マルチタイムフレームMACDインパルスボラティリティフィルター取引戦略

/*backtest
start: 2024-08-03 00:00:00
end: 2025-08-02 08:00:00
period: 4d
basePeriod: 4d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("Invencible MACD Strategy Scalping 5M", overlay=true, default_qty_type=strategy.fixed, default_qty_value=1)

// === Configuración General ===
source = close
useCurrentRes = input(true, title="¿Usar resolución actual del gráfico?")
resCustom = input.timeframe("60", title="Otra resolución")
res = useCurrentRes ? timeframe.period : resCustom

// === Parámetros MACD ===
fastLength = input.int(12, minval=1, title="MACD Fast EMA")
slowLength = input.int(26, minval=1, title="MACD Slow EMA")
signalLength = input.int(9, minval=1, title="MACD Signal")

// === Filtros ===
histThreshold = input.float(0.015, title="Histograma mínimo impulso")
minATR = input.float(0.10, title="ATR mínimo para operar")
useTrendFilter = input.bool(true, title="¿Usar filtro de tendencia con EMA 200?")

// === Gestión de riesgo (sin trailing) ===
takeProfitPerc = input.float(1.0, title="Take Profit (%)") / 100
stopLossPerc = input.float(0.4, title="Stop Loss (%)") / 100

// === Función MACD ===
macdFunc(_src, _fast, _slow, _signal) =>
    fastMA = ta.ema(_src, _fast)
    slowMA = ta.ema(_src, _slow)
    _macd = fastMA - slowMA
    _signalLine = ta.sma(_macd, _signal)
    _hist = _macd - _signalLine
    [_macd, _signalLine, _hist]

// === MACD MTF ===
[macd, signal, hist] = request.security(syminfo.tickerid, res, macdFunc(source, fastLength, slowLength, signalLength))

// === Condiciones de entrada ===
macdCrossUp = ta.crossover(macd, signal)
macdCrossDown = ta.crossunder(macd, signal)
histUp = hist > hist[1]
histDown = hist < hist[1]
histImpulseUp = (hist - hist[1]) > histThreshold
histImpulseDown = (hist[1] - hist) > histThreshold

// === Filtro de tendencia y volatilidad ===
ema200 = ta.ema(close, 200)
trendUp = useTrendFilter ? close > ema200 : true
trendDown = useTrendFilter ? close < ema200 : true
atr = ta.atr(14)
volatilityOK = atr > minATR

// === Condiciones finales ===
longCondition = macdCrossUp and histUp and histImpulseUp and trendUp and volatilityOK
shortCondition = macdCrossDown and histDown and histImpulseDown and trendDown and volatilityOK

// === Salidas por reversión MACD ===
exitLongNow = ta.crossunder(macd, signal)
exitShortNow = ta.crossover(macd, signal)

if strategy.position_size > 0 and exitLongNow
    strategy.close("Long", comment="MACD Reverse Exit Long")
    alert("MACD Reverse Exit Long", alert.freq_once_per_bar_close)

if strategy.position_size < 0 and exitShortNow
    strategy.close("Short", comment="MACD Reverse Exit Short")
    alert("MACD Reverse Exit Short", alert.freq_once_per_bar_close)

// === Entradas y salidas principales ===
if (longCondition)
    strategy.entry("Long", strategy.long)
    strategy.exit("TP/SL Long", from_entry="Long",
     limit=close * (1 + takeProfitPerc),
     stop=close * (1 - stopLossPerc))
    alert("MACD Long Entry", alert.freq_once_per_bar_close)

if (shortCondition)
    strategy.entry("Short", strategy.short)
    strategy.exit("TP/SL Short", from_entry="Short",
     limit=close * (1 - takeProfitPerc),
     stop=close * (1 + stopLossPerc))
    alert("MACD Short Entry", alert.freq_once_per_bar_close)

// === Visuales ===
plot(macd, title="MACD", color=color.lime)
plot(signal, title="Signal", color=color.orange)
plot(hist, title="Histograma", color=hist >= 0 ? color.teal : color.red, style=plot.style_histogram)
plot(ema200, title="EMA 200", color=color.gray)
plot(atr, title="ATR", color=color.fuchsia, display=display.none)