Strategi Perdagangan Kuantitatif Manajemen Risiko Tertimbang Tren Momentum

/*backtest
start: 2024-06-17 00:00:00
end: 2025-06-15 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

//@version=5
strategy("Crypto Swing Trading Strategy (1-5 Day)", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, pyramiding=0, calc_on_every_tick=false, calc_on_order_fills=false)

// ============================================================================
// STRATEGY INPUTS
// ============================================================================

// Trend Filter Settings
ema_fast_length = input.int(50, title="Fast EMA Length", minval=1, group="Trend Filter")
ema_slow_length = input.int(200, title="Slow EMA Length", minval=1, group="Trend Filter")

// RSI Settings
rsi_length = input.int(14, title="RSI Length", minval=1, group="Momentum")
rsi_oversold = input.int(45, title="RSI Oversold Level", minval=1, maxval=50, group="Momentum")
rsi_overbought = input.int(70, title="RSI Overbought Level", minval=50, maxval=99, group="Momentum")

// ATR Settings
atr_length = input.int(14, title="ATR Length", minval=1, group="Risk Management")
atr_stop_mult = input.float(1.5, title="ATR Stop Loss Multiplier", minval=0.1, step=0.1, group="Risk Management")
atr_trail_mult = input.float(1.0, title="ATR Trailing Stop Multiplier", minval=0.1, step=0.1, group="Risk Management")

// Risk Management
risk_per_trade = input.float(1.0, title="Risk Per Trade (%)", minval=0.1, maxval=5.0, step=0.1, group="Risk Management")
reward_ratio = input.float(2.1, title="Initial Take Profit Ratio (R:R)", minval=1.0, step=0.1, group="Risk Management")

// Strategy Settings
pullback_distance = input.float(1.0, title="Max Distance from 50 EMA for Pullback (ATR)", minval=0.1, step=0.1, group="Entry Conditions")
enable_shorts = input.bool(true, title="Enable Short Trades", group="Strategy Settings")
enable_longs = input.bool(true, title="Enable Long Trades", group="Strategy Settings")

// ============================================================================
// INDICATOR CALCULATIONS
// ============================================================================

// Moving Averages
ema_fast = ta.ema(close, ema_fast_length)
ema_slow = ta.ema(close, ema_slow_length)

// RSI
rsi = ta.rsi(close, rsi_length)

// ATR
atr = ta.atr(atr_length)

// ============================================================================
// TREND IDENTIFICATION
// ============================================================================

// Primary trend based on EMA relationship
uptrend = ema_fast > ema_slow
downtrend = ema_fast < ema_slow

// ============================================================================
// ENTRY CONDITIONS
// ============================================================================

// Long Entry Conditions
long_trend_ok = uptrend and enable_longs
long_pullback = math.abs(close - ema_fast) <= (pullback_distance * atr) and close < ema_fast[1]
long_rsi_oversold = rsi[1] < rsi_oversold
long_rsi_recovery = rsi > rsi_oversold and rsi[1] <= rsi_oversold
long_entry_condition = long_trend_ok and long_pullback and long_rsi_oversold and long_rsi_recovery

// Short Entry Conditions  
short_trend_ok = downtrend and enable_shorts
short_pullback = math.abs(close - ema_fast) <= (pullback_distance * atr) and close > ema_fast[1]
short_rsi_overbought = rsi[1] > rsi_overbought
short_rsi_decline = rsi < rsi_overbought and rsi[1] >= rsi_overbought
short_entry_condition = short_trend_ok and short_pullback and short_rsi_overbought and short_rsi_decline

// ============================================================================
// POSITION SIZING
// ============================================================================

// Calculate position size based on risk per trade and ATR stop distance
calculate_position_size(entry_price, stop_price, risk_percent) =>
    risk_amount = strategy.equity * (risk_percent / 100)
    stop_distance = math.abs(entry_price - stop_price)
    position_size = stop_distance > 0 ? risk_amount / stop_distance : 0
    position_size

// ============================================================================
// STRATEGY VARIABLES
// ============================================================================

var float long_entry_price = na
var float long_stop_price = na
var float long_tp1_price = na
var float long_trail_stop = na
var bool long_tp1_hit = false

var float short_entry_price = na
var float short_stop_price = na
var float short_tp1_price = na
var float short_trail_stop = na
var bool short_tp1_hit = false

// ============================================================================
// LONG TRADE MANAGEMENT
// ============================================================================

// Long Entry
if long_entry_condition and strategy.position_size == 0
    long_entry_price := close
    long_stop_price := close - (atr_stop_mult * atr)
    long_tp1_price := close + (reward_ratio * (close - long_stop_price))
    long_trail_stop := long_stop_price
    long_tp1_hit := false
    
    // Calculate position size
    pos_size = calculate_position_size(long_entry_price, long_stop_price, risk_per_trade)
    strategy.entry("Long", strategy.long, qty=pos_size)
    strategy.exit("Long Stop", "Long", stop=long_stop_price)

// Long TP1 Management (Take 50% profit at 2:1 R:R)
if strategy.position_size > 0 and not long_tp1_hit and high >= long_tp1_price
    long_tp1_hit := true
    strategy.close("Long", qty_percent=50, comment="TP1 - 50%")
    // Move stop to breakeven
    long_trail_stop := long_entry_price
    strategy.cancel("Long Stop")

// Long Trailing Stop (for remaining 50% position)
if strategy.position_size > 0 and long_tp1_hit
    // Calculate new trailing stop
    highest_since_tp1 = ta.highest(high, 1)
    new_trail_stop = highest_since_tp1 - (atr_trail_mult * atr)
    
    // Only move stop up, never down
    if new_trail_stop > long_trail_stop
        long_trail_stop := new_trail_stop
    
    // Exit on trailing stop or trend reversal
    if close <= long_trail_stop or not uptrend
        strategy.close("Long", comment=not uptrend ? "Trend Reversal" : "Trailing Stop")

// ============================================================================
// SHORT TRADE MANAGEMENT
// ============================================================================

// Short Entry
if short_entry_condition and strategy.position_size == 0
    short_entry_price := close
    short_stop_price := close + (atr_stop_mult * atr)
    short_tp1_price := close - (reward_ratio * (short_stop_price - close))
    short_trail_stop := short_stop_price
    short_tp1_hit := false
    
    // Calculate position size
    pos_size = calculate_position_size(short_entry_price, short_stop_price, risk_per_trade)
    strategy.entry("Short", strategy.short, qty=pos_size)
    strategy.exit("Short Stop", "Short", stop=short_stop_price)

// Short TP1 Management (Take 50% profit at 2:1 R:R)
if strategy.position_size < 0 and not short_tp1_hit and low <= short_tp1_price
    short_tp1_hit := true
    strategy.close("Short", qty_percent=50, comment="TP1 - 50%")
    // Move stop to breakeven
    short_trail_stop := short_entry_price
    strategy.cancel("Short Stop")

// Short Trailing Stop (for remaining 50% position)
if strategy.position_size < 0 and short_tp1_hit
    // Calculate new trailing stop
    lowest_since_tp1 = ta.lowest(low, 1)
    new_trail_stop = lowest_since_tp1 + (atr_trail_mult * atr)
    
    // Only move stop down, never up
    if new_trail_stop < short_trail_stop
        short_trail_stop := new_trail_stop
    
    // Exit on trailing stop or trend reversal
    if close >= short_trail_stop or not downtrend
        strategy.close("Short", comment=not downtrend ? "Trend Reversal" : "Trailing Stop")

// ============================================================================
// PLOTTING
// ============================================================================

// Plot EMAs
plot(ema_fast, title="EMA 50", color=color.blue, linewidth=2)
plot(ema_slow, title="EMA 200", color=color.red, linewidth=2)

// Color background based on trend
bgcolor(uptrend ? color.new(color.green, 95) : downtrend ? color.new(color.red, 95) : na, title="Trend Background")

// Plot RSI levels (scaled to price for visualization)
hline(rsi_overbought, title="RSI Overbought", color=color.red, linestyle=hline.style_dashed)
hline(rsi_oversold, title="RSI Oversold", color=color.green, linestyle=hline.style_dashed)

// Plot entry signals
plotshape(long_entry_condition, title="Long Entry", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.normal)
plotshape(short_entry_condition, title="Short Entry", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.normal)

// Plot stop losses and targets for current position
plot(strategy.position_size > 0 ? long_trail_stop : na, title="Long Trailing Stop", color=color.red, style=plot.style_stepline, linewidth=2)
plot(strategy.position_size < 0 ? short_trail_stop : na, title="Short Trailing Stop", color=color.red, style=plot.style_stepline, linewidth=2)

plot(strategy.position_size > 0 and not long_tp1_hit ? long_tp1_price : na, title="Long TP1", color=color.green, style=plot.style_cross, linewidth=2)
plot(strategy.position_size < 0 and not short_tp1_hit ? short_tp1_price : na, title="Short TP1", color=color.green, style=plot.style_cross, linewidth=2)

// ============================================================================
// INFORMATION DISPLAY (Using Labels instead of Table)
// ============================================================================

// Display key information using labels on the last bar
if barstate.islast
    // Create info label with key metrics
    trend_text = uptrend ? "UP" : downtrend ? "DOWN" : "SIDE"
    position_text = strategy.position_size > 0 ? "LONG" : strategy.position_size < 0 ? "SHORT" : "NONE"
    
    info_text = "Trend: " + trend_text + "\nRSI: " + str.tostring(math.round(rsi, 1)) + "\nATR: " + str.tostring(math.round(atr, 2)) + "\nPosition: " + position_text
    
    label.new(bar_index, high + atr, info_text, 
              color=uptrend ? color.new(color.green, 80) : downtrend ? color.new(color.red, 80) : color.new(color.gray, 80),
              textcolor=color.white, style=label.style_label_down, size=size.normal)

// ============================================================================
// ALERTS
// ============================================================================

// Alert conditions
alertcondition(long_entry_condition, title="Long Entry Signal", message="LONG: Swing trading signal for {{ticker}} at {{close}}")
alertcondition(short_entry_condition, title="Short Entry Signal", message="SHORT: Swing trading signal for {{ticker}} at {{close}}")
alertcondition(strategy.position_size > 0 and long_tp1_hit, title="Long TP1 Hit", message="LONG TP1: First target hit for {{ticker}} at {{close}}")
alertcondition(strategy.position_size < 0 and short_tp1_hit, title="Short TP1 Hit", message="SHORT TP1: First target hit for {{ticker}} at {{close}}")

// ============================================================================
// STRATEGY SUMMARY
// ============================================================================

// This strategy implements the full swing trading approach described in the document:
// 1. Trend filtering using 50/200 EMA (only trade with the trend)
// 2. RSI momentum for entry timing (buy oversold in uptrend, sell overbought in downtrend)
// 3. ATR-based position sizing and stop losses (volatility-adjusted risk management)
// 4. Partial profit taking at 2:1 R:R (50% of position)
// 5. Trailing stops for remaining position using ATR
// 6. Trend reversal exits (close all when trend changes)
//
// Key Features:
// - Configurable parameters for different market conditions
// - Risk management with consistent 1% risk per trade
// - Visual indicators for trend, signals, and trade management
// - Information table showing key metrics
// - Alert system for automated notifications
//
// Recommended for: BTC, ETH, XRP on daily timeframes
// Holding period: 1-5 days typical