WAVE (Fusion B-L/S)

Title: WAVE (Fusion B-L/S)

This strategy executes entries and exits according to the logic described below; set capital, commission and slippage in Properties to match publication defaults.
Esta estrategia ejecuta entradas y salidas según la lógica descrita abajo; ajusta capital, comisión y slippage en Propiedades para que coincidan con los valores por defecto de la publicación.

Overview
• Timeframe: 5 minutes. Market: /MNQ (Micro E-mini Nasdaq-100 futures).
• Entries: EMA cross confirmation + VWAP proximity + Weinstein (WSA) + volatility gate (ATR by default, optional Regime filter ADX+ATRrel).
• Management: fixed SL/TP per direction + trailing stop (step-line) + optional auto-close by bars + on-chart bars counter.
• Signals/Webhooks: supports “Order fills (alert_message)”, “alert() only”, or “Both (debug)”. RTH gate affects only alert sending (not backtest).
• Version tag in payloads: mnq_wave_v4.

Core Logic (concise)
• Long: fast EMA crosses above slow EMA, plus WSA long condition, VWAP proximity (price above smoothed VWAP within % window), and volatility OK (ATR or Regime). One position at a time.
• Short: fast EMA crosses below slow EMA with fast<slow, plus WSA short, VWAP proximity (price below VWAP within % window), and volatility OK. One position at a time.
• Exits: directional TP, directional SL, or trailing stop (activates after % run-up/run-down from entry). Optional auto-close after N bars. Bars label shows “LONG/SHORT x/y”.

What’s New in this Update (non-breaking)
• CME Break Shield (NY time): protects around 17:00–18:00 NY with configurable pre/post buffers. Helps avoid clustered signals near the daily CME break.
• Session Entry Filter (NY): optional blocks for Sunday 18:00–18:16 and Mon–Thu 17:00–17:16.
• Webhook RTH Gate: optional limit to send alerts only between 09:30–16:00 NY with a cutoff buffer before the close. This DOES NOT change backtest fills—only alert dispatch timing.
• Payloads remain unchanged and include meta {ch:"advice"|"signal"} and version "mnq_wave_v4".

Properties (set these defaults for fair, realistic results)
• Initial capital: 10,000 (USD).
• Commission: Cash per order = 1.42.
• Slippage: 1–2 ticks recommended for /MNQ (set in Properties → Slippage).
• Order size: 1 contract (fixed).
• Pyramiding: off (flat-only).
• Backtest fill limits assumption: 0.
• Bar close confirmation: entries and exits evaluate on confirmed bars.

Key Inputs (high-level)
• EMA (per side): Fast=5, Slow=13 (type/source selectable).
• VWAP (per side): smoothed VWAP (default SMA 22); proximity gate (Long 1.1%, Short 0.3%).
• WSA: SMA(23) slope and simple volume confirmation per side.
• Volatility:
– Default ATR filter with length/smoothing per side, threshold=8.0.
– Optional Regime filter (ADX + ATR relative): modes “Block Chop Only”, “Trend Only”, “Trend + Transition”; optional DI bias.
• Management:
– Long: SL 1.2%, TP 2.7%, trailing start 0.5%, trail 0.4%.
– Short: SL 1.0%, TP 4.5%, trailing start 0.5%, trail 0.4%.
– Optional auto-close by bars (default 20) + on-chart bars counter label.
• Direction selector: Both / Longs Only / Shorts Only.

Alerts / Webhooks (summary)
• “Order fills (alert_message)”: attaches an execution-style JSON; optional include SL/TP on entries.
• “alert() only”: pushes pre-built JSON for /advice or /signal; quantity from input.
• “Both (debug)”: emits both simultaneously.
• RTH gate (if enabled) restricts sending window only; strategy/backtest logic and fills do not change.

Usage Notes
• Set the chart timezone to America/New_York to keep session gates aligned.
• This strategy does not repaint; signals confirm on bar close.
• Risk discipline: keep per-trade risk under 5–10% of account; results vary across brokers due to slippage, margins, and fees.

Changelog (update)
• Added CME Break Shield and NY filters near the CME break (17:00–18:00 NY) and early reopening minutes.
• Added optional RTH send-window for alert/webhook dispatch only (unchanged trading logic and backtest).
• No removals of plots/inputs; prior payload structure preserved (version "mnq_wave_v4").

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Estrategia 5m para /MNQ: entradas por cruce de EMAs + proximidad a VWAP y WSA, con filtro de volatilidad (ATR por defecto o Regime ADX+ATRrel). Gestión con SL/TP por lado, trailing stop y cierre opcional por barras (contador en gráfico). Incluye “CME Break Shield” y filtros NY; la compuerta RTH limita solo el envío de alertas (backtest sin cambios). Soporta Order fills, alert() o ambos; payloads con versión mnq_wave_v4.