동적 변동성 거래 방식: 다양한 시간 차원과 기술 지표, 극단적 시장 모니터링을 결합한 선물 양적 전략

/*backtest
start: 2024-03-05 00:00:00
end: 2024-09-16 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Futures Trading Expert Strategy with Extreme Move Check (Fixed TF)", 
     overlay=true, 
     initial_capital=10000, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=10, 
     calc_on_every_tick=true)

// ========== INPUTS ==========
fixedTF = input.timeframe("15", title="Fixed Timeframe for Signals")

emaLength         = input.int(50, title="EMA Length", minval=1)
atrLength         = input.int(14, title="ATR Length", minval=1)
atrMultiplier     = input.float(3.0, title="ATR Multiplier for TP", step=0.1)
macdFast          = input.int(12, title="MACD Fast Length")
macdSlow          = input.int(26, title="MACD Slow Length")
macdSignal        = input.int(9, title="MACD Signal Smoothing")
stATRPeriod       = input.int(10, title="Supertrend ATR Period", minval=1)
stFactor          = input.float(3.0, title="Supertrend Factor", step=0.1)
rsiLength         = input.int(14, title="RSI Length")
rsiOverbought     = input.int(70, title="RSI Overbought Level")
rsiOversold       = input.int(30, title="RSI Oversold Level")
trailStopMultiplier = input.float(2.0, title="Trailing Stop ATR Multiplier", step=0.1)
extremePct        = input.float(2.0, title="Extreme % Threshold", step=0.1)  // e.g., 2%

// ========== FIXED TIMEFRAME INDICATOR VALUES ==========
// Fetch fixed timeframe OHLC values
ft_close = request.security(syminfo.tickerid, fixedTF, close)
ft_high  = request.security(syminfo.tickerid, fixedTF, high)
ft_low   = request.security(syminfo.tickerid, fixedTF, low)

// EMA calculated on fixed timeframe
emaValue = request.security(syminfo.tickerid, fixedTF, ta.ema(close, emaLength))

// MACD calculated on fixed timeframe
[macdLine, signalLine, _] = request.security(syminfo.tickerid, fixedTF, ta.macd(close, macdFast, macdSlow, macdSignal))

// RSI calculated on fixed timeframe
rsiValue = request.security(syminfo.tickerid, fixedTF, ta.rsi(close, rsiLength))

// ATR calculated on fixed timeframe
atrValue = request.security(syminfo.tickerid, fixedTF, ta.atr(atrLength))

// Supertrend Calculation Function
f_supertrend(_atrPeriod, _factor) =>
    _atr = ta.atr(_atrPeriod)
    _up = (high + low) / 2 - _factor * _atr
    _down = (high + low) / 2 + _factor * _atr
    var float _st = na
    _st := na(_st) ? ((high + low) / 2) : (close[1] > _st ? math.max(_up, _st) : math.min(_down, _st))
    _st

// Compute supertrend on fixed timeframe
supertrend = request.security(syminfo.tickerid, fixedTF, f_supertrend(stATRPeriod, stFactor))
trend = ft_close > supertrend ? 1 : -1

// ========== EXTREME MOVE CHECK (using fixed timeframe values) ==========
prev_ft_close = request.security(syminfo.tickerid, fixedTF, close[1])
btcMovePct = (ft_close - prev_ft_close) / prev_ft_close * 100
pump = btcMovePct > extremePct    // Pump: price increased more than extremePct%
dump = btcMovePct < -extremePct   // Dump: price dropped more than extremePct%

// ========== ENTRY CONDITIONS ==========
// Pre-calculate MACD crossovers on fixed timeframe values
macdLongCrossover    = ta.crossover(macdLine, signalLine)
macdShortCrossunder  = ta.crossunder(macdLine, signalLine)

// Long entry: fixed close > EMA, MACD cross upward, supertrend is up, RSI is not overbought
longCondition  = (ft_close > emaValue) and macdLongCrossover and (trend == 1) and (rsiValue < rsiOverbought)

// Short entry: fixed close < EMA, MACD cross downward, supertrend is down, RSI is not oversold
shortCondition = (ft_close < emaValue) and macdShortCrossunder and (trend == -1) and (rsiValue > rsiOversold)

// ========== TRADE EXECUTION ==========
// Long Trades
if (longCondition and strategy.position_size <= 0)
    if strategy.position_size < 0
        strategy.close("Short", comment="Close Short for Long")
    longTP = ft_close + atrMultiplier * atrValue
    strategy.entry("Long", strategy.long, comment="Long Entry")
    strategy.exit("Long Exit", from_entry="Long", limit=longTP, 
                  trail_price=na, trail_offset=atrValue * trailStopMultiplier, 
                  comment="Long TP & Trailing Stop")

// Short Trades
if (shortCondition and strategy.position_size >= 0)
    if strategy.position_size > 0
        strategy.close("Long", comment="Close Long for Short")
    shortTP = ft_close - atrMultiplier * atrValue
    strategy.entry("Short", strategy.short, comment="Short Entry")
    strategy.exit("Short Exit", from_entry="Short", limit=shortTP, 
                  trail_price=na, trail_offset=atrValue * trailStopMultiplier, 
                  comment="Short TP & Trailing Stop")

// ========== EXTRA EXIT CONDITIONS BASED ON EXTREME MOVES ==========
// If BTC is pumping really hard and you're short, exit the short.
// If BTC is dumping really hard and you're long, exit the long.
if pump and strategy.position_size < 0
    strategy.close("Short", comment="Close Short on BTC Pump")
if dump and strategy.position_size > 0
    strategy.close("Long", comment="Close Long on BTC Dump")

// ========== PLOTTING ==========
// Plot fixed timeframe values for visual reference
plot(emaValue, color=color.blue, title="50 EMA (Fixed TF)")
plot(supertrend, color=(trend == 1 ? color.green : color.red), title="Supertrend (Fixed TF)")
plot(macdLine, title="MACD (Fixed TF)", color=color.aqua)
plot(signalLine, title="Signal (Fixed TF)", color=color.orange)
hline(0, color=color.gray, linestyle=hline.style_dotted)

// Plot entry signals
plotshape(longCondition,  title="Long Signal",  location=location.belowbar, color=color.green, style=shape.labelup,   text="LONG")
plotshape(shortCondition, title="Short Signal", location=location.abovebar, color=color.red,   style=shape.labeldown, text="SHORT")