Order Block Detector (Relative Range expansion)

Category: market_structure

Identifies supply and demand zones (Order Blocks) by detecting significant body size expansions relative to subsequent candles and historical averages.

Formula

Signal = \begin{cases} 1.0 & \text{if } Body_i > (Body_{i+1} \times Multiplier) \text{ and } Body_i > (AvgBody \times MinRangeFactor) \text{ and } Close_i > Open_i \\ -1.0 & \text{if } Body_i > (Body_{i+1} \times Multiplier) \text{ and } Body_i > (AvgBody \times MinRangeFactor) \text{ and } Close_i < Open_i \\ 0 & \text{otherwise} \end{cases}

Inputs

• Multiplier (default: 2.0)
• UseAdditionalFilter (default: true)
• AvgPeriod (default: 10)
• MinRangeFactor (default: 1.5)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.