Just a thought, but the process would have to work as listed:
- A new button to put in the main menu...
- The button opens up a window like the load, but insteads takes the player character's stats and move him into the new game+.

If the two game worlds are like 2 Boxes. You need a way to take the player from one box and into the other...

If it is possible, it may require OBSE...

EDIT: Item's should not be carried over (It will cause alot of conflicts), Or only the items in the player's inventory should be carried over, along with the stats of course.

Note: The reason why carrying over items not in the player's inventory can cause conflicts is because your items will end up in places where you cannot get them till you~ [Buy a house], [Become Arch-Mage to get the room], etc.

I like it it reminds me of Baldur's Gate

What is this game+? you are talking in two worlds? what is this?
Is something more than initiate new game with the current level?
moving between two worlds mean you Cirodiil and Oblivion?
What about Shivering Isles?

first off Cyrodill and second off he means transferring an old character to a new game. like in Baldur's Gate Dark Alliance. or for example those games like Devil May Cry that let you start a new game with all your old Stuff from the last o ne

Well, is more understandable said this way. Albeit even being just this is not trivial as it seems and indeed the only things that would change were the quests. So maybe seeking a way of reseting then make more sense. I'm not saying this can be done, at least in trivial ways.
Look. Oblivion works different form those games, it is totally non linear, almost everything in it respawns. beginning a new game with a high level character don't change things so much since almost all areas are leveled to the player. Really, beyond redoing the already did quests what would change?
Almost certain the tired (and possible rich) high level character wouldn't even have difficulties rebuying the houses. Even if not already rich he would need loot just a few corpses and containers to be.... quests that give leveled items OK, but most ones would be just a joke redoing, You would need to kill powerful monsters to get a crap item (indeed is strange loot items better than the quest ones).
Finally, just proposing this leads one to think the game not even was played enough to understand it's concepts. even when 'closed' the main quest the game is not 'over' ... and at the point one did almost anything the game have to offer, is simply better going over mods to enhance game experience.

You can quite easily use the console to achieve this. You can find most of the codes (if not all) here. I recommend adjusting your skills to what they should be, then leveling up however many times. After that, some minor tweaking to restore your attributes, and finally adding your inventory/spells back.

This way may seem like it takes a long time, but its easier than trying to mod the save.

Also, I recommend doing this after you have left the sewers. Doing it within the sewers could cause problems.