Dobrusky Price Action Engine

What it does & who it’s for
Highlights bars and zones only after liquidity and volatility gates pass, then applies structure rules (swing-aware reversals, wick/body caps) and draws objective multi-timeframe levels and a daily gap state. Built for liquid indices, ETFs, and futures (ES, NQ, SPY, QQQ).

Why this is an Engine (not a mashup)
Components are coupled through a short-circuited flow: upstream gates decide whether downstream logic can produce tags, and reversal logic adds location/structure requirements. This coupling changes outputs versus plotting each piece independently.

Signal Flow (ordering and vetoes)

• 1) Volatility Gate — Pass when bar range is at least ATR times the acceptable volatility threshold (defaults: ATR length 14, threshold 0.33). ATR is computed from RTH bars (09:30–16:00 ET) and persisted across non-RTH bars.
  
• 2) Volume Gate — Pass when volume is at least SMA(volume, 50) times the acceptable volume threshold (defaults: length 50, threshold 0.33).
  
• 3) Structure — If gates pass, evaluate patterns and swing-aware reversals. Reversal tags require proximity to a recent swing (0–2 bars back) using a tolerance tied to the relevant bar’s range.
  
• 4) Context — Draw D/W/M/Y levels, pivot bands, and daily gaps (original vs remaining imbalance). Signals do not require these anchors to print, but they provide where-it-matters context.
  

Computation Overview (definitions & defaults)

• Sessions / ATR — RTH is 09:30–16:00 ET on trading days. ATR length 14 on RTH bars; non-RTH inherits the last RTH ATR value. Default acceptable volatility threshold: 0.33.
  
• Volume Gate — Volume must be at least SMA(volume, 50) multiplied by acceptable volume threshold (default 0.33).
  
• Patterns
• Doji: body ≤ range × dojiBodyToTotalRatio (default 0.10).
  
• Inside bar: high ≤ prior high and low ≥ prior low.
  
• Hammer: lower-wick ≥ body × hammerBodyToTotalRatio (default 2.0) and upper-wick ≤ range × shortWickToTotalRatio (default 0.15).
  
• Shooter: symmetrical to hammer.
  
• Reversal (bull) — green body; close ≥ prior bar midpoint or body ≥ one-half of prior range; upper-wick ≤ range × reversalBarShortWick (default 0.33); swing proximity test required. Bearish symmetrical.
  
• Swing proximity for reversals — Use the most recent swing low/high up to 2 bars back. Require the open to be within a tolerance of either the swing’s open or price; tolerance equals one-quarter of that bar’s range.
  
• Volume anomalies — Flags high/low-volume anomalies using current vs prior bar and the volume SMA; shown as “A” overlays for context.
  
• Chop filter (overlap model) — Marks consolidation when the current high–low range overlaps each of the last M bars by at least the enter threshold (defaults: M=3, enter 0.45). Exit when overlap drops below the exit threshold (default 0.35) with K confirmations (default 2). Optional compression check: average range of the last M+1 bars less than ATR × multiplier (default 0.9). On confirmed exit, the zone trims the last K bars for a crisp terminal edge. The chop zone is visual context only; it does not mute signals.
  
• Gaps (Daily) — Lookback 200 sessions. Track both original and partial (remaining) bounds; optional partial-fill shrinking. Filter out gaps smaller than 0.1 × ATR(14).
  
• Levels & pivots — Previous Day/Week/Month High/Low/Close; current opens; D/W/M/Y pivots (PP, R1–R3, S1–S3 using 0.382/0.618/1.0 swing widths). Auto-hide by timeframe via inputs.
  

What prints (labels)

• H, HI, HA — Hammer, Hammer+Inside, Hammer with volume-anomaly.
  
• S, SI, SA — Shooter, Shooter+Inside, Shooter with volume-anomaly.
  
• D, DI, DA — Doji, Doji+Inside, Doji with higher volume.
  
• I — Inside bar (when not also tagged as reversal/hammer/shooter).
  
• R, RI — Bullish below bar / Bearish above bar; base and Inside variants.
  
• A — Contextual volume anomaly (triangle location shows orientation).
  

How the parts work together (practical effects)

• Volatility and volume gates block low-energy bars before any tag can print.
  
• Reversal tags require body/midpoint strength, wick balance, and swing proximity, filtering out generic color-change “reversals.”
  
• Chop boxes quantify consolidation with overlap, compression, and debounced exit; the K-bar trim makes zones cleaner to trade around.
  
• Daily gaps render remaining imbalance distinct from the original gap, offering clearer context for reading reactions near those bounds.
  

Repainting & timing

• Pattern decisions use confirmed bar data; no look-ahead.
  
• RTH ATR updates on RTH bars; non-RTH uses the last RTH value.
  
• Daily gaps and higher-TF levels update after their respective TF closes; drawing uses a single pass on the last bar with managed IDs for performance.
  
• Auto-hide settings remove clutter on higher timeframes.
  

Inputs you control (defaults)

• Volatility gate: atrLength 14; acceptableVolatilityThreshold 0.33
  
• Volume gate: volumeMetricLength 50; acceptableVolumeThreshold 0.33
  
• Patterns: hammerBodyToTotalRatio 2.0; shortWickToTotalRatio 0.15; dojiBodyToTotalRatio 0.10; reversalBarShortWick 0.33
  
• Chop: M 3; enter 0.45; exit 0.35; K 2; useChopCompression true; chopATRMult 0.9
  
• Gaps: gapLookback 200; usePartialFill false; min size 0.1 × ATR(14)
  
• Levels: toggle D/W/M/Y sets, pivot bands, and auto-hide thresholds by timeframe
  

Worked example (ES, 5-minute)
Bar range 5.4; ATR(14, RTH) 6.2 → volatility gate passes (0.33 × ATR ≈ 2.05). Volume 1.1 × SMA(50) → volume gate passes. Prior swing low printed 1 bar ago; distance from open within tolerance (prior bar range ÷ 4). Close ≥ prior midpoint and upper wick ≈ 0.22 × range ≤ 0.33 → Bullish Reversal (R) prints. Nearby context: yesterday’s low and a remaining gap bound.

Originality & closed-source rationale

• RTH-faithful ATR gating conditions all tags, preventing overnight/pre-market dilution of volatility and materially changing when prints can appear.
  
• Clause-based, swing-aware reversal model demands body/midpoint strength, wick balance, and location within a dynamic tolerance to a true swing.
  
• Gap state machine distinguishes original vs remaining imbalance with optional partial shrinking and ATR-scaled filtering.
  
• Chop with overlap, compression, and debounced exit trimming produces measurable consolidation zones rather than ad-hoc ranges.
  

How to use

• Apply to liquid symbols; keep default gates initially.
  
• Prioritize R and RI near meaningful context (levels, pivots, remaining gap bounds). H and S gain weight when gates and structure align.
  
• Stops: bar extremes or opposite gap/level. Targets: next level or other side of a remaining gap.
  
• Use as context/confirmation, not an auto-trader.
  

Limitations & notes

• Thin symbols and half-days may distort gates; loosen thresholds or disable RTH dependence if needed.
  
• Crypto/24×7 markets: consider disabling RTH dependence or raising the volatility threshold.
  
• Signals can print away from levels; levels and gaps provide context, not a requirement.