Market Structure: BOS & CHoCH

//@version=6
indicator("Market Structure BOS CHoCH", overlay = true, max_bars_back = 1000)

// 1. Settings
// How many bars either side a swing must beat, before it counts as a pivot.
piv     = input.int(5, "Bars either side of a swing point", minval = 2)
// The forward window used later to score what price did after each signal.
fwd     = input.int(20, "Score the move over N bars after a signal", minval = 1)
// The background tint is optional, because some people hate coloured charts.
shade   = input.bool(true, "Tint the background by structure state")
// Draw the swing that has not been broken yet in a heavier line.
showRef = input.bool(true, "Highlight the swing that is still unbroken")

// 2. The swing points. ta.pivothigh only returns a value once piv more bars
// have printed AFTER the candidate bar, so every pivot is confirmed piv bars
// late. That lag is real, no indicator removes it, and you will see it.
// Both calls sit at the top level so they run on every single bar.
ph = ta.pivothigh(high, piv, piv)
pl = ta.pivotlow(low, piv, piv)

// 3. State. lastH and lastL are the most recent confirmed swings, kept so we
// can draw them. refH and refL are the same two levels used as break targets,
// and each is set to na the moment price takes it, so one swing fires once.
var float lastH = na
var float lastL = na
var float refH  = na
var float refL  = na
// Minus one is bearish, zero is undefined, plus one is bullish.
var int   state = 0
// Refresh both holders whenever a new pivot confirms.
if not na(ph)
    lastH := ph
    refH  := ph
if not na(pl)
    lastL := pl
    refL  := pl

// 4. A break is a CLOSE beyond the last swing, not a wick through it.
brokeUp = not na(refH) and close > refH
brokeDn = not na(refL) and close < refL
// BOS continues the state we are already in, CHoCH is the first break the
// other way. An undefined market has no character yet, so its first break
// is recorded as a BOS rather than as a change of character.
bosUp   = brokeUp and state >= 0
chUp    = brokeUp and state < 0
bosDn   = brokeDn and state <= 0
chDn    = brokeDn and state > 0
// Consume the level and flip the machine. One wild bar can break both sides,
// and when it does the downward break is the one that sets the state.
if brokeUp
    refH  := na
    state := 1
if brokeDn
    refL  := na
    state := -1

// 5. The structure levels, as stepped plots. This is the whole drawing, and
// it needs no line objects at all: a stepped series IS a horizontal level
// that only moves when the structure itself moves.
plot(lastH, "Last swing high", color.new(color.red, 40),
  style = plot.style_stepline)
plot(lastL, "Last swing low", color.new(color.teal, 40),
  style = plot.style_stepline)
// The unbroken level, heavier, and na as soon as it has been taken.
plot(showRef ? refH : na, "Unbroken high", color.red, 2, plot.style_stepline)
plot(showRef ? refL : na, "Unbroken low", color.teal, 2, plot.style_stepline)

// 6. Markers. BOS is a small triangle pointing the way of the break, CHoCH
// is a letter, so at a glance the two can never be mistaken for each other.
plotshape(bosUp, "BOS up", shape.triangleup, location.belowbar,
  color.teal, size = size.tiny)
plotshape(bosDn, "BOS down", shape.triangledown, location.abovebar,
  color.red, size = size.tiny)
plotchar(chUp, "CHoCH up", "C", location.belowbar, color.lime,
  size = size.small)
plotchar(chDn, "CHoCH down", "C", location.abovebar, color.orange,
  size = size.small)
// The background simply says which state the machine is in right now.
stCol = state == 1 ? color.teal : state == -1 ? color.red : color.gray
bgcolor(shade ? color.new(stCol, 90) : na, title = "Structure state")

// 7. What actually happened next. On every bar we look at the bar that is
// now fwd bars old, and if a signal fired there we credit the move since
// then to that signal. Nothing ever looks forward, so nothing repaints.
past    = close[fwd]
moveRaw = not na(past) and past > 0 ? (close - past) / past * 100 : na
var int   nBos    = 0
var float sBos    = 0.0
var int   nCh     = 0
var float sCh     = 0.0
var int   cBos    = 0
var int   cCh     = 0
var int   lastEvt = na
// A move counts as correct when it goes the way the break pointed, so a
// downward break is scored with the sign of the move flipped.
if not na(moveRaw)
    if bosUp[fwd] or bosDn[fwd]
        nBos += 1
        sBos += bosUp[fwd] ? moveRaw : -moveRaw
    if chUp[fwd] or chDn[fwd]
        nCh += 1
        sCh += chUp[fwd] ? moveRaw : -moveRaw
// Lifetime counts of the signals themselves, and when the last one fired.
if bosUp or bosDn
    cBos    += 1
    lastEvt := bar_index
if chUp or chDn
    cCh     += 1
    lastEvt := bar_index

// 8. One helper that writes a label and a value into the scoreboard.
var table t = table.new(position.top_right, 2, 7, border_width = 1)
put(r, k, v, bg) =>
    table.cell(t, 0, r, k, text_color = color.white, text_size = size.normal,
      bgcolor = bg)
    table.cell(t, 1, r, v, text_color = color.white, text_size = size.normal,
      bgcolor = color.new(color.gray, 25))

// 9. The report, including the two rows a premium indicator never shows you.
if barstate.islast
    name  = state == 1 ? "BULLISH" : state == -1 ? "BEARISH" : "UNDEFINED"
    since = na(lastEvt) ? "-" : str.tostring(bar_index - lastEvt)
    aBos  = nBos > 0 ? sBos / nBos : na
    aCh   = nCh > 0 ? sCh / nCh : na
    put(0, "STRUCTURE", name, color.new(stCol, 20))
    put(1, "BOS count", str.tostring(cBos), color.new(color.blue, 20))
    put(2, "CHoCH count", str.tostring(cCh), color.new(color.blue, 20))
    put(3, "bars since last event", since, color.new(color.blue, 20))
    put(4, "avg " + str.tostring(fwd) + "-bar move after BOS",
      na(aBos) ? "no samples" : str.tostring(aBos, "#.00") + "%",
      color.new(color.blue, 20))
    put(5, "avg " + str.tostring(fwd) + "-bar move after CHoCH",
      na(aCh) ? "no samples" : str.tostring(aCh, "#.00") + "%",
      color.new(color.blue, 20))
    put(6, "samples scored", str.tostring(nBos) + " BOS / " +
      str.tostring(nCh) + " CHoCH", color.new(color.blue, 20))

// 10. Alerts, on the two events people actually want their phone to shout.
alertcondition(chUp or chDn, "Change of character",
  "{{ticker}} structure changed character")
alertcondition(bosUp or bosDn, "Break of structure",
  "{{ticker}} break of structure")