ট্রেন্ড রিভার পুলব্যাক কৌশল

/*backtest
start: 2025-01-20 08:00:00
end: 2025-09-03 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":500000}]
*/

//@version=5
strategy("Trend River Pullback Strategy v1", 
     overlay=true, initial_capital=10000, commission_type=strategy.commission.percent, commission_value=0.02, 
     pyramiding=0, calc_on_order_fills=true, calc_on_every_tick=true, margin_long=1, margin_short=1)
// ===== Inputs
// EMA river
emaFastLen   = input.int(8,   "EMA1 (fast)")
ema2Len      = input.int(13,  "EMA2")
emaMidLen    = input.int(21,  "EMA3 (middle)")
ema4Len      = input.int(34,  "EMA4")
emaSlowLen   = input.int(55,  "EMA5 (slow)")
// Pullback and momentum
rsiLen       = input.int(14, "RSI length")
rsiOB        = input.int(60, "RSI trend threshold (long)")
rsiOS        = input.int(40, "RSI trend threshold (short)")
pullbackPct  = input.float(40.0, "Pullback depth % of river width", minval=0, maxval=100)
// Risk management
riskPct      = input.float(1.0, "Risk per trade % of capital", step=0.1, minval=0.1)
atrLen       = input.int(14, "ATR length (stop/trailing)")
atrMultSL    = input.float(2.0, "ATR multiplier for stop", step=0.1)
tpRR         = input.float(2.0, "Take profit R-multiple", step=0.1)
// Trailing stop
useTrail     = input.bool(true, "Enable trailing stop (Chandelier)")
trailMult    = input.float(3.0, "ATR multiplier for trailing", step=0.1)
// ===== Calculations
ema1  = ta.ema(close, emaFastLen)
ema2  = ta.ema(close, ema2Len)
ema3  = ta.ema(close, emaMidLen)
ema4  = ta.ema(close, ema4Len)
ema5  = ta.ema(close, emaSlowLen)
// River: top/bottom as envelope of averages
riverTop = math.max(math.max(ema1, ema2), math.max(ema3, math.max(ema4, ema5)))
riverBot = math.min(math.min(ema1, ema2), math.min(ema3, math.min(ema4, ema5)))
riverMid = (riverTop + riverBot) / 2.0
riverWidth = riverTop - riverBot
// Trend conditions: EMA alignment
bullAligned = ema1 > ema2 and ema2 > ema3 and ema3 > ema4 and ema4 > ema5
bearAligned = ema1 < ema2 and ema2 < ema3 and ema3 < ema4 and ema4 < ema5
// Momentum
rsi = ta.rsi(close, rsiLen)
// Pullback into river
pullbackLevelBull = riverTop - riverWidth * (pullbackPct/100.0)
pullbackLevelBear = riverBot + riverWidth * (pullbackPct/100.0)
pullbackOkBull = bullAligned and rsi >= rsiOB and low <= pullbackLevelBull
pullbackOkBear = bearAligned and rsi <= rsiOS and high >= pullbackLevelBear
// Entry trigger: return to momentum (fast EMA crossover)
longTrig  = pullbackOkBull and ta.crossover(close, ema1)
shortTrig = pullbackOkBear and ta.crossunder(close, ema1)
// ATR for stops
atr = ta.atr(atrLen)
// ===== Position sizing by risk
capital   = strategy.equity
riskMoney = capital * (riskPct/100.0)
// Preliminary stop levels
longSL  = close - atrMultSL * atr
shortSL = close + atrMultSL * atr
// Tick value and size
tickValue = syminfo.pointvalue
// Avoid division by zero
slDistLong  = math.max(close - longSL, syminfo.mintick)
slDistShort = math.max(shortSL - close, syminfo.mintick)
// Number of contracts/lots
qtyLong  = riskMoney / (slDistLong * tickValue)
qtyShort = riskMoney / (slDistShort * tickValue)
// Limit: not less than 0
qtyLong  := math.max(qtyLong, 0)
qtyShort := math.max(qtyShort, 0)
// ===== Entries
if longTrig and strategy.position_size <= 0
    strategy.entry("Long", strategy.long, qty=qtyLong)
if shortTrig and strategy.position_size >= 0
    strategy.entry("Short", strategy.short, qty=qtyShort)
// ===== Exits: fixed TP by R and stop
// Store entry price
var float entryPrice = na
if strategy.position_size != 0 and na(entryPrice)
    entryPrice := strategy.position_avg_price
if strategy.position_size == 0
    entryPrice := na
// Targets
longTP  = na(entryPrice) ? na : entryPrice + tpRR * (entryPrice - longSL)
shortTP = na(entryPrice) ? na : entryPrice - tpRR * (shortSL - entryPrice)
// Trailing: Chandelier
trailLong  = close - trailMult * atr
trailShort = close + trailMult * atr
// Final exit levels
useTrailLong  = useTrail and strategy.position_size > 0
useTrailShort = useTrail and strategy.position_size < 0
// For long
if strategy.position_size > 0
    stopL = math.max(longSL, na)
    tStop = useTrailLong ? trailLong : longSL
    strategy.exit("L-Exit", from_entry="Long", stop=tStop, limit=longTP)
// For short
if strategy.position_size < 0
    stopS = math.min(shortSL, na)
    tStopS = useTrailShort ? trailShort : shortSL
    strategy.exit("S-Exit", from_entry="Short", stop=tStopS, limit=shortTP)
// ===== Visuals
plot(ema1,  "EMA1",  display=display.all, linewidth=1)
plot(ema2,  "EMA2",  display=display.all, linewidth=1)
plot(ema3,  "EMA3",  display=display.all, linewidth=2)
plot(ema4,  "EMA4",  display=display.all, linewidth=1)
plot(ema5,  "EMA5",  display=display.all, linewidth=1)
plot(riverTop, "River Top",  style=plot.style_linebr, linewidth=1)
plot(riverBot, "River Bot",  style=plot.style_linebr, linewidth=1)
fill(plot1=plot(riverTop,  display=display.none), plot2=plot(riverBot, display=display.none), title="River Fill", transp=80)
plot(longTP,  "Long TP",  style=plot.style_linebr)
plot(shortTP, "Short TP", style=plot.style_linebr)
plot(useTrailLong  ? trailLong  : na, "Trail Long",  style=plot.style_linebr)
plot(useTrailShort ? trailShort : na, "Trail Short", style=plot.style_linebr)
// Signal markers
plotshape(longTrig,  title="Long Trigger",  style=shape.triangleup,   location=location.belowbar, size=size.tiny, text="L")
plotshape(shortTrig, title="Short Trigger", style=shape.triangledown, location=location.abovebar, size=size.tiny, text="S")
// ===== Alerts
alertcondition(longTrig,  title="Long Signal",  message="Long signal: trend aligned + pullback + momentum")
alertcondition(shortTrig, title="Short Signal", message="Short signal: trend aligned + pullback + momentum")