मात्रात्मक बहु-कारक गतिशील विकल्प ट्रेडिंग रणनीति

/*backtest
start: 2024-03-31 00:00:00
end: 2025-03-29 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Vinayz Options Stratergy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=2)

// ---- Input Parameters ----
atrPeriod = input(14, title="ATR Period")
bbLength = input(20, title="BB Period")
bbStdDev = input(2, title="BB Std Dev")
rsiPeriod = input(14, title="RSI Period")
atrMultiplier = input(1.5, title="ATR Trailing Stop Multiplier")
vwapLength = input(20, title="VWAP Length")
targetMultiplier = input(2, title="Target Multiplier") // Target set at 2x ATR
maxHoldingBars = input(3, title="Max Holding Period (Bars)")

// ---- Indicator Calculations ----
atrValue = ta.atr(atrPeriod)
smaValue = ta.sma(close, bbLength)
upperBB = smaValue + bbStdDev * ta.stdev(close, bbLength)
lowerBB = smaValue - bbStdDev * ta.stdev(close, bbLength)
rsiValue = ta.rsi(close, rsiPeriod)
vwap = ta.vwma(close, vwapLength)

// ---- Volume Spike/Breakout Detection ----
volSMA = ta.sma(volume, 10)
volSpike = volume > volSMA * 1.5

// ---- ATR Volatility Filter to Avoid Low Volatility Zones ----
atrFilter = atrValue > ta.sma(atrValue, 20) * 0.5

// ---- Long Call Entry Conditions ----
longCE = ta.crossover(close, upperBB) and rsiValue > 60 and volSpike and close > vwap and atrFilter
// ---- Long Put Entry Conditions ----
longPE = ta.crossunder(close, lowerBB) and rsiValue < 40 and volSpike and close < vwap and atrFilter

// ---- Stop Loss and Target Calculation ----
longStopLoss = strategy.position_size > 0 ? strategy.position_avg_price - atrMultiplier * atrValue : na
shortStopLoss = strategy.position_size < 0 ? strategy.position_avg_price + atrMultiplier * atrValue : na
longTarget = strategy.position_size > 0 ? strategy.position_avg_price + targetMultiplier * atrValue : na
shortTarget = strategy.position_size < 0 ? strategy.position_avg_price - targetMultiplier * atrValue : na

// ---- Buy/Sell Logic ----
if (longCE)
    strategy.entry("CE Entry", strategy.long)
    label.new(bar_index, high, "BUY CE", color=color.green, textcolor=color.white, yloc=yloc.abovebar, size=size.small, tooltip="Buy CE Triggered")

if (longPE)
    strategy.entry("PE Entry", strategy.short)
    label.new(bar_index, low, "BUY PE", color=color.red, textcolor=color.white, yloc=yloc.belowbar, size=size.small, tooltip="Buy PE Triggered")

// ---- Exit Conditions ----
if (strategy.position_size > 0)
    // Exit Long CE on Target Hit
    if (close >= longTarget)
        strategy.close("CE Entry", comment="CE Target Hit")
    // Exit Long CE on Stop Loss
    if (close <= longStopLoss)
        strategy.close("CE Entry", comment="CE Stop Loss Hit")
    // Time-Based Exit after 3 candles
    if (bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1) >= maxHoldingBars)
        strategy.close("CE Entry", comment="CE Timed Exit")

if (strategy.position_size < 0)
    // Exit Short PE on Target Hit
    if (close <= shortTarget)
        strategy.close("PE Entry", comment="PE Target Hit")
    // Exit Short PE on Stop Loss
    if (close >= shortStopLoss)
        strategy.close("PE Entry", comment="PE Stop Loss Hit")
    // Time-Based Exit after 3 candles
    if (bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1) >= maxHoldingBars)
        strategy.close("PE Entry", comment="PE Timed Exit")

// ---- Plotting ----
plot(upperBB, color=color.green, title="Upper BB")
plot(lowerBB, color=color.red, title="Lower BB")
plot(rsiValue, title="RSI", color=color.blue, linewidth=1)
hline(60, "Overbought", color=color.blue)
hline(40, "Oversold", color=color.blue)
plot(vwap, color=color.orange, linewidth=1, title="VWAP")

// ---- Plot Volume Breakout/Spike ----
barcolor(volSpike ? color.yellow : na, title="Volume Spike Indicator")

//plotshape(volSpike, title="Volume Breakout", location=location.bottom, style=shape.triangleup, color=color.purple, size=size.small, text="Spike")

// ---- Alerts ----
alertcondition(longCE, "CE Buy Alert", "Bank Nifty CE Buy Triggered!")
alertcondition(longPE, "PE Buy Alert", "Bank Nifty PE Buy Triggered!")