OPEN-SOURCE SCRIPT
WTI Intraday Pressure (CL1!-CL2!)
WTI INTRADAY FACTOR PRO (CL1/CL2)
User Manual
---
[1] OVERVIEW
This indicator uses the relationship between CL1 (front-month WTI futures)
and CL2 (second-month futures) to estimate intraday market pressure.
It helps identify:
* directional bias
* continuation vs mean reversion conditions
* higher-quality breakout environments
Important:
This is a filter, not a standalone trading system.
---
[2] CORE IDEA
The indicator is based on the spread:
S = CL2 - CL1
Interpretation:
* Backwardation (CL1 > CL2) → bullish pressure
* Contango (CL1 < CL2) → bearish pressure
However, the level alone is not enough.
The indicator focuses on:
* normalized spread (z-score)
* change in spread (most important)
---
[3] HOW THE FACTOR IS BUILT
The final factor combines:
* Spread (normalized)
* Change in spread (normalized)
Formula:
F = w1 * Z_spread + w2 * Z_delta
Default:
* w1 = 0.3
* w2 = 0.7
The change component drives most of the signal.
---
[4] ADDITIONAL FILTERS
The indicator includes several filters to improve accuracy.
Volatility scaling
* increases signal importance during active periods
* reduces noise in quiet markets
CL1 dominance filter
* requires front-month to lead the move
* removes weak or artificial spread changes
Persistence filter
* requires signal to hold for multiple bars
* avoids one-bar spikes
Momentum filter
* aligns trades with short-term direction
Session filter
* focuses on high liquidity hours (US session)
Adaptive thresholds
* adjusts sensitivity automatically based on market conditions
---
[5] SETTINGS EXPLANATION
Z-score lookback
Default: 300
* lower = faster but noisier
* higher = smoother but slower
EMA smoothing
Default: 10
* controls signal stability
Weights (w1, w2)
* increase w2 → more reactive intraday signal
* increase w1 → more structural bias
Filters
Each filter can be turned ON/OFF for testing.
Recommended:
keep all filters ON.
Thresholds
Default:
* Long: +1
* Short: -1
Used only if adaptive thresholds are disabled.
---
[6] HOW TO READ THE INDICATOR
Factor values
* F > +1 → bullish bias
* F < -1 → bearish bias
* |F| < 0.5 → neutral (no edge)
Background color
* Green → long bias
* Red → short bias
Signals
Triangles mark the start of a new bias.
They are not entry signals.
---
[7] HOW TO USE IT
Main rule
Use the indicator to decide:
"Should I trust this move?"
Do not trade signals blindly.
---
Long setup
* Factor positive
* Price above VWAP
* Breakout or higher high
Enter on strength.
---
Short setup
* Factor negative
* Price below VWAP
* Breakdown or failed bounce
Enter on weakness.
---
Avoid
* trading in neutral zone
* counter-trend trades
* low liquidity periods
---
[8] USE CASES
Intraday trend trading
* primary use
* improves breakout quality
Scalping
* works with tighter settings
* requires confirmation
Mean reversion
* when factor is near zero
* market is balanced
News events
* useful after the move
* unreliable during releases
---
[9] OPTIMIZATION
If too many signals:
* increase smoothing
* increase thresholds
If too few signals:
* decrease thresholds
* reduce lookback
If signals are late:
* reduce smoothing
---
[10] LIMITATIONS
* not predictive alone
* depends on futures data quality
* weaker outside US session
* can fail during major news
---
[11] FINAL NOTES
This indicator reflects underlying futures positioning.
It will:
* reduce bad trades
* improve alignment with market pressure
It will NOT:
* generate signals by itself
* guarantee profitability
Focus on:
better trade selection, not more trades
User Manual
---
[1] OVERVIEW
This indicator uses the relationship between CL1 (front-month WTI futures)
and CL2 (second-month futures) to estimate intraday market pressure.
It helps identify:
* directional bias
* continuation vs mean reversion conditions
* higher-quality breakout environments
Important:
This is a filter, not a standalone trading system.
---
[2] CORE IDEA
The indicator is based on the spread:
S = CL2 - CL1
Interpretation:
* Backwardation (CL1 > CL2) → bullish pressure
* Contango (CL1 < CL2) → bearish pressure
However, the level alone is not enough.
The indicator focuses on:
* normalized spread (z-score)
* change in spread (most important)
---
[3] HOW THE FACTOR IS BUILT
The final factor combines:
* Spread (normalized)
* Change in spread (normalized)
Formula:
F = w1 * Z_spread + w2 * Z_delta
Default:
* w1 = 0.3
* w2 = 0.7
The change component drives most of the signal.
---
[4] ADDITIONAL FILTERS
The indicator includes several filters to improve accuracy.
Volatility scaling
* increases signal importance during active periods
* reduces noise in quiet markets
CL1 dominance filter
* requires front-month to lead the move
* removes weak or artificial spread changes
Persistence filter
* requires signal to hold for multiple bars
* avoids one-bar spikes
Momentum filter
* aligns trades with short-term direction
Session filter
* focuses on high liquidity hours (US session)
Adaptive thresholds
* adjusts sensitivity automatically based on market conditions
---
[5] SETTINGS EXPLANATION
Z-score lookback
Default: 300
* lower = faster but noisier
* higher = smoother but slower
EMA smoothing
Default: 10
* controls signal stability
Weights (w1, w2)
* increase w2 → more reactive intraday signal
* increase w1 → more structural bias
Filters
Each filter can be turned ON/OFF for testing.
Recommended:
keep all filters ON.
Thresholds
Default:
* Long: +1
* Short: -1
Used only if adaptive thresholds are disabled.
---
[6] HOW TO READ THE INDICATOR
Factor values
* F > +1 → bullish bias
* F < -1 → bearish bias
* |F| < 0.5 → neutral (no edge)
Background color
* Green → long bias
* Red → short bias
Signals
Triangles mark the start of a new bias.
They are not entry signals.
---
[7] HOW TO USE IT
Main rule
Use the indicator to decide:
"Should I trust this move?"
Do not trade signals blindly.
---
Long setup
* Factor positive
* Price above VWAP
* Breakout or higher high
Enter on strength.
---
Short setup
* Factor negative
* Price below VWAP
* Breakdown or failed bounce
Enter on weakness.
---
Avoid
* trading in neutral zone
* counter-trend trades
* low liquidity periods
---
[8] USE CASES
Intraday trend trading
* primary use
* improves breakout quality
Scalping
* works with tighter settings
* requires confirmation
Mean reversion
* when factor is near zero
* market is balanced
News events
* useful after the move
* unreliable during releases
---
[9] OPTIMIZATION
If too many signals:
* increase smoothing
* increase thresholds
If too few signals:
* decrease thresholds
* reduce lookback
If signals are late:
* reduce smoothing
---
[10] LIMITATIONS
* not predictive alone
* depends on futures data quality
* weaker outside US session
* can fail during major news
---
[11] FINAL NOTES
This indicator reflects underlying futures positioning.
It will:
* reduce bad trades
* improve alignment with market pressure
It will NOT:
* generate signals by itself
* guarantee profitability
Focus on:
better trade selection, not more trades
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这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
If you want to support further development - buy me a coffee!
paypal.com/donate/?business=AZNKQRW42YLSS&amount=5&no_recurring=1&item_name=Support+further+development!¤cy_code=EUR
paypal.com/donate/?business=AZNKQRW42YLSS&amount=5&no_recurring=1&item_name=Support+further+development!¤cy_code=EUR
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。