マルチタイムフレームSMA-EMAクロスオーバー定量戦略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-06-15 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy(title="PhaiSinh_SMA & EMA [VNFlow]", overlay=true, slippage=1, backtest_fill_limits_assumption=1, initial_capital=100.000, default_qty_type=strategy.fixed, default_qty_value=4, commission_type=strategy.commission.cash_per_order, commission_value=2700,fill_orders_on_standard_ohlc=true, calc_on_order_fills=true, process_orders_on_close=true)

// === Chỉ báo chính ===
sma60 = ta.sma(close, 60)
ema15 = ta.ema(close, 15)
ema200 = ta.ema(close, 200)
plot(sma60, title="SMA 60", color=color.rgb(227, 10, 251), linewidth=1)
plot(ema15, title="EMA 15", color=color.rgb(246, 222, 11), linewidth=1)
plot(ema200, title="EMA 200", color=color.rgb(13, 141, 245), linewidth=1)

// === Cấu hình thời gian thoát trước khi hết phiên ===
session_close_hour = input.int(14, title="Giờ đóng phiên (24h)")
session_close_minute = input.int(30, title="Phút đóng phiên")
minutes_before_close = input.int(5, title="Số phút thoát lệnh trước đóng phiên")
exit_hour = session_close_hour
exit_minute = session_close_minute - minutes_before_close
exit_hour := exit_minute < 0 ? exit_hour - 1 : exit_hour
exit_minute := exit_minute < 0 ? exit_minute + 60 : exit_minute
cutoff_time = (hour > exit_hour) or (hour == exit_hour and minute >= exit_minute)

// === Bộ lọc RSI ===
use_rsi_filter = input.bool(true, title="Bộ lọc RSI?")
rsi_period = input.int(14, title="Chu kỳ RSI")
rsi_overbought = input.int(70)
rsi_oversold = input.int(30)
rsi_val = ta.rsi(close, rsi_period)

// === Bộ lọc EMA từ HTF ===
use_htf_filter = input.bool(true, title="Bộ lọc EMA HTF?")
htf_tf = input.timeframe("60", title="Khung thời gian EMA cao hơn")
htf_ema = request.security(syminfo.tickerid, htf_tf, ta.ema(close, 200))
ema_trend_up = close > htf_ema
ema_trend_down = close < htf_ema

// === Cài đặt TP/SL/Trailing ===
use_percent_tp = input.bool(false, title="TP theo % (nếu không: tính theo tick)")
tp_value = input.float(1.0, title="Take Profit (tick hoặc %)")
sl_value = input.float(20.0, title="Stop Loss (tick)")
trail_offset = input.int(10, title="Trailing Stop (tick)")

// === Logic tín hiệu vào/ra ===
long_entry = ta.crossover(ema15, sma60) and close >= ema15 and not cutoff_time
short_entry = ta.crossunder(ema15, sma60) and close <= ema15 and not cutoff_time
long_ok = long_entry and (not use_htf_filter or ema_trend_up) and (not use_rsi_filter or rsi_val > rsi_oversold)
short_ok = short_entry and (not use_htf_filter or ema_trend_down) and (not use_rsi_filter or rsi_val < rsi_overbought)

// === Vào lệnh ===
if long_ok
    strategy.entry("Long", strategy.long)
if short_ok
    strategy.entry("Short", strategy.short)

// === Tính TP theo giá nếu chọn % ===
long_tp_price = close * (1 + tp_value / 100)
short_tp_price = close * (1 - tp_value / 100)

// === Thoát lệnh với TP/SL/Trailing ===
if strategy.position_size > 0
    if use_percent_tp
        strategy.exit("Dừng Long %", from_entry="Long", loss=sl_value, limit=long_tp_price, trail_points=trail_offset, trail_offset=trail_offset)
    else
        strategy.exit("Dừng Long Tick", from_entry="Long", loss=sl_value, profit=tp_value, trail_points=trail_offset, trail_offset=trail_offset)

if strategy.position_size < 0
    if use_percent_tp
        strategy.exit("Dừng Short %", from_entry="Short", loss=sl_value, limit=short_tp_price, trail_points=trail_offset, trail_offset=trail_offset)
    else
        strategy.exit("Dừng short Tick", from_entry="Short", loss=sl_value, profit=tp_value, trail_points=trail_offset, trail_offset=trail_offset)

// === Đóng toàn bộ trước phiên ===
if cutoff_time
    strategy.close_all()