マルチタイムフレーム波動トレンドフォロワー戦略

/*backtest
start: 2024-07-07 00:00:00
end: 2024-11-28 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("WT-FLOW: MTF WaveTrend Trend-Follower", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// === WaveTrend Fonksiyonu ===
waveTrend(_src, _n1, _n2) =>
    esa = ta.ema(_src, _n1)
    d = ta.ema(math.abs(_src - esa), _n1)
    ci = (_src - esa) / (0.015 * d)
    wt1 = ta.ema(ci, _n2)
    wt2 = ta.sma(wt1, 4)
    [wt1, wt2]

// === Giriş Fiyatı ve Maksimum Kazanç Değişkenleri ===
var float longEntryPrice = na
var float shortEntryPrice = na
var float maxGainLong = 0.0
var float maxGainShort = 0.0
var int longEntryBar = na
var int shortEntryBar = na
var string currentPosition = ""

// === WT Değerlerini Al (Farklı Zaman Dilimleri) ===
var int n1 = 10
var int n2 = 21
ap = hlc3
[wt1_15, wt2_15] = waveTrend(ap, n1, n2)
[wt1_30, wt2_30] = request.security(syminfo.tickerid, "30", waveTrend(ap, n1, n2))
[wt1_60, wt2_60] = request.security(syminfo.tickerid, "60", waveTrend(ap, n1, n2))

// === Kullanıcı Girdileri: Trailing Stop Parametreleri ===
marginStopPerc = input.float(2.0, "Marjinal Stop (%)")
trailTriggerPerc = input.float(1.5, "Trailing Tetikleyici (%)")
trailFollowPerc = input.float(0.8, "Trailing Takip (%)")
trailMaxDropPerc = input.float(3.0, "Maksimum Düşüş (%)")

// === ATR için tr hesaplaması ===
tr = ta.tr(true)

// === Sinyal Koşulları ===
trendUp = wt1_30 > wt2_30
trendDown = wt1_30 < wt2_30
entryLong = ta.crossover(wt1_15, wt2_15) and wt1_15 > -60 and trendUp
entryShort = ta.crossunder(wt1_15, wt2_15) and wt1_15 < 20 and trendDown

// === Pozisyon Girişleri ===
if entryLong and currentPosition != "Long"
    strategy.entry("Long", strategy.long)
    longEntryPrice := close
    maxGainLong := 0.0
    longEntryBar := bar_index
    currentPosition := "Long"
    label.new(bar_index, high + 2 * tr, "🟢 Giriş Long #" + str.tostring(bar_index), style=label.style_label_up, color=color.green, textcolor=color.white)

if entryShort and currentPosition != "Short"
    strategy.entry("Short", strategy.short)
    shortEntryPrice := close
    maxGainShort := 0.0
    shortEntryBar := bar_index
    currentPosition := "Short"
    label.new(bar_index, low - 2 * tr, "🔴 Giriş Short #" + str.tostring(bar_index), style=label.style_label_down, color=color.red, textcolor=color.white)

// === Trailing Stop ve Marjinal Stop Seviyeleri ===
if currentPosition == "Long" and not na(longEntryPrice)
    gainFromEntry = (close - longEntryPrice) / longEntryPrice * 100
    maxGainLong := math.max(maxGainLong, gainFromEntry)
    trailTriggerReached = gainFromEntry >= trailTriggerPerc
    trailStop = close * (1 - trailFollowPerc / 100)
    dropStop = longEntryPrice * (1 + (maxGainLong - trailMaxDropPerc) / 100)
    finalStop = trailTriggerReached ? math.max(trailStop, dropStop) : longEntryPrice * (1 - marginStopPerc / 100)
    if close <= finalStop
        strategy.close("Long")
        label.new(bar_index, low - 2 * tr, "❅ Çıkış Long #" + str.tostring(longEntryBar), style=label.style_label_down, color=color.red, textcolor=color.white)
        longEntryPrice := na
        longEntryBar := na
        currentPosition := ""

if currentPosition == "Short" and not na(shortEntryPrice)
    gainFromEntryShort = (shortEntryPrice - close) / shortEntryPrice * 100
    maxGainShort := math.max(maxGainShort, gainFromEntryShort)
    trailTriggerReachedShort = gainFromEntryShort >= trailTriggerPerc
    trailStopShort = close * (1 + trailFollowPerc / 100)
    dropStopShort = shortEntryPrice * (1 - (maxGainShort - trailMaxDropPerc) / 100)
    finalStopShort = trailTriggerReachedShort ? math.min(trailStopShort, dropStopShort) : shortEntryPrice * (1 + marginStopPerc / 100)
    if close >= finalStopShort
        strategy.close("Short")
        label.new(bar_index, high + 2 * tr, "❄ Çıkış Short #" + str.tostring(shortEntryBar), style=label.style_label_up, color=color.green, textcolor=color.white)
        shortEntryPrice := na
        shortEntryBar := na
        currentPosition := ""