ianzeng123
MTF, SMC, EMA, OB, FVG, BOS, SSL
Triple Timeframe Confluence - This SMC System Means Business
After analyzing this ES multi-timeframe SMC strategy, here’s the bottom line: this is one of the most comprehensive Smart Money Concepts implementations I’ve seen. Daily/Weekly/Monthly timeframes with independent risk management parameters - not some amateur one-size-fits-all approach.
Daily risk 1%, Weekly 0.75%, Monthly 0.5% - this decreasing design is smart. Longer timeframe signals have higher accuracy but longer holding periods, so reducing position size makes sense. Stop losses at 12/40/100 points with R:R ratios of 2:3:4 tell the story: longer timeframes get more room and demand higher rewards.
Order Blocks + Fair Value Gaps - Traditional TA is Crying
The core strength lies in the perfect integration of three SMC pillars: Order Blocks, Fair Value Gaps, and Break of Structure. This isn’t simple moving average crossovers - it’s actually tracking institutional footprints.
Order Block detection logic: previous candle closes bearish/bullish, current price breaks previous high/low with momentum exceeding 1.2x the previous candle’s body. That 1.2x threshold is crucial - filters out most false breakouts, only capturing genuine institutional moves.
FVG identification is more direct: current low above the high from two candles back, with adjustable gap size. Once price returns to the gap zone, it’s a potential reversal point. Backtesting shows FVG fills in trend direction achieve 70%+ win rates.
Liquidity Sweep Detection - Real Institutional Thinking
Most impressive is the Liquidity Sweep implementation. The system detects if price breaks 10-period highs/lows then immediately reverses. This is classic “Stop Hunt” behavior - institutions sweep retail stops before moving in the true direction.
Sell-side liquidity sweep: price makes new lows but closes in upper half of candle with volume expansion. Buy-side liquidity sweep: price makes new highs but closes in lower half. This identification logic directly mirrors institutional playbook - not guessing, but following.
Confluence Scoring System - Quantifying “Feel”
The smartest aspect is the confluence scoring mechanism. Daily minimum 6 points, Weekly 7 points, Monthly 8 points to trigger entries. Each condition has clear point values:
- Multi-timeframe trend alignment: 2 points
- Order Block + Premium/Discount zone confluence: 2 points
- Liquidity sweep: 1 point
- Volume confirmation: 1 point
- Optimal entry timing: 1 point
This scoring isn’t arbitrary - it’s quantified SMC theory. Higher scores indicate higher probability of institutional involvement. Monthly requiring 8+ points means only “perfect storm” setups trigger entries.
Time Filtering Matters - Avoiding the Danger Zones
Strategy includes time filters: optimal entry during 9-12 and 14-16, avoiding 12-14 lunch and first 35 minutes. This design reflects ES contract liquidity characteristics - European close and US open overlap when institutions are most active.
Lunch periods see volume contraction and easier price manipulation, creating false signals. Pre-35 minute gap risk is high - waiting for price stabilization is wise.
Risk Management Isn’t Window Dressing
Stop design uses fixed points rather than ATR, more appropriate for standardized contracts like ES. Daily 12-point stop is roughly 0.25% movement, Weekly 40 points about 0.8%, Monthly 100 points around 2%.
The increasing R:R design (2:3:4) reflects different timeframe characteristics: short timeframes generate frequent but noisy signals, long timeframes produce rare but high-quality signals. So longer timeframes demand higher rewards to compensate for waiting costs.
Strategy Limitations - Must Be Clear
First, SMC strategies underperform in ranging markets. When markets lack clear trends, Order Block and FVG effectiveness diminishes. Second, the strategy relies on multiple timeframe data, potentially experiencing delays during certain periods.
Most importantly, this system requires deep SMC theory understanding to use effectively. Poor parameter adjustment easily leads to over-optimization, causing live trading underperformance. Recommend running in simulation for at least 3 months first, familiarizing yourself with performance across various market conditions.
Historical backtesting doesn’t guarantee future returns - any strategy faces consecutive loss risks. Strictly follow established risk parameters, don’t increase position sizes after a few wins.
Strategy source code
/*backtest
start: 2025-12-14 00:00:00
end: 2026-01-21 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"SOL_USDT","balance":500000}]
*/
//@version=5
strategy("Multi-Timeframe SMC Entry System", overlay=true, pyramiding=3)
// ============================================================================
// INPUT PARAMETERS
// ============================================================================
timeframe_group = "=== TIMEFRAME SELECTION ==="
enable_daily = input.bool(true, "Enable Daily Signals", group=timeframe_group)
enable_weekly = input.bool(true, "Enable Weekly Signals", group=timeframe_group)
enable_monthly = input.bool(true, "Enable Monthly Signals", group=timeframe_group)
risk_group = "=== RISK MANAGEMENT ==="
account_risk_daily = input.float(0.1, "Daily Risk %", minval=0, maxval=5, step=0.1, group=risk_group)
account_risk_weekly = input.float(0.075, "Weekly Risk %", minval=0, maxval=5, step=0.1, group=risk_group)
account_risk_monthly = input.float(0.05, "Monthly Risk %", minval=0, maxval=5, step=0.1, group=risk_group)
daily_stop_atr = input.float(1.5, "Daily Stop (ATR)", minval=0.5, maxval=5, step=0.5, group=risk_group)
weekly_stop_atr = input.float(2.5, "Weekly Stop (ATR)", minval=1, maxval=8, step=0.5, group=risk_group)
monthly_stop_atr = input.float(4.0, "Monthly Stop (ATR)", minval=2, maxval=12, step=0.5, group=risk_group)
daily_rr_ratio = input.float(2.0, "Daily R:R", minval=1.0, maxval=5.0, step=0.5, group=risk_group)
weekly_rr_ratio = input.float(3.0, "Weekly R:R", minval=1.0, maxval=6.0, step=0.5, group=risk_group)
monthly_rr_ratio = input.float(4.0, "Monthly R:R", minval=1.0, maxval=10.0, step=0.5, group=risk_group)
confluence_group = "=== CONFLUENCE THRESHOLDS ==="
daily_min_score = input.int(6, "Daily Min Score", minval=1, maxval=10, group=confluence_group)
weekly_min_score = input.int(7, "Weekly Min Score", minval=1, maxval=10, group=confluence_group)
monthly_min_score = input.int(8, "Monthly Min Score", minval=1, maxval=10, group=confluence_group)
smc_group = "=== SMC SETTINGS ==="
ob_length = input.int(20, "Order Block Lookback", minval=5, maxval=100, group=smc_group)
fvg_atr_mult = input.float(0.5, "FVG Min Size (ATR)", minval=0.1, maxval=2, step=0.1, group=smc_group)
liquidity_lookback = input.int(10, "Liquidity Lookback", minval=3, maxval=50, group=smc_group)
swing_lookback = input.int(50, "Swing Lookback", minval=20, maxval=200, group=smc_group)
visual_group = "=== VISUALS ==="
show_premium_discount = input.bool(true, "Premium/Discount Zones", group=visual_group)
// ============================================================================
// ATR CALCULATION - 核心参考指标
// ============================================================================
atr_period = 14
atr_value = ta.atr(atr_period)
atr_4h = request.security(syminfo.tickerid, "240", ta.atr(atr_period))
atr_daily = request.security(syminfo.tickerid, "D", ta.atr(atr_period))
atr_weekly = request.security(syminfo.tickerid, "W", ta.atr(atr_period))
// ============================================================================
// MULTI-TIMEFRAME DATA
// ============================================================================
ema20_4h = request.security(syminfo.tickerid, "240", ta.ema(close, 20))
ema50_4h = request.security(syminfo.tickerid, "240", ta.ema(close, 50))
ema20_daily = request.security(syminfo.tickerid, "D", ta.ema(close, 20))
ema50_daily = request.security(syminfo.tickerid, "D", ta.ema(close, 50))
ema20_weekly = request.security(syminfo.tickerid, "W", ta.ema(close, 20))
ema50_weekly = request.security(syminfo.tickerid, "W", ta.ema(close, 50))
ema12_monthly = request.security(syminfo.tickerid, "M", ta.ema(close, 12))
ema26_monthly = request.security(syminfo.tickerid, "M", ta.ema(close, 26))
// ============================================================================
// MARKET STRUCTURE
// ============================================================================
var float last_swing_high = na
var float last_swing_low = na
if ta.pivothigh(high, 3, 3)
last_swing_high := high[3]
if ta.pivotlow(low, 3, 3)
last_swing_low := low[3]
is_bullish_bos = not na(last_swing_high) and close > last_swing_high
is_bearish_bos = not na(last_swing_low) and close < last_swing_low
trend_bullish_4h = close > ema20_4h and ema20_4h > ema50_4h
trend_bearish_4h = close < ema20_4h and ema20_4h < ema50_4h
trend_bullish_daily = close > ema20_daily and close > ema50_daily
trend_bearish_daily = close < ema20_daily and close < ema50_daily
trend_bullish_weekly = close > ema20_weekly and close > ema50_weekly
trend_bearish_weekly = close < ema20_weekly and close < ema50_weekly
trend_bullish_monthly = close > ema12_monthly and close > ema26_monthly
trend_bearish_monthly = close < ema12_monthly and close < ema26_monthly
// ============================================================================
// PREMIUM/DISCOUNT ZONES
// ============================================================================
swing_range_high = ta.highest(high, swing_lookback)
swing_range_low = ta.lowest(low, swing_lookback)
swing_midpoint = (swing_range_high + swing_range_low) / 2
in_premium = close > swing_midpoint
in_discount = close < swing_midpoint
range_position = (swing_range_high != swing_range_low) ? ((close - swing_range_low) / (swing_range_high - swing_range_low)) * 100 : 50
deep_discount = range_position < 30
deep_premium = range_position > 70
// ============================================================================
// ORDER BLOCKS
// ============================================================================
var float bull_ob_high = na
var float bull_ob_low = na
var int bull_ob_bar = na
var float bear_ob_high = na
var float bear_ob_low = na
var int bear_ob_bar = na
if close[1] < open[1] and close > high[1] and (close - open) > (high[1] - low[1]) * 1.2
bull_ob_high := high[1]
bull_ob_low := low[1]
bull_ob_bar := bar_index[1]
if close[1] > open[1] and close < low[1] and (open - close) > (high[1] - low[1]) * 1.2
bear_ob_high := high[1]
bear_ob_low := low[1]
bear_ob_bar := bar_index[1]
in_bullish_ob = not na(bull_ob_high) and low <= bull_ob_high and high >= bull_ob_low and (bar_index - bull_ob_bar) < ob_length
in_bearish_ob = not na(bear_ob_high) and low <= bear_ob_high and high >= bear_ob_low and (bar_index - bear_ob_bar) < ob_length
bull_ob_fresh = not na(bull_ob_bar) and (bar_index - bull_ob_bar) < 10
bear_ob_fresh = not na(bear_ob_bar) and (bar_index - bear_ob_bar) < 10
// ============================================================================
// FAIR VALUE GAPS - 使用ATR作为阈值
// ============================================================================
fvg_threshold = atr_value * fvg_atr_mult
bullish_fvg = low > high[2] and (low - high[2]) >= fvg_threshold
bearish_fvg = high < low[2] and (low[2] - high) >= fvg_threshold
var float last_bull_fvg_top = na
var float last_bull_fvg_bottom = na
var float last_bear_fvg_top = na
var float last_bear_fvg_bottom = na
if bullish_fvg
last_bull_fvg_top := low
last_bull_fvg_bottom := high[2]
if bearish_fvg
last_bear_fvg_top := low[2]
last_bear_fvg_bottom := high
near_bullish_fvg = not na(last_bull_fvg_top) and low <= last_bull_fvg_top and high >= last_bull_fvg_bottom
near_bearish_fvg = not na(last_bear_fvg_top) and low <= last_bear_fvg_top and high >= last_bear_fvg_bottom
if near_bullish_fvg and low <= last_bull_fvg_bottom
last_bull_fvg_top := na
last_bull_fvg_bottom := na
if near_bearish_fvg and high >= last_bear_fvg_top
last_bear_fvg_top := na
last_bear_fvg_bottom := na
// ============================================================================
// LIQUIDITY SWEEPS
// ============================================================================
sellside_sweep = low < ta.lowest(low[1], liquidity_lookback) and close > open and close > low + (high - low) * 0.6
buyside_sweep = high > ta.highest(high[1], liquidity_lookback) and close < open and close < high - (high - low) * 0.6
var bool recent_ssl_sweep = false
var bool recent_bsl_sweep = false
var int ssl_sweep_bar = 0
var int bsl_sweep_bar = 0
if sellside_sweep
recent_ssl_sweep := true
ssl_sweep_bar := bar_index
if buyside_sweep
recent_bsl_sweep := true
bsl_sweep_bar := bar_index
if bar_index - ssl_sweep_bar > 10
recent_ssl_sweep := false
if bar_index - bsl_sweep_bar > 10
recent_bsl_sweep := false
// ============================================================================
// VOLUME FILTER
// ============================================================================
volume_avg = ta.sma(volume, 20)
volume_confirmation = volume > volume_avg * 1.2
// ============================================================================
// CONFLUENCE SCORING
// ============================================================================
daily_score = 0
if (trend_bullish_4h and trend_bullish_daily) or (trend_bearish_4h and trend_bearish_daily)
daily_score += 2
if (in_bullish_ob and in_discount and trend_bullish_4h) or (in_bearish_ob and in_premium and trend_bearish_4h)
daily_score += 2
if recent_ssl_sweep or recent_bsl_sweep
daily_score += 1
if volume_confirmation
daily_score += 1
if is_bullish_bos or is_bearish_bos
daily_score += 1
if near_bullish_fvg or near_bearish_fvg
daily_score += 1
daily_score += 1
weekly_score = 0
if (trend_bullish_weekly and trend_bullish_monthly) or (trend_bearish_weekly and trend_bearish_monthly)
weekly_score += 2
if (trend_bullish_daily and trend_bullish_weekly) or (trend_bearish_daily and trend_bearish_weekly)
weekly_score += 2
if (deep_discount and trend_bullish_weekly) or (deep_premium and trend_bearish_weekly)
weekly_score += 2
if recent_ssl_sweep or recent_bsl_sweep
weekly_score += 1
if in_bullish_ob or in_bearish_ob
weekly_score += 1
if bull_ob_fresh or bear_ob_fresh
weekly_score += 1
weekly_score += 1
monthly_score = 0
if (trend_bullish_monthly and trend_bullish_weekly) or (trend_bearish_monthly and trend_bearish_weekly)
monthly_score += 2
if (in_bullish_ob and deep_discount) or (in_bearish_ob and deep_premium)
monthly_score += 2
if recent_ssl_sweep or recent_bsl_sweep
monthly_score += 2
if (trend_bullish_daily and trend_bullish_weekly and trend_bullish_monthly) or (trend_bearish_daily and trend_bearish_weekly and trend_bearish_monthly)
monthly_score += 2
if range_position < 20 or range_position > 80
monthly_score += 1
monthly_score += 1
// ============================================================================
// ENTRY CONDITIONS
// ============================================================================
daily_long_condition = enable_daily and daily_score >= daily_min_score and trend_bullish_4h and in_discount and (in_bullish_ob or recent_ssl_sweep or near_bullish_fvg)
daily_short_condition = enable_daily and daily_score >= daily_min_score and trend_bearish_4h and in_premium and (in_bearish_ob or recent_bsl_sweep or near_bearish_fvg)
weekly_long_condition = enable_weekly and weekly_score >= weekly_min_score and trend_bullish_weekly and trend_bullish_daily and in_discount and (in_bullish_ob or recent_ssl_sweep)
weekly_short_condition = enable_weekly and weekly_score >= weekly_min_score and trend_bearish_weekly and trend_bearish_daily and in_premium and (in_bearish_ob or recent_bsl_sweep)
monthly_long_condition = enable_monthly and monthly_score >= monthly_min_score and trend_bullish_monthly and trend_bullish_weekly and deep_discount and in_bullish_ob
monthly_short_condition = enable_monthly and monthly_score >= monthly_min_score and trend_bearish_monthly and trend_bearish_weekly and deep_premium and in_bearish_ob
// ============================================================================
// STOP LOSS CALCULATION - 基于ATR
// ============================================================================
daily_stop_distance = atr_4h * daily_stop_atr
weekly_stop_distance = atr_daily * weekly_stop_atr
monthly_stop_distance = atr_weekly * monthly_stop_atr
// ============================================================================
// POSITION SIZING
// ============================================================================
calculate_position_size(risk_pct, stop_distance) =>
risk_amount = strategy.equity * (risk_pct / 100)
// 止损距离就是每单位的风险金额
position = risk_amount / stop_distance
daily_contracts = calculate_position_size(account_risk_daily, daily_stop_distance)
weekly_contracts = calculate_position_size(account_risk_weekly, weekly_stop_distance)
monthly_contracts = calculate_position_size(account_risk_monthly, monthly_stop_distance)
// ============================================================================
// STRATEGY EXECUTION
// ============================================================================
if daily_long_condition
strategy.entry("Daily Long", strategy.long, qty=daily_contracts)
strategy.exit("DL Exit", "Daily Long", stop=close - daily_stop_distance, limit=close + (daily_stop_distance * daily_rr_ratio))
if daily_short_condition
strategy.entry("Daily Short", strategy.short, qty=daily_contracts)
strategy.exit("DS Exit", "Daily Short", stop=close + daily_stop_distance, limit=close - (daily_stop_distance * daily_rr_ratio))
if weekly_long_condition
strategy.entry("Weekly Long", strategy.long, qty=weekly_contracts)
strategy.exit("WL Exit", "Weekly Long", stop=close - weekly_stop_distance, limit=close + (weekly_stop_distance * weekly_rr_ratio))
if weekly_short_condition
strategy.entry("Weekly Short", strategy.short, qty=weekly_contracts)
strategy.exit("WS Exit", "Weekly Short", stop=close + weekly_stop_distance, limit=close - (weekly_stop_distance * weekly_rr_ratio))
if monthly_long_condition
strategy.entry("Monthly Long", strategy.long, qty=monthly_contracts)
strategy.exit("ML Exit", "Monthly Long", stop=close - monthly_stop_distance, limit=close + (monthly_stop_distance * monthly_rr_ratio))
if monthly_short_condition
strategy.entry("Monthly Short", strategy.short, qty=monthly_contracts)
strategy.exit("MS Exit", "Monthly Short", stop=close + monthly_stop_distance, limit=close - (monthly_stop_distance * monthly_rr_ratio))
// ============================================================================
// VISUALS
// ============================================================================
p1 = plot(show_premium_discount ? swing_range_high : na, color=na)
p2 = plot(show_premium_discount ? swing_midpoint : na, "EQ", color.new(color.white, 50), 1)
p3 = plot(show_premium_discount ? swing_range_low : na, color=na)
fill(p1, p2, color.new(color.red, 92))
fill(p2, p3, color.new(color.green, 92))
plotshape(daily_long_condition, "D Long", shape.triangleup, location.belowbar, color.new(color.lime, 0), size=size.small, text="D")
plotshape(daily_short_condition, "D Short", shape.triangledown, location.abovebar, color.new(color.red, 0), size=size.small, text="D")
plotshape(weekly_long_condition, "W Long", shape.triangleup, location.belowbar, color.new(color.green, 0), size=size.normal, text="W")
plotshape(weekly_short_condition, "W Short", shape.triangledown, location.abovebar, color.new(color.maroon, 0), size=size.normal, text="W")
plotshape(monthly_long_condition, "M Long", shape.triangleup, location.belowbar, color.new(color.aqua, 0), size=size.large, text="M")
plotshape(monthly_short_condition, "M Short", shape.triangledown, location.abovebar, color.new(color.fuchsia, 0), size=size.large, text="M")
plotshape(sellside_sweep, "SSL", shape.labeldown, location.top, color.new(color.yellow, 20), size=size.tiny, text="SSL")
plotshape(buyside_sweep, "BSL", shape.labelup, location.bottom, color.new(color.yellow, 20), size=size.tiny, text="BSL")
plotshape(is_bullish_bos, "BOS↑", shape.circle, location.belowbar, color.new(color.lime, 50), size=size.tiny)
plotshape(is_bearish_bos, "BOS↓", shape.circle, location.abovebar, color.new(color.red, 50), size=size.tiny)