동적 변동성 포착 RSI-볼린저 밴드 전략

/*backtest
start: 2023-11-23 00:00:00
end: 2023-11-30 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PresentTrading

//@version=5
// Define the strategy settings
strategy('Volatility Capture RSI-Bollinger - Strategy [presentTrading]', overlay=true)

// Define the input parameters for the indicator
priceSource  = input.source(title='Source', defval=hlc3, group='presentBollingBand') // The price source to use
lengthParam   = input.int(50, 'lengthParam', minval=1, group='presentBollingBand') // The length of the moving average
multiplier = input.float(2.7183, 'Multiplier', minval=0.1, step=.1, group='presentBollingBand') // The multiplier for the ATR
useRSI = input.bool(true, 'Use RSI for signals', group='presentBollingBand') // Boolean input to decide whether to use RSI for signals
rsiPeriod = input.int(10, 'RSI Period', minval=1, group='presentBollingBand') // The period for the RSI calculation
smaPeriod = input.int(5, 'SMA Period', minval=1, group='presentBollingBand') // The period for the SMA calculation
boughtRange = input.float(55, 'Bought Range Level', minval=1, group='presentBollingBand') // The level for the bought range
soldRange = input.float(50, 'Sold Range Level', minval=1, group='presentBollingBand') // The level for the sold range

// Add a parameter for choosing Long or Short
tradeDirection = input.string("Both", "Trade Direction", options=["Long", "Short", "Both"], group='presentBollingBand') // Dropdown input for trade direction

// Calculate the bollingerBand
barIndex = bar_index // The current bar index
upperBollingerBand = ta.sma(high, lengthParam) + ta.stdev(high, lengthParam) * multiplier // Calculate the upper Bollinger Band
lowerBollingerBand = ta.sma(low, lengthParam) - ta.stdev(low, lengthParam) * multiplier // Calculate the lower Bollinger Band

var float presentBollingBand = na // Initialize the presentBollingBand variable
crossCount = 0 // Initialize the crossCount variable

// Calculate the buy and sell signals
longSignal1 = ta.crossover(priceSource, presentBollingBand) // Calculate the long signal
shortSignal1 = ta.crossunder(priceSource, presentBollingBand) // Calculate the short signal

// Calculate the RSI
rsiValue = ta.rsi(priceSource, rsiPeriod) // Calculate the RSI value
rsiSmaValue = ta.sma(rsiValue, smaPeriod) // Calculate the SMA of the RSI value

// Calculate the buy and sell signals
longSignal2 = rsiSmaValue > boughtRange // Calculate the long signal based on the RSI SMA
shortSignal2 = rsiSmaValue < soldRange // Calculate the short signal based on the RSI SMA

presentBollingBand := na(lowerBollingerBand) or na(upperBollingerBand)?0.0 : close>presentBollingBand?math.max(presentBollingBand,lowerBollingerBand) : close<presentBollingBand?math.min(presentBollingBand,upperBollingerBand) : 0.0


if (tradeDirection == "Long" or tradeDirection == "Both") and longSignal1 and (useRSI ? longSignal2 : true) // Use RSI for signals if useRSI is true
    presentBollingBand := lowerBollingerBand // If the trade direction is "Long" or "Both", and the long signal is true, and either useRSI is false or the long signal based on RSI is true, then assign the lowerBollingerBand to the presentBollingBand.
    strategy.entry("Long", strategy.long) // Enter a long position.

if (tradeDirection == "Short" or tradeDirection == "Both") and shortSignal1 and (useRSI ? shortSignal2 : true) // Use RSI for signals if useRSI is true
    presentBollingBand := upperBollingerBand // If the trade direction is "Short" or "Both", and the short signal is true, and either useRSI is false or the short signal based on RSI is true, then assign the upperBollingerBand to the presentBollingBand.
    strategy.entry("Short", strategy.short) // Enter a short position.

// Exit condition
if (strategy.position_size > 0 and ta.crossunder(close, presentBollingBand)) // If the strategy has a long position and the close price crosses under the presentBollingBand, then close the long position.
    strategy.close("Long")
if (strategy.position_size < 0 and ta.crossover(close, presentBollingBand)) // If the strategy has a short position and the close price crosses over the presentBollingBand, then close the short position.
    strategy.close("Short")

//~~ Plot
plot(presentBollingBand,"presentBollingBand", color=color.blue) // Plot the presentBollingBand on the chart.