로렌츠 분류에 기반한 다중 시간 프레임 거래 전략

/*backtest
start: 2023-07-31 00:00:00
end: 2024-07-30 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Lorenzian Classification Strategy with Target and Multi-Timeframe", overlay=true)

// Input parameters
length = input.int(5, "Lorenzian Length", minval=1)
threshold = input.float(1.0, "Threshold", step=0.1)
lookback = input.int(3, "Lookback Candles", minval=1, maxval=20)
targetPercentage = input.float(1.5, "Target Percentage (%)", step=0.1) // Target percentage for exit
higherTimeframe = input.timeframe("D", "Higher Timeframe") // Higher timeframe for multi-timeframe analysis

// Lorenzian Classification calculation for current timeframe
ema1 = ta.ema(hlc3, length)
ema2 = ta.ema(ema1, length)
ema3 = ta.ema(ema2, length)

d = ema1 - ema2
ci = d / (0.015 * ta.ema(math.abs(d), length)) * 100

lorenzian = ema3 + ci

// Lorenzian Classification calculation for higher timeframe
hlc3_htf = request.security(syminfo.tickerid, higherTimeframe, (high + low + close)/3 )
ema1_htf = ta.ema(hlc3_htf, length)
ema2_htf = ta.ema(ema1_htf, length)
ema3_htf = ta.ema(ema2_htf, length)

d_htf = ema1_htf - ema2_htf
ci_htf = d_htf / (0.015 * ta.ema(math.abs(d_htf), length)) * 100

lorenzian_htf = ema3_htf + ci_htf

// Signal generation
crossUp = ta.crossover(close, lorenzian)
crossDown = ta.crossunder(close, lorenzian)

// Determine color based on price position relative to the line
lineColor = close > ema3 ? color.green : color.red
lineColorH = close > ema3_htf ? color.blue : color.red

// Plot the line with dynamic color
plot(ema3, color=lineColor, title="EMA3", linewidth=2)
plot(ema3_htf, color=lineColorH, title="EMA3 HTF", linewidth=2)

// Function to check for opposite movement
oppositeMove(isLong) =>
    if isLong
        lowest = ta.lowest(low, lookback)
        lowest < lorenzian[lookback]
    else
        highest = ta.highest(high, lookback)
        highest > lorenzian[lookback]

// Generate buy and sell signals
buySignal = crossUp and oppositeMove(true)
sellSignal = crossDown and oppositeMove(false)

// Calculate and manage target price
var float targetPrice = na
var float plotTargetPrice = na
var float entryPrice = na

// Variables to track trade outcomes
var int targetMet = 0
var int targetNotMet = 0
var int totalTrades = 0

if (buySignal)
    strategy.entry("Buy", strategy.long)
    entryPrice := close
    targetPrice := entryPrice * (1 + targetPercentage/100)
    plotTargetPrice := targetPrice
    totalTrades := totalTrades + 1

if (sellSignal)
    strategy.entry("Sell", strategy.short)
    entryPrice := close
    targetPrice := entryPrice * (1 - targetPercentage/100)
    plotTargetPrice := targetPrice
    totalTrades := totalTrades + 1

// Check if target price is met to exit
if (not na(targetPrice))
    if (strategy.position_size > 0 and high >= targetPrice) // Long position exit condition
        strategy.close("Buy")
        targetPrice := na
        entryPrice := na
        targetMet := targetMet + 1
    else if (strategy.position_size > 0 and low < entryPrice * (1 - targetPercentage/100)) // Stop loss for long
        strategy.close("Buy")
        targetPrice := na
        entryPrice := na
        targetNotMet := targetNotMet + 1
    
    if (strategy.position_size < 0 and low <= targetPrice) // Short position exit condition
        strategy.close("Sell")
        targetPrice := na
        entryPrice := na
        targetMet := targetMet + 1
    else if (strategy.position_size < 0 and high > entryPrice * (1 + targetPercentage/100)) // Stop loss for short
        strategy.close("Sell")
        targetPrice := na
        entryPrice := na
        targetNotMet := targetNotMet + 1

// Reset plotTargetPrice when position is closed
if (strategy.position_size == 0)
    plotTargetPrice := na

// Plot signals and target price
plotshape(buySignal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(sellSignal, title="Sell Signal", location=location.abovebar, color=color.purple, style=shape.triangledown, size=size.small)
plot(plotTargetPrice, color=color.yellow, title="Target Price", style=plot.style_circles, linewidth=2)

// Add alerts
alertcondition(buySignal, title="Buy Signal", message="Lorenzian Buy Signal")
alertcondition(sellSignal, title="Sell Signal", message="Lorenzian Sell Signal")

// Calculate success percentage
successPercentage = totalTrades > 0 ? (targetMet / totalTrades) * 100 : 0

// Create a table to display trade outcomes
var table tradeStats = table.new(position.top_right, 2, 3, border_width=1)
table.cell(tradeStats, 0, 0, "Targets Met", bgcolor=color.new(color.green, 30))
table.cell(tradeStats, 1, 0, "Targets Missed", bgcolor=color.new(color.red, 30))
table.cell(tradeStats, 0, 1, str.tostring(targetMet), bgcolor=color.new(color.green, 30))
table.cell(tradeStats, 1, 1, str.tostring(targetNotMet), bgcolor=color.new(color.red, 30))
table.cell(tradeStats, 0, 2, "Success Rate", bgcolor=color.new(color.blue, 30))
table.cell(tradeStats, 1, 2, str.tostring(successPercentage, "#.##") + "%", bgcolor=color.new(color.blue, 30))