कर्नेल स्मूथ्ड मल्टीपल मूविंग एवरेज पर आधारित अनुकूली प्रवृत्ति ट्रैकिंग प्रणाली

/*backtest
start: 2024-03-28 00:00:00
end: 2025-03-27 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("B4100 - NW Trend Ribbon Strategy", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, commission_value = 0.02)

// === Optimized Functions ===
f_calculate_beta_kernel(length, alpha, beta) =>
    kernel = array.new_float(length, 0)
    sum = 0.0
    for i = 0 to length - 1
        x = i / (length - 1)
        w = math.pow(x, alpha - 1) * math.pow(1 - x, beta - 1)
        array.set(kernel, i, w)
        sum += w
    for i = 0 to length - 1
        array.set(kernel, i, array.get(kernel, i) / sum)
    kernel

f_calculate_gaussian_kernel(length, bandwidth) =>
    kernel = array.new_float(length, 0)
    sum = 0.0
    for i = 0 to length - 1
        x = i / (length - 1)
        w = math.exp(-0.5 * math.pow((x - 0.5) / bandwidth, 2))
        array.set(kernel, i, w)
        sum += w
    for i = 0 to length - 1
        array.set(kernel, i, array.get(kernel, i) / sum)
    kernel

f_calculate_epanechnikov_kernel(length, bandwidth) =>
    kernel = array.new_float(length, 0)
    sum = 0.0
    for i = 0 to length - 1
        x = i / (length - 1)
        w = math.max(0.0, 1 - math.pow((x - 0.5) / bandwidth, 2))
        array.set(kernel, i, w)
        sum += w
    for i = 0 to length - 1
        array.set(kernel, i, array.get(kernel, i) / sum)
    kernel

f_apply_kernel_ma(src, kernel, length) =>
    sum = 0.0
    for i = 0 to length - 1
        sum += src[i] * array.get(kernel, i)
    sum

f_trend_strength(ma, length) =>
    ts = ta.rsi(ma, length) / 100
    ts

// === Inputs ===
src = input.source(close, title="Price Source", tooltip="Select the price data used for calculations.  'Close' is the most common, but you can also use 'Open', 'High', 'Low', 'HL2' (typical price), etc.")

// MA Parameters
maGroup = "Moving Average Settings"
maCrossoverGroup = "Moving Average Crossover Settings"
rsiFilterGroup = "RSI Filter Settings"
trendStrengthGroup = "Trend Strength Filter Settings"
trendConfirmGroup = "Trend Confirmation Settings"
trailingStopGroup = "Trailing Stop Settings"
atrTrailingStopGroup = "ATR Trailing Stop Settings"
atrTakeProfitGroup = "ATR Take Profit Settings"
hardStopGroup = "Hard Stop Loss Settings"
tradeDirectionGroup = "Trade Direction Control"

length1 = input.int(20, title="MA1 Length", minval=1, tooltip="Number of bars used to calculate the first Moving Average.", group=maGroup)
kernelType1 = input.string(title="MA1 Kernel Type", defval="Beta", options=["Beta", "Gaussian", "Epanechnikov"], tooltip="Select the type of smoothing kernel for MA1.  'Beta' allows for lag adjustment. 'Gaussian' and 'Epanechnikov' use a bandwidth.", group=maGroup)
alpha1  = input.float(3.0, title="MA1 Beta Kernel +Lag", minval=1, maxval=10, tooltip="For Beta kernel only: Higher values increase *positive* lag (MA reacts *slower* to price increases).", group=maGroup)
beta1   = input.float(3.0, title="MA1 Beta Kernel -Lag", minval=1, maxval=10, tooltip="For Beta kernel only: Higher values increase *negative* lag (MA reacts *slower* to price decreases).", group=maGroup)
bandwidth1 = input.float(0.3, title="MA1 Bandwidth", minval=0.1, maxval=10.0, tooltip="For Gaussian/Epanechnikov kernels:  Smaller values create a *tighter* fit to the price (more sensitive). Larger values create a *smoother*, less sensitive MA.", group=maGroup)

length2 = input.int(100, title="MA2 Length", minval=1, tooltip="Number of bars for the second Moving Average.", group=maGroup)
kernelType2 = input.string(title="MA2 Kernel Type", defval="Gaussian", options=["Beta", "Gaussian", "Epanechnikov"], tooltip="Kernel type for MA2 (see MA1 Kernel Type for details).", group=maGroup)
alpha2  = input.float(3.0, title="MA2 Beta Kernel +Lag", minval=1, maxval=10, tooltip="Beta kernel positive lag for MA2 (see MA1 Beta Kernel +Lag for details).", group=maGroup)
beta2   = input.float(3.0, title="MA2 Beta Kernel -Lag", minval=1, maxval=10, tooltip="Beta kernel negative lag for MA2 (see MA1 Beta Kernel -Lag for details).", group=maGroup)
bandwidth2 = input.float(0.3, title="MA2 Bandwidth", minval=0.1, maxval=10.0, tooltip="Bandwidth for MA2 (see MA1 Bandwidth for details).", group=maGroup)

length3 = input.int(150, title="MA3 Length", minval=1, tooltip="Number of bars for the third Moving Average.", group=maGroup)
kernelType3 = input.string(title="MA3 Kernel Type", defval="Epanechnikov", options=["Beta", "Gaussian", "Epanechnikov"], tooltip="Kernel type for MA3.", group=maGroup)
alpha3  = input.float(3.0, title="MA3 Beta Kernel +Lag", minval=1, maxval=10, tooltip="Beta kernel positive lag for MA3.", group=maGroup)
beta3   = input.float(3.0, title="MA3 Beta Kernel -Lag", minval=1, maxval=10, tooltip="Beta kernel negative lag for MA3.", group=maGroup)
bandwidth3 = input.float(0.3, title="MA3 Bandwidth", minval=0.1, maxval=10.0, tooltip="Bandwidth for MA3.", group=maGroup)

length4 = input.int(200, title="MA4 Length", minval=1, tooltip="Number of bars for the fourth Moving Average.", group=maGroup)
kernelType4 = input.string(title="MA4 Kernel Type", defval="Beta", options=["Beta", "Gaussian", "Epanechnikov"], tooltip="Kernel type for MA4.", group=maGroup)
alpha4  = input.float(3.0, title="MA4 Beta Kernel +Lag", minval=1, maxval=10, tooltip="Beta kernel positive lag for MA4.", group=maGroup)
beta4   = input.float(3.0, title="MA4 Beta Kernel -Lag", minval=1, maxval=10, tooltip="Beta kernel negative lag for MA4.", group=maGroup)
bandwidth4 = input.float(0.3, title="MA4 Bandwidth", minval=0.1, maxval=10.0, tooltip="Bandwidth for MA4.", group=maGroup)

length5 = input.int(250, title="MA5 Length", minval=1, tooltip="Number of bars for the fifth Moving Average.", group=maGroup)
kernelType5 = input.string(title="MA5 Kernel Type", defval="Gaussian", options=["Beta", "Gaussian", "Epanechnikov"], tooltip="Kernel type for MA5.", group=maGroup)
alpha5  = input.float(3.0, title="MA5 Beta Kernel +Lag", minval=1, maxval=10, tooltip="Beta kernel positive lag for MA5.", group=maGroup)
beta5   = input.float(3.0, title="MA5 Beta Kernel -Lag", minval=1, maxval=10, tooltip="Beta kernel negative lag for MA5.", group=maGroup)
bandwidth5 = input.float(0.3, title="MA5 Bandwidth", minval=0.1, maxval=10.0, tooltip="Bandwidth for MA5.", group=maGroup)

// Entry Logic
maCrossoversRequired = input.int(3, title="MA Crossovers Required", minval=1, maxval=5, tooltip="How many moving averages must cross each other to generate a potential trade signal.  A higher number means a stronger (but potentially later) signal.", group=maCrossoverGroup)
useRsiFilter         = input.bool(true, title="Use RSI Filter", tooltip="If enabled, the RSI must also be in overbought/oversold territory for a signal to be valid.", group=rsiFilterGroup)
rsiLength           = input.int(7, title="RSI Length", minval=2, tooltip="Number of bars used to calculate the RSI.", group=rsiFilterGroup)
rsiOverbought       = input.int(60, title="RSI Overbought", minval=50, maxval=100, tooltip="RSI level considered overbought (for short entries).", group=rsiFilterGroup)
rsiOversold         = input.int(40, title="RSI Oversold", minval=0, maxval=50, tooltip="RSI level considered oversold (for long entries).", group=rsiFilterGroup)

// Trend Strength Filter
useTrendStrengthFilter = input.bool(true, title="Use Trend Strength Filter", tooltip="If enabled, the trend strength (measured by the RSI of a selected MA) must be above/below a threshold.", group=trendStrengthGroup)
trendStrengthLength   = input.int(7, title="Trend Strength Length", minval=1, tooltip="Number of bars for the trend strength calculation (RSI of the selected MA).", group=trendStrengthGroup)
trendStrengthMa       = input.int(1, title="Trend Strength MA", minval=1, maxval=5, tooltip="Which moving average (1-5) to use for calculating trend strength. 1 = MA1, 2 = MA2, etc.", group=trendStrengthGroup)
minTrendStrength     = input.float(0.5, title="Min Trend Strength (Longs)", minval=0.0, maxval=1.0, step=0.01, tooltip="Minimum trend strength (0.0 - 1.0) required for long entries. 0.5 means the selected MA's RSI must be above 50.", group=trendStrengthGroup)
maxTrendStrength     = input.float(0.5, title="Max Trend Strength (Shorts)", minval=0.0, maxval=1.0, step=0.01, tooltip="Maximum trend strength (0.0 - 1.0) required for short entries. 0.5 means the selected MA's RSI must be below 50.", group=trendStrengthGroup)

// Trend Confirmation
trendConfirmationPeriod = input.int(4, title="Trend Confirmation Period", minval=1, tooltip="Number of consecutive bars the entry conditions must be met before a trade is taken. This helps filter out false signals.", group=trendConfirmGroup)


// Exit Logic
useTrailingStop = input.bool(true, title="Use Percentage Trailing Stop", tooltip="Enable a percentage-based trailing stop loss.", group=trailingStopGroup)
trailingStopActivationPercent = input.float(2.0, title="Activation (%)", minval=0.1, step=0.1, tooltip="Percentage above/below the entry price at which the trailing stop activates.", group=trailingStopGroup) / 100
trailingStopOffsetPercent     = input.float(1.0, title="Offset (%)", minval=0.1, step=0.1, tooltip="Percentage offset from the highest/lowest price reached since entry. This determines how tightly the stop trails the price.", group=trailingStopGroup) / 100

useAtrTrailingStop    = input.bool(true, title="Use ATR Trailing Stop", tooltip="Enable a trailing stop based on the Average True Range (ATR).", group=atrTrailingStopGroup)
atrTrailingStopLength = input.int(1, title="ATR Length", minval=1, tooltip="Number of bars used to calculate the ATR.", group=atrTrailingStopGroup)
atrTrailingStopMult   = input.float(200.0, title="ATR Multiplier", minval=0.1, tooltip="Multiplier for the ATR value.  A larger multiplier creates a wider stop.", group=atrTrailingStopGroup)

useAtrTakeProfit              = input.bool(false, title="Use ATR Take Profit", tooltip="Enable a take profit level based on the Average True Range (ATR).", group=atrTakeProfitGroup)
atrTakeProfitLength           = input.int(14, title="ATR Length", minval=1, tooltip="Number of bars used to calculate the ATR for take profit.", group=atrTakeProfitGroup)
atrTakeProfitMultiplier       = input.float(3.0, title="ATR Multiplier", minval=0.1, tooltip="Multiplier for the ATR value. A larger multiplier sets a further take profit target.", group=atrTakeProfitGroup)

useHardStopLoss     = input.bool(false, title="Use Hard Stop Loss", tooltip="Enable a fixed stop loss.", group=hardStopGroup)
hardStopLossPercent = input.float(0.0, title="Hard Stop Loss (%)", minval=0.0, step=0.1, tooltip="Percentage below (long) or above (short) the entry price for the hard stop loss.", group=hardStopGroup) / 100
useAtrHardStopLoss  = input.bool(false, title="Use ATR Hard Stop Loss", tooltip="Use ATR to calculate hard stop loss", group=hardStopGroup)
atrHardStopLossLength = input.int(14, title="ATR Hard Stop Loss Length", minval=1, tooltip="Length of the ATR for the hard stop loss", group=hardStopGroup)
atrHardStopLossMult   = input.float(1.5, title="ATR Hard Stop Loss Multiplier", minval=0.1, tooltip="Multiplier of ATR for the hard stop loss", group=hardStopGroup)

// *** Trade Direction Control ***
enableLongs  = input.bool(true, title="Enable Long Trades", group=tradeDirectionGroup)
enableShorts = input.bool(true, title="Enable Short Trades", group=tradeDirectionGroup)

// === Pre-calculate kernels (do this only once) ===
var kernel1 = array.new_float(length1, 0.0)
var kernel2 = array.new_float(length2, 0.0)
var kernel3 = array.new_float(length3, 0.0)
var kernel4 = array.new_float(length4, 0.0)
var kernel5 = array.new_float(length5, 0.0)

if barstate.isfirst
    if kernelType1 == "Beta"
        kernel1 := f_calculate_beta_kernel(length1, alpha1, beta1)
    else if kernelType1 == "Gaussian"
        kernel1 := f_calculate_gaussian_kernel(length1, bandwidth1)
    else // Epanechnikov
        kernel1 := f_calculate_epanechnikov_kernel(length1, bandwidth1)

    if kernelType2 == "Beta"
        kernel2 := f_calculate_beta_kernel(length2, alpha2, beta2)
    else if kernelType2 == "Gaussian"
        kernel2 := f_calculate_gaussian_kernel(length2, bandwidth2)
    else // Epanechnikov
        kernel2 := f_calculate_epanechnikov_kernel(length2, bandwidth2)

    if kernelType3 == "Beta"
        kernel3 := f_calculate_beta_kernel(length3, alpha3, beta3)
    else if kernelType3 == "Gaussian"
        kernel3 := f_calculate_gaussian_kernel(length3, bandwidth3)
    else // Epanechnikov
        kernel3 := f_calculate_epanechnikov_kernel(length3, bandwidth3)

    if kernelType4 == "Beta"
        kernel4 := f_calculate_beta_kernel(length4, alpha4, beta4)
    else if kernelType4 == "Gaussian"
        kernel4 := f_calculate_gaussian_kernel(length4, bandwidth4)
    else // Epanechnikov
        kernel4 := f_calculate_epanechnikov_kernel(length4, bandwidth4)

    if kernelType5 == "Beta"
        kernel5 := f_calculate_beta_kernel(length5, alpha5, beta5)
    else if kernelType5 == "Gaussian"
        kernel5 := f_calculate_gaussian_kernel(length5, bandwidth5)
    else // Epanechnikov
        kernel5 := f_calculate_epanechnikov_kernel(length5, bandwidth5)

// === Apply pre-calculated kernels to data ===
nw_ma1 = f_apply_kernel_ma(src, kernel1, length1)
nw_ma2 = f_apply_kernel_ma(src, kernel2, length2)
nw_ma3 = f_apply_kernel_ma(src, kernel3, length3)
nw_ma4 = f_apply_kernel_ma(src, kernel4, length4)
nw_ma5 = f_apply_kernel_ma(src, kernel5, length5)

// MA Array for easier iteration
ma_array = array.new_float(5)
array.set(ma_array, 0, nw_ma1)
array.set(ma_array, 1, nw_ma2)
array.set(ma_array, 2, nw_ma3)
array.set(ma_array, 3, nw_ma4)
array.set(ma_array, 4, nw_ma5)

// Calculate ATR values *unconditionally*
atrTrailingValue = ta.atr(atrTrailingStopLength)
atrTakeProfitValue = ta.atr(atrTakeProfitLength)
atrHardStopLossValue = ta.atr(atrHardStopLossLength)

// Calculate Trend Strength *unconditionally* (and only once)
trendStrengthValue = useTrendStrengthFilter ? f_trend_strength(array.get(ma_array, trendStrengthMa - 1), trendStrengthLength) : 0.0

// === Entry Logic ===

// MA Crossovers
longMaCrossovers  = 0
shortMaCrossovers = 0

for i = 0 to 3
    if array.get(ma_array, i) > array.get(ma_array, i + 1)
        longMaCrossovers  := longMaCrossovers  + 1
    if array.get(ma_array, i) < array.get(ma_array, i + 1)
        shortMaCrossovers := shortMaCrossovers + 1

longCrossoverCondition  = longMaCrossovers  >= maCrossoversRequired
shortCrossoverCondition = shortMaCrossovers >= maCrossoversRequired

// RSI Filter
rsiValue = ta.rsi(src, rsiLength)
longRsiCondition  = not useRsiFilter or (rsiValue < rsiOversold)
shortRsiCondition = not useRsiFilter or (rsiValue > rsiOverbought)

// Trend Strength Filter - Simplified Logic
longTrendStrengthCondition  = not useTrendStrengthFilter or trendStrengthValue >= minTrendStrength
shortTrendStrengthCondition = not useTrendStrengthFilter or trendStrengthValue <= maxTrendStrength


// --- Trend Confirmation Logic ---
var int long_confirm_count = 0
var int short_confirm_count = 0
var bool confirmedLong = false
var bool confirmedShort = false

// Update confirmation counters
if longCrossoverCondition and longRsiCondition and longTrendStrengthCondition
    long_confirm_count := long_confirm_count + 1
    short_confirm_count := 0  // Reset opposite counter
else
    long_confirm_count := 0

if shortCrossoverCondition and shortRsiCondition and shortTrendStrengthCondition
    short_confirm_count := short_confirm_count + 1
    long_confirm_count := 0 // Reset opposite counter
else
    short_confirm_count := 0

// Check for confirmed trend
confirmedLong := long_confirm_count >= trendConfirmationPeriod
confirmedShort := short_confirm_count >= trendConfirmationPeriod

// Combined Entry Conditions (using confirmed trend)
longCondition = confirmedLong  and enableLongs // Added trade direction check
shortCondition = confirmedShort and enableShorts // Added trade direction check

// === Exit Logic ===
var float longTrail = na
var float shortTrail = na
var float longTakeProfitPrice = na
var float shortTakeProfitPrice = na
var float longHardStopLossPrice = na
var float shortHardStopLossPrice = na

// Hard Stop Loss and Take Profit calculation on entry
if longCondition or shortCondition
    // Calculate Hard Stop Loss
    if useHardStopLoss
        if useAtrHardStopLoss
            longHardStopLossPrice  := close - (atrHardStopLossValue * atrHardStopLossMult)
            shortHardStopLossPrice := close + (atrHardStopLossValue * atrHardStopLossMult)
        else
            longHardStopLossPrice  := close * (1 - hardStopLossPercent)
            shortHardStopLossPrice := close * (1 + hardStopLossPercent)
    else
        longHardStopLossPrice := na
        shortHardStopLossPrice := na

    // Calculate Take Profit
    if useAtrTakeProfit
        longTakeProfitPrice  := close + (atrTakeProfitValue * atrTakeProfitMultiplier)
        shortTakeProfitPrice := close - (atrTakeProfitValue * atrTakeProfitMultiplier)
    else
        longTakeProfitPrice := na
        shortTakeProfitPrice := na

// Trailing Stop Logic - updated for each bar
if strategy.position_size > 0
    // Calculate trailing stop
    float tempTrail = na

    if useTrailingStop
        if close > strategy.position_avg_price * (1 + trailingStopActivationPercent)
            tempTrail := close * (1 - trailingStopOffsetPercent)
            if na(longTrail) or tempTrail > longTrail
                longTrail := tempTrail

    if useAtrTrailingStop
        float atrTrail = close - (atrTrailingValue * atrTrailingStopMult)
        if na(longTrail) or atrTrail > longTrail
            longTrail := atrTrail

if strategy.position_size < 0
    // Calculate trailing stop
    float tempTrail = na

    if useTrailingStop
        if close < strategy.position_avg_price * (1 - trailingStopActivationPercent)
            tempTrail := close * (1 + trailingStopOffsetPercent)
            if na(shortTrail) or tempTrail < shortTrail
                shortTrail := tempTrail

    if useAtrTrailingStop
        float atrTrail = close + (atrTrailingValue * atrTrailingStopMult)
        if na(shortTrail) or atrTrail < shortTrail
            shortTrail := atrTrail

// === Strategy Execution ===
if longCondition
    strategy.entry("Long", strategy.long)
    longTrail := na  // Reset on new entry
    shortTrail := na // Reset on new entry

if shortCondition
    strategy.entry("Short", strategy.short)
    shortTrail := na // Reset on new entry
    longTrail := na  // Reset on new entry

// Unified exit logic with proper ordering
if strategy.position_size > 0
    // Define effective stop level (combining hard stop and trailing stop)
    float effectiveStopLevel = na

    if not na(longHardStopLossPrice) and useHardStopLoss
        effectiveStopLevel := longHardStopLossPrice

    if not na(longTrail) and (useTrailingStop or useAtrTrailingStop)
        if na(effectiveStopLevel) or longTrail > effectiveStopLevel
            effectiveStopLevel := longTrail

    // Combined exit strategy with proper parameters
    strategy.exit("Long Exit", "Long",
                 limit = useAtrTakeProfit ? longTakeProfitPrice : na,
                 stop = effectiveStopLevel)

if strategy.position_size < 0
    // Define effective stop level (combining hard stop and trailing stop)
    float effectiveStopLevel = na

    if not na(shortHardStopLossPrice) and useHardStopLoss
        effectiveStopLevel := shortHardStopLossPrice

    if not na(shortTrail) and (useTrailingStop or useAtrTrailingStop)
        if na(effectiveStopLevel) or shortTrail < effectiveStopLevel
            effectiveStopLevel := shortTrail

    // Combined exit strategy with proper parameters
    strategy.exit("Short Exit", "Short",
                 limit = useAtrTakeProfit ? shortTakeProfitPrice : na,
                 stop = effectiveStopLevel)

// === Plotting ===
plotColorMa1 = nw_ma1 > nw_ma1[1] ? color.rgb(100, 250, 120) : color.rgb(255, 100, 120)
plotColorMa2 = nw_ma2 > nw_ma2[1] ? color.rgb(100, 250, 120) : color.rgb(255, 100, 120)
plotColorMa3 = nw_ma3 > nw_ma3[1] ? color.rgb(100, 250, 120) : color.rgb(255, 100, 120)
plotColorMa4 = nw_ma4 > nw_ma4[1] ? color.rgb(100, 250, 120) : color.rgb(255, 100, 120)
plotColorMa5 = nw_ma5 > nw_ma5[1] ? color.rgb(100, 250, 120) : color.rgb(255, 100, 120)

plot(nw_ma1, title="NW MA 1", color=plotColorMa1, linewidth=2)
plot(nw_ma2, title="NW MA 2", color=plotColorMa2, linewidth=2)
plot(nw_ma3, title="NW MA 3", color=plotColorMa3, linewidth=2)
plot(nw_ma4, title="NW MA 4", color=plotColorMa4, linewidth=2)
plot(nw_ma5, title="NW MA 5", color=plotColorMa5, linewidth=2)