볼린저 밴드와 ATR 동적 추세 추적 전략: 다중 시간 프레임 양적 거래 시스템

/*backtest
start: 2024-07-20 00:00:00
end: 2025-04-07 00:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
//@fenyesk
//Optional Working Hours and ATR based TP/SL removed
// Added Optional Higher Timeframe Confirmation with Auto/Manual Selection
// Revised for improved profitability: Trend-following Entries/Exits
// v2.5: React to HTF trend changes as well

strategy('Follow Line Strategy Version 2.5 (React HTF)', overlay = true, process_orders_on_close = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 1, pyramiding = 0) // Version bump overlay=true, process_orders_on_close=true, default_qty_type=strategy.percent_of_equity, default_qty_value=1, pyramiding=0) // Prevent multiple entries in the same direction )

// --- Settings ---
// Indicator Parameters
atrPeriodInput = input.int(defval = 5, title = 'ATR Period', minval = 1, group = 'Indicator Settings')
bbPeriodInput = input.int(defval = 21, title = 'Bollinger Bands Period', minval = 1, group = 'Indicator Settings')
bbDeviationInput = input.float(defval = 1.00, title = 'Bollinger Bands Deviation', minval = 0.1, step = 0.1, group = 'Indicator Settings')
useAtrFilterInput = input.bool(defval = true, title = 'Use ATR for Follow Line Offset?', group = 'Indicator Settings')
showSignalsInput = input.bool(title = 'Show Trade Signals on Chart?', defval = true, group = 'Indicator Settings')



// --- Higher Timeframe Confirmation ---
htf_group = 'Higher Timeframe Confirmation'
useHTFConfirmationInput = input.bool(false, title = 'Enable HTF Confirmation?', group = htf_group)
htfSelectionMethodInput = input.string('Auto', title = 'HTF Selection Method', options = ['Auto', 'Manual'], group = htf_group)
manualHTFInput = input.timeframe('240', title = 'Manual Higher Timeframe', group = htf_group) // Default to 4h if Manual
showHTFLineInput = input.bool(false, title = 'Show HTF Follow Line?', group = htf_group)

// --- Determine Higher Timeframe ---
// Revised function with explicit return variable
f_getAutoHTF() =>
    string htfResult = 'D' // Initialize with a default value (e.g., Daily)
    if timeframe.isintraday
        if timeframe.multiplier <= 1 and timeframe.isminutes
            htfResult := '15' // 1min -> 15min
            htfResult
        else if timeframe.multiplier <= 5 and timeframe.isminutes
            htfResult := '240' // 5min -> 4h (240min)
            htfResult
        else if timeframe.multiplier <= 30 and timeframe.isminutes
            htfResult := '240' // 15-30min -> 4h (240min)
            htfResult
        else if timeframe.multiplier == 60 and timeframe.isminutes // 1 hour
            htfResult := 'D' // 1h -> 1 Day
            htfResult
        else if timeframe.multiplier <= 240 and timeframe.isminutes // Up to 4 hours
            htfResult := 'W' // 4h -> 1 Week
            htfResult
    // else // The default "D" is already set if none of the above match
    // htfResult := "D" // Default for other intraday -> 1 Day (already default)
    else if timeframe.isdaily // Daily
        htfResult := 'M' // 1 Day -> 1 Month
        htfResult
    else if timeframe.isweekly // Weekly
        htfResult := 'M' // 1 Week -> 1 Month
        htfResult
    else // Monthly or higher (or unknown)
        htfResult := '3M' // Default to 3 Months
        htfResult
    htfResult // Explicitly return the variable value

autoHTF = f_getAutoHTF()
selectedHTF = htfSelectionMethodInput == 'Auto' ? autoHTF : manualHTFInput

// --- Trade Timeframe Calculations ---
// Bollinger Bands calculation
bbMiddle_trade = ta.sma(close, bbPeriodInput)
bbStdDev_trade = ta.stdev(close, bbPeriodInput)
BBUpper_trade = bbMiddle_trade + bbStdDev_trade * bbDeviationInput
BBLower_trade = bbMiddle_trade - bbStdDev_trade * bbDeviationInput

// ATR calculation
atrValue_trade = ta.atr(atrPeriodInput)

// Signal initialization for Trade TF
var float followLine_trade = na
var int bbSignal_trade = 0
var int trend_trade = 0 // Renamed from iTrend

// Determine BB signal based on current close (Trade TF)
if close > BBUpper_trade
    bbSignal_trade := 1
    bbSignal_trade
else if close < BBLower_trade
    bbSignal_trade := -1
    bbSignal_trade
else
    bbSignal_trade := 0 // Reset signal if price is within bands
    bbSignal_trade

// Calculate potential new FollowLine value for the current bar (Trade TF)
float tempFollowLine_trade = na // Explicit type
if bbSignal_trade == 1
    tempFollowLine_trade := useAtrFilterInput ? low - atrValue_trade : low
    tempFollowLine_trade
else if bbSignal_trade == -1
    tempFollowLine_trade := useAtrFilterInput ? high + atrValue_trade : high
    tempFollowLine_trade

// Determine the final FollowLine for the current bar, applying the "ratchet" logic (Trade TF)
if bbSignal_trade == 1 // Price closed above upper BB
    followLine_trade := na(followLine_trade[1]) ? tempFollowLine_trade : math.max(tempFollowLine_trade, nz(followLine_trade[1], tempFollowLine_trade))
    followLine_trade
else if bbSignal_trade == -1 // Price closed below lower BB
    followLine_trade := na(followLine_trade[1]) ? tempFollowLine_trade : math.min(tempFollowLine_trade, nz(followLine_trade[1], tempFollowLine_trade))
    followLine_trade
else // Price closed within bands, FollowLine continues from previous bar
    if not na(followLine_trade[1])
        followLine_trade := followLine_trade[1]
        followLine_trade
        // else followLine_trade remains na if followLine_trade[1] was na

// Trend direction determination (Based on current FollowLine vs previous FollowLine - Trade TF)
if not na(followLine_trade) and not na(followLine_trade[1])
    if followLine_trade > followLine_trade[1]
        trend_trade := 1
        trend_trade
    else if followLine_trade < followLine_trade[1]
        trend_trade := -1
        trend_trade
    else
        trend_trade := nz(trend_trade[1], 0) // Maintain previous trend if line is flat but valid
        trend_trade
else if not na(followLine_trade) and na(followLine_trade[1])
    trend_trade := bbSignal_trade == 1 ? 1 : bbSignal_trade == -1 ? -1 : 0 // Use ternary for initial trend
    trend_trade
else if na(followLine_trade)
    trend_trade := 0 // Reset trend if FollowLine becomes invalid
    trend_trade


// --- Higher Timeframe Calculations ---
// Function revised to return only one value (as float) based on parameter
f_calculateHTFData(htf_close, htf_high, htf_low, return_type) =>
    // Explicitly type potentially 'na' indicator results
    float htf_atrValue = ta.atr(atrPeriodInput)
    float htf_bbMiddle = ta.sma(htf_close, bbPeriodInput)
    float htf_bbStdDev = ta.stdev(htf_close, bbPeriodInput)
    float htf_BBUpper = na
    float htf_BBLower = na

    // Calculate BBands only if middle/stdev are valid
    if not na(htf_bbMiddle) and not na(htf_bbStdDev)
        htf_BBUpper := htf_bbMiddle + htf_bbStdDev * bbDeviationInput
        htf_BBLower := htf_bbMiddle - htf_bbStdDev * bbDeviationInput
        htf_BBLower

    // Determine BB signal (HTF) - Default to 0
    int htf_bbSignal = 0
    // Check if bands are valid before comparing
    if not na(htf_BBUpper) and not na(htf_BBLower)
        if htf_close > htf_BBUpper
            htf_bbSignal := 1
            htf_bbSignal
        else if htf_close < htf_BBLower
            htf_bbSignal := -1
            htf_bbSignal

    // Calculate potential new FollowLine (HTF)
    float htf_tempFollowLine = na // Explicitly typed float
    if htf_bbSignal == 1
        htf_tempFollowLine := useAtrFilterInput and not na(htf_atrValue) ? htf_low - htf_atrValue : htf_low
        htf_tempFollowLine
    else if htf_bbSignal == -1
        htf_tempFollowLine := useAtrFilterInput and not na(htf_atrValue) ? htf_high + htf_atrValue : htf_high
        htf_tempFollowLine

    // Maintain FollowLine state using 'var'
    var float htf_followLine = na
    var int htf_trend = 0

    // Determine the final FollowLine (HTF)
    if htf_bbSignal == 1
        htf_followLine := na(htf_followLine[1]) ? htf_tempFollowLine : math.max(htf_tempFollowLine, nz(htf_followLine[1], htf_tempFollowLine))
        htf_followLine
    else if htf_bbSignal == -1
        htf_followLine := na(htf_followLine[1]) ? htf_tempFollowLine : math.min(htf_tempFollowLine, nz(htf_followLine[1], htf_tempFollowLine))
        htf_followLine
    else
        if not na(htf_followLine[1])
            htf_followLine := htf_followLine[1]
            htf_followLine
            // else htf_followLine remains na if htf_followLine[1] was na (unless reset below)

    // Reset FollowLine if it's based on invalid temp line
    if na(htf_tempFollowLine) and htf_bbSignal != 0 // If the signal existed but calc failed (e.g., na ATR)
        htf_followLine := na // Reset line
        htf_followLine

    // Determine Trend (HTF)
    if not na(htf_followLine) and not na(htf_followLine[1])
        if htf_followLine > htf_followLine[1]
            htf_trend := 1
            htf_trend
        else if htf_followLine < htf_followLine[1]
            htf_trend := -1
            htf_trend
        else
            htf_trend := nz(htf_trend[1], 0)
            htf_trend
    else if not na(htf_followLine) and na(htf_followLine[1])
        htf_trend := htf_bbSignal == 1 ? 1 : htf_bbSignal == -1 ? -1 : 0
        htf_trend
    else if na(htf_followLine) // Trend is 0 if line becomes (or is) na
        htf_trend := 0
        htf_trend

    // Return the requested value as float type (or na)
    float return_value = na
    if return_type == 'line'
        return_value := htf_followLine
        return_value
    else if return_type == 'trend'
        return_value := float(htf_trend) // Convert int trend to float for consistent return type
        return_value

    return_value // Return the single calculated value


// Explicitly declare variables that will receive the security call result
float followLine_htf = na
int trend_htf = 0 // Initialize with a default value (0 for neutral)

// Request HTF data UNCONDITIONALLY
followLine_htf_result = request.security(syminfo.tickerid, selectedHTF, f_calculateHTFData(close, high, low, 'line'), lookahead = barmerge.lookahead_off)
trend_htf_result_float = request.security(syminfo.tickerid, selectedHTF, f_calculateHTFData(close, high, low, 'trend'), lookahead = barmerge.lookahead_off)

// Conditionally assign the results based on whether the HTF feature is enabled
if useHTFConfirmationInput or showHTFLineInput
    // Assign results, handling potential 'na' values safely
    followLine_htf := followLine_htf_result // Assign float/na directly
    trend_htf := na(trend_htf_result_float) ? 0 : int(nz(trend_htf_result_float)) // Convert float result back to int, default to 0 if na
    trend_htf
else // If HTF features are disabled, set variables to 'na'
    followLine_htf := na
    trend_htf := 0 // or na if preferred
    trend_htf




// HTF Filter
// Use the potentially 'na' followLine_htf and the guaranteed non-'na' trend_htf
htfConfirmsLong = not useHTFConfirmationInput or useHTFConfirmationInput and trend_htf == 1
htfConfirmsShort = not useHTFConfirmationInput or useHTFConfirmationInput and trend_htf == -1

// --- Entry/Exit Conditions ---
// Buy & Sell Conditions (Based on Trade TF trend crossover)
longCondition_trade = nz(trend_trade[1]) <= 0 and trend_trade == 1
shortCondition_trade = nz(trend_trade[1]) >= 0 and trend_trade == -1

// Combined Entry Conditions with Filters
goLong = htfConfirmsLong and longCondition_trade  and strategy.position_size <= 0 // Only enter long if flat or short & HTF confirms
goShort = htfConfirmsShort and shortCondition_trade  and strategy.position_size >= 0 // Only enter short if flat or long & HTF confirms

// Exit conditions based on *either* TTF or HTF changing trend against the position
exitLong = trend_trade == -1 or trend_htf == -1 // TTF to short OR HTF to short
exitShort = trend_trade == 1 or trend_htf == 1 // TTF to long OR HTF to long


// --- Strategy Execution ---

if goLong
    strategy.close('Short', comment = 'Close Short for Long')
    strategy.entry('Long', strategy.long, comment = 'Enter Long')

if goShort
    strategy.close('Long', comment = 'Close Long for Short')
    strategy.entry('Short', strategy.short, comment = 'Enter Short')

if exitLong
    strategy.close('Long', comment = 'Exit Long')

if exitShort
    strategy.close('Short', comment = 'Exit Short')

// --- Alerts ---
// Alerts trigger on the same bar as the entry condition, respecting all filters
// NOTE: Removed dynamic HTF from message as alertcondition requires const string
alertcondition(goLong, title = 'FL Buy Signal', message = 'Follow Line Buy Signal - {{ticker}} {{interval}}')
alertcondition(goShort, title = 'FL Sell Signal', message = 'Follow Line Sell Signal - {{ticker}} {{interval}}')
alertcondition(goLong or goShort, title = 'FL Signal', message = 'Follow Line Signal - {{ticker}} {{interval}}')

// --- Plotting ---
// Plot the Trade Timeframe Follow Line
lineColor_trade = trend_trade > 0 ? color.new(color.blue, 0) : trend_trade < 0 ? color.new(color.red, 0) : color.new(color.gray, 0)
plot(followLine_trade, color = lineColor_trade, linewidth = 2, title = 'Follow Line (Trade TF)')

// Plot the Higher Timeframe Follow Line (optional)
// Use the potentially 'na' followLine_htf and the guaranteed non-'na' trend_htf for coloring
lineColor_htf = trend_htf > 0 ? color.new(color.aqua, 0) : trend_htf < 0 ? color.new(color.orange, 0) : color.new(color.gray, 70)
plot(showHTFLineInput and useHTFConfirmationInput ? followLine_htf : na, color = lineColor_htf, linewidth = 2, style = plot.style_circles, title = 'Follow Line (HTF)', offset = 0)

// Plot shapes on the bar the trade signal occurs (based on trade TF condition), placing them AT the calculated Trade TF price level.
// Use the original trade long/short conditions for plotting shapes for clarity, before plots
plotshape(longCondition_trade and showSignalsInput and not na(followLine_trade) and not na(atrValue_trade) ? followLine_trade - atrValue_trade : na, text = 'BUY', style = shape.labelup, location = location.absolute, color = color.new(color.blue, 0), textcolor = color.new(color.white, 0), offset = 0, size = size.auto)
plotshape(shortCondition_trade and showSignalsInput and not na(followLine_trade) and not na(atrValue_trade) ? followLine_trade + atrValue_trade : na, text = 'SELL', style = shape.labeldown, location = location.absolute, color = color.new(color.red, 0), textcolor = color.new(color.white, 0), offset = 0, size = size.auto)

// Plot BBands for reference if desired
// plot(BBUpper_trade, "Upper BB", color=color.gray)
// plot(BBLower_trade, "Lower BB", color=color.gray)