & Aziz (2023). OR start selectable: 9:30 (equity open) or 8:20 (COMEX open).

• DXY inverse-correlation filter read on a 60-min timeframe (where the correlation is stable — minute-level DXY is noise). Scored 25/100 by default; optional hard gate.
• News-spike guard — after any bar with range ≥ 3× ATR (8:30 CPI/NFP candles, flash moves), new entries are blocked for a cooldown period. Gold spreads widen up to 3× during news and first reactions frequently reverse; the guard refuses to chase.
• Window relative volume — session-window tick volume vs that window's own 14-day average ("in play" filter, softened for tick-volume proxy).
• Stop floor — risk is never tighter than 0.5× ATR, so normal gold spread noise can't tag the stop; risk capped at 1.5× ATR.
• Flat before 17:00 NY — gold liquidity dies into the daily rollover and spreads spike; default EOD flat at 16:45.

Run it on XAUUSD, 5-min chart. Forward-test and watch Net R before risking money — tick volume and 24h sessions make gold less forgiving than the instruments where breakout edges were academically documented.

ORB Pro — Research-Based ORB

ORBProIndicator.pine is a standalone indicator that implements one ORB strategy done well, built on the rules documented in two academic studies:

• Zarattini & Aziz (2023) — Can Day Trading Really Be Profitable? 5-min ORB on QQQ (2016–2023): trade only in the direction of the opening candle, stop at the opposite side of the opening range, R-multiple target, end-of-day exit. Reported 33% annualized alpha.
• Zarattini, Barbon & Aziz (2024) — A Profitable Day Trading Strategy For The U.S. Equity Market: the edge concentrates almost entirely in high relative-volume sessions — relative volume of the opening window vs its own 14-day average.

| Aspect | Multi-Model | ORB Pro | |---|---|---| | Strategies | 7 overlapping breakout variants | 1 evidence-based strategy | | Direction | any breakout direction | opening-candle direction only (paper rule, toggleable) | | Volume filter | per-bar RVOL | opening-window volume vs 14-day average of the same window (the papers' filter) | | Stop | ATR from OR edge | opposite OR side (paper rule), ATR-capped; midpoint/ATR options | | Exit | TP/SL only | TP/SL + end-of-day exit (paper rule) | | Risk control | none | daily stop after N losses | | Same-bar TP+SL | "closer to open wins" heuristic | counted as a loss (conservative, honest stats) | | Stats | win % | win % + cumulative net R | | Alerts | text | text + machine-parseable webhook format (ORBPRO\|LONG\|ticker\|entry\|sl\|tp\|score\|rvol) |

Context factors (VWAP side, HTF trend, gap alignment, OR width quality) feed a 0–100 confluence score with a minimum threshold — they refine entries but never replace the hard gates.

Honest disclaimer: the cited evidence is from US equities/ETFs. No indicator guarantees profits, and edges decay. Forward-test on your instrument with alerts before risking money. On FX/Gold the relative-volume filter uses tick volume, which is a proxy.

Features

• 7 independent ORB models — each with its own OR window, entry TF, and signal logic
• Combined mode — single signal scored by 8 weighted confidence factors; only fires above a minimum score threshold
• Non-repainting — all higher-timeframe data uses confirmed-bar values (expr[1] + lookahead_on), so live signals match the backtest; NR7/NR4 and previous-day levels use completed days only
• Automatic DST handling — NY session detection via IANA timezone (America/New_York)
• Per-model performance dashboard — win rate, streak, score, agreement count, and BEST badge
• 19 alert conditions — one per model direction, Combined bull/bear, ANY-signal catch-alls, and EOD exit
• Economic event markers — CPI / NFP on Day Bias label (Gold charts)
• OR midline, prime-window highlight — visual aids for the 9:30–10:00 prime window
• OR width filter — optional ATR-based gate to skip low-quality ranges
• Timeframe guard — on-chart warning if the chart TF is higher than a reference TF (signals then fall back to chart-bar closes)
• Risk Guards (ported from ORB Pro / XAU Pro) — news-spike guard (entry cooldown after ≥ 3× ATR bars), optional OR-window relative-volume gate (vs 14-day average of the same window), optional opening-candle direction filter (M9 exempt), daily stop after N losses, and an EOD exit that books open tracked trades at market (default 16:45 NY) so stats can't be polluted by multi-day stale trades. Same-bar TP+SL conflicts now count as a loss (conservative).

Models

| # | Name | OR Window | Entry TF | Notes | |---|------|-----------|----------|-------| | M1 | Classic Crabel | User-configured (5–60 min) | 1-min | Breakout of OR high/low | | M3 | 5-Min Scalper | First 5 min | 1-min | Tight OR, fast entry | | M4 | Standard 15-Min | First 15 min | 5-min | Core ORB setup | | M6 | FVG ORB | First 15 min | 5-min | Requires a Fair Value Gap inside the OR | | M7 | Gold ORB | 9:30–9:45 EST | 5-min / 15-min | Tuned for XAU/USD | | M9 | Failed ORB Reversal | Primary OR | 5-min | Counter-consensus reversal | | M10 | Phase ORB | Phase 1/2/3 state machine | 5-min → 1-min | Breakout → retest → bounce |

M2 (Fisher ACD), M5 (Conservative Retest), and M8 (ICT/Smart Money) were removed after backtesting showed 0–26% win rates across all pairs and timeframes.

Combined Mode

A single signal that fires only when a 15-min OR breakout is confirmed and the confluence score meets the minimum threshold (i_minScore).

Confidence factors (each weighted 0–100):

• Higher-timeframe trend alignment
• RSI momentum
• Relative volume (RVOL)
• VWAP position
• ATR-based volatility
• OR width quality
• Session timing (prime window bonus)
• Multi-model agreement count

Installation

• Open TradingView and go to the Pine Script Editor
• Paste the contents of ORBMultiModelIndicator.pine (or ORBProIndicator.pine / XAUPro_Indicator.pine)
• Click Add to chart
• Configure inputs: select Mode (Multi-Model or Combined), enable the models you want, set your reference timeframes
• For alerts: create one alert on the indicator with condition "Any alert() function call" — this delivers the detailed dynamic messages (entry/SL/TP/score, webhook-parseable in ORB Pro and XAU Pro). The named alertcondition entries are also available for per-model alerts.

Inputs Overview

| Group | Key Inputs | |-------|-----------| | Mode | Multi-Model vs Combined | | Session | NY session start/end, OR window size | | Models | Toggle each model on/off | | Combined | Per-factor weights, minimum score | | HTF | Higher timeframe for trend filter | | Visuals | Dashboard, midline, prime window highlight | | Risk | ATR multiplier for TP/SL levels |

Backtested Performance

The active model set (and the disabled-by-default M6/M9) was selected from CSV win-rate backtests across instruments and timeframes.

Best results observed on:

• AUDUSD — strong across most models
• XAU/USD (Gold) — M7 and Combined mode
• US100 — 1-min charts, M3/M4

Requirements

• TradingView account (free or paid)
• Pine Script v6 (built-in to TradingView editor)
• Chart timeframe: must be at or below the Fast Reference TF (default 1-min) for the intended behavior — Pine cannot sample a lower timeframe than the chart, so on higher chart TFs signals fall back to chart-bar closes and a red warning is shown on the chart. Recommended: 1-min chart (1-min and 5-min reference TFs both resolve correctly).

License

MIT — free to use, modify, and distribute. Attribution appreciated.