하이켄 애쉬(Heiken Asch) 추세 추종 전략: 다중 레벨 손절매 메커니즘을 갖춘 다중 기간 추세 식별 시스템

/*backtest
start: 2025-01-01 00:00:00
end: 2025-04-12 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Heiken Ashi Supertrend ADX - Strategy", overlay=true, initial_capital=1000, commission_type=strategy.commission.percent, commission_value=0, calc_on_every_tick=true, process_orders_on_close=false, default_qty_type=strategy.percent_of_equity, default_qty_value=3)


// Supertrend Settings
useSupertrend = input.bool(true, "Use Supertrend for Entries", group="Supertrend Settings")
atrPeriod = input.int(10, "ATR Period", minval=1, group="Supertrend Settings")
factor = input.float(3.0, "Supertrend Factor", minval=0.5, step=0.1, group="Supertrend Settings")

// ADX Filter Settings
useAdxFilter = input.bool(false, "Use ADX Filter", group="ADX Filter")
adxPeriod = input.int(14, "ADX Period", minval=1, group="ADX Filter")
adxThreshold = input.float(25, "ADX Threshold", minval=0, group="ADX Filter")

// Stop Loss Options
useSwingStop = input.bool(false, "Use Swing Point Stop", group="Stop Loss Options")
swingLookback = input.int(3, "Swing Lookback Periods", minval=1, maxval=20, group="Stop Loss Options")

useSafetyNetStop = input.bool(true, "Use Insurance Stop", group="Stop Loss Options")
safetyNetPercent = input.float(5.0, "Insurance Stop Loss Percent", minval=0.1, step=0.1, group="Stop Loss Options")

// Trailing Stop Loss Settings
useTrailingStop = input.bool(true, "Use ATR Trailing Stop", group="Stop Loss Options")
trailAtrMultiplier = input.float(2.0, "Trailing Stop ATR Multiplier", minval=0.1, step=0.1, group="Stop Loss Options")

// Get HA data for signals
ha_security = ticker.heikinashi(syminfo.tickerid)
[o, h, l, c] = request.security(ha_security, timeframe.period, [open, high, low, close])

// Get real price data
real_open = open
real_high = high
real_low = low
real_close = close

// Calculate Supertrend using built-in function with real price data
[supertrend, direction] = ta.supertrend(factor, atrPeriod)
supertrend := barstate.isfirst ? na : supertrend

// Determine if we're in an uptrend or downtrend based on Supertrend
isUptrend = direction < 0   // In TradingView, negative direction means uptrend
isDowntrend = direction > 0 // In TradingView, positive direction means downtrend

// Calculate ATR for visualization
atrValue = ta.atr(atrPeriod)

// Calculate ADX and Trade Logic
[diplus, diminus, adx] = ta.dmi(adxPeriod, adxPeriod)
int trade = 0
if trade == 0 and diplus > diminus
    trade := 1
else if trade == 0 and diminus > diplus
    trade := -1
else if trade == 1 and diminus > diplus
    trade := -1
else if trade == -1 and diplus > diminus
    trade := 1
else
    trade := trade[1]

// Combine with ADX Threshold
isAdxBullish = diplus > diminus and adx > adxThreshold
isAdxBearish = diminus > diplus and adx > adxThreshold

// Debug ADX Values (only if needed for development)
// plot(adx, "ADX", color=color.orange, linewidth=1)
// plot(diplus, "DI+", color=color.green, linewidth=1)
// plot(diminus, "DI-", color=color.red, linewidth=1)
// hline(adxThreshold, "ADX Threshold", color=color.gray, linestyle=hline.style_dashed)

// Check for wicks on the current candle
threshold = syminfo.mintick * 0.1
noBottomWick = math.abs(math.min(o, c) - l) <= threshold
noTopWick = math.abs(h - math.max(o, c)) <= threshold

// Identify candle color and signal conditions
isGreenCandle = c > o
isRedCandle = c < o

// KEY INTEGRATION: Color the real bars based on HA trend
bullishColor = color.green   // Green for long/bullish
bearishColor = color.purple  // Purple for short/bearish
barcolor(isGreenCandle ? bullishColor : bearishColor)

// Signal conditions for both entry and exit
longCondition = (isGreenCandle and noBottomWick and barstate.isconfirmed) and (not useSupertrend or isUptrend) and (not useAdxFilter or isAdxBullish)

shortCondition = (isRedCandle and noTopWick and barstate.isconfirmed) and (not useSupertrend or isDowntrend) and (not useAdxFilter or isAdxBearish)

exitLongCondition = isRedCandle and noTopWick and barstate.isconfirmed
exitShortCondition = isGreenCandle and noBottomWick and barstate.isconfirmed

// Calculate swing points based on real candles (not HA)
swingLow = ta.lowest(real_low, swingLookback)
swingHigh = ta.highest(real_high, swingLookback)

// Position tracking
var int position = 0  // 0 = no position, 1 = long, -1 = short
var float entryPrice = na
var float trailStopLevel = na  // For ATR trailing stop
var float swingStopLevel = na  // For swing point stop
var float safetyNetStopLevel = na  // For safety net stop
var float highestSinceEntry = na  // For tracking highest price since entry (for long positions)
var float lowestSinceEntry = na   // For tracking lowest price since entry (for short positions)

// Alert variables
var bool longAlert = false
var bool shortAlert = false
var bool exitLongAlert = false
var bool exitShortAlert = false

// Reset alerts each bar
longAlert := false
shortAlert := false
exitLongAlert := false
exitShortAlert := false

// Handle entries and exits
if longCondition and (position <= 0)
    if position < 0
        exitShortAlert := true
        strategy.close("Short", comment="Exit Short")
        position := 0
    longAlert := true
    strategy.entry("Long", strategy.long, comment="Enter Long")
    position := 1
    entryPrice := real_close
    highestSinceEntry := real_close
    lowestSinceEntry := na
    // Initialize trailing stops
    if useTrailingStop
        trailStopLevel := real_close - (atrValue * trailAtrMultiplier)
    // Initialize swing point stop
    if useSwingStop
        swingStopLevel := swingLow
    // Initialize safety net stop
    if useSafetyNetStop
        safetyNetStopLevel := real_close * (1 - safetyNetPercent / 100)
        
if shortCondition and (position >= 0)
    if position > 0
        exitLongAlert := true
        strategy.close("Long", comment="Exit Long")
        position := 0
    shortAlert := true
    strategy.entry("Short", strategy.short, comment="Enter Short")
    position := -1
    entryPrice := real_close
    highestSinceEntry := na
    lowestSinceEntry := real_close
    // Initialize trailing stops
    if useTrailingStop
        trailStopLevel := real_close + (atrValue * trailAtrMultiplier)
    // Initialize swing point stop
    if useSwingStop
        swingStopLevel := swingHigh
    // Initialize safety net stop
    if useSafetyNetStop
        safetyNetStopLevel := real_close * (1 + safetyNetPercent / 100)

if position > 0 and exitLongCondition
    exitLongAlert := true
    strategy.close("Long", comment="Exit Long Signal")
    position := 0
    trailStopLevel := na
    swingStopLevel := na
    safetyNetStopLevel := na
    highestSinceEntry := na

if position < 0 and exitShortCondition
    exitShortAlert := true
    strategy.close("Short", comment="Exit Short Signal")
    position := 0
    trailStopLevel := na
    swingStopLevel := na
    safetyNetStopLevel := na
    lowestSinceEntry := na

// Check for swing point stop hit
if useSwingStop and position != 0 and not na(swingStopLevel)
    // For long positions, check if price drops below the swing low
    if position > 0 and real_low <= swingStopLevel
        strategy.close("Long", comment="Swing Point Stop Hit")
        position := 0
        trailStopLevel := na
        swingStopLevel := na
        safetyNetStopLevel := na
        highestSinceEntry := na
        
    // For short positions, check if price rises above the swing high
    else if position < 0 and real_high >= swingStopLevel
        strategy.close("Short", comment="Swing Point Stop Hit")
        position := 0
        trailStopLevel := na
        swingStopLevel := na
        safetyNetStopLevel := na
        lowestSinceEntry := na

// Check for safety net stop loss hit
if useSafetyNetStop and position != 0 and not na(safetyNetStopLevel)
    // For long positions, check if price drops below the safety net level
    if position > 0 and real_low <= safetyNetStopLevel
        strategy.close("Long", comment="Safety Net Stop Hit")
        position := 0
        trailStopLevel := na
        swingStopLevel := na
        safetyNetStopLevel := na
        highestSinceEntry := na
        
    // For short positions, check if price rises above the safety net level
    else if position < 0 and real_high >= safetyNetStopLevel
        strategy.close("Short", comment="Safety Net Stop Hit")
        position := 0
        trailStopLevel := na
        swingStopLevel := na
        safetyNetStopLevel := na
        lowestSinceEntry := na

// Track highest/lowest prices for trailing stop calculation
if position > 0 and not na(highestSinceEntry)
    highestSinceEntry := math.max(highestSinceEntry, real_high)
    
if position < 0 and not na(lowestSinceEntry)
    lowestSinceEntry := math.min(lowestSinceEntry, real_low)

// Update and check trailing stop (ATR-based)
if useTrailingStop and position != 0 and not na(trailStopLevel)
    // Update trailing stop level for long positions
    if position > 0
        // Calculate new potential trailing stop level
        trailStopNew = real_close - (atrValue * trailAtrMultiplier)
        // Only move the stop up, never down
        if trailStopNew > trailStopLevel
            trailStopLevel := trailStopNew
        // Check if price hit stop
        if real_low <= trailStopLevel
            strategy.close("Long", comment="ATR Trailing Stop Hit")
            position := 0
            trailStopLevel := na
            swingStopLevel := na
            safetyNetStopLevel := na
            highestSinceEntry := na
            
    // Update trailing stop level for short positions
    else if position < 0
        // Calculate new potential trailing stop level
        trailStopNew = real_close + (atrValue * trailAtrMultiplier)
        // Only move the stop down, never up
        if trailStopNew < trailStopLevel
            trailStopLevel := trailStopNew
        // Check if price hit stop
        if real_high >= trailStopLevel
            strategy.close("Short", comment="ATR Trailing Stop Hit")
            position := 0
            trailStopLevel := na
            swingStopLevel := na
            safetyNetStopLevel := na
            lowestSinceEntry := na

// Plot stop loss levels
plot(useTrailingStop and position != 0 ? trailStopLevel : na, "ATR Trailing Stop", color=color.yellow, style=plot.style_linebr, linewidth=1)
plot(useSwingStop and position != 0 ? swingStopLevel : na, "Swing Point Stop", color=color.red, style=plot.style_circles, linewidth=2)
plot(useSafetyNetStop and position != 0 ? safetyNetStopLevel : na, "Insurance Stop", color=color.yellow, style=plot.style_circles, linewidth=1)

// Visual signals for chart (just entry/exit markers, no ADX labels)
plotshape(longAlert, title="Long Entry", location=location.abovebar, color=bullishColor, style=shape.triangleup, size=size.small)
plotshape(shortAlert, title="Short Entry", location=location.belowbar, color=bearishColor, style=shape.triangledown, size=size.small)
plotshape(exitLongAlert, title="Long Exit Signal", location=location.abovebar, color=bullishColor, style=shape.xcross, size=size.small)
plotshape(exitShortAlert, title="Short Exit Signal", location=location.belowbar, color=bearishColor, style=shape.xcross, size=size.small)

// Supertrend visualization
bodyMiddlePlot = plot((real_open + real_close) / 2, "Body Middle", display=display.none)
upTrend = plot(useSupertrend and isUptrend ? supertrend : na, "Up Trend", color=bullishColor, style=plot.style_linebr, linewidth=1)
downTrend = plot(useSupertrend and isDowntrend ? supertrend : na, "Down Trend", color=bearishColor, style=plot.style_linebr, linewidth=1)
fill(upTrend, bodyMiddlePlot, color=useSupertrend ? color.new(bullishColor, 85) : na, title="Uptrend Background")
fill(downTrend, bodyMiddlePlot, color=useSupertrend ? color.new(bearishColor, 85) : na, title="Downtrend Background")

// Position background
bgcolor(position == 1 ? color.new(bullishColor, 85) : position == -1 ? color.new(bearishColor, 85) : na, title="Position Background")

// Position label
var label positionLabel = na
label.delete(positionLabel)
if barstate.islast
    positionText = position == 1 ? "LONG" : position == -1 ? "SHORT" : "FLAT"
    entryInfo = not na(entryPrice) ? "\nEntry: " + str.tostring(entryPrice, "#.00000") : ""
    atrStopInfo = useTrailingStop and not na(trailStopLevel) ? "\nATR Stop: " + str.tostring(trailStopLevel, "#.00000") + " (" + str.tostring(trailAtrMultiplier, "#.0") + "x ATR)" : ""
    swingStopInfo = useSwingStop and not na(swingStopLevel) ? "\nSwing Stop: " + str.tostring(swingStopLevel, "#.00000") + " (" + str.tostring(swingLookback) + " bars)" : ""
    safetyNetInfo = useSafetyNetStop and not na(safetyNetStopLevel) ? "\nInsurance Stop: " + str.tostring(safetyNetStopLevel, "#.00000") + " (" + str.tostring(safetyNetPercent, "#.0") + "%)" : ""
    supertrendInfo = useSupertrend ? "\nSupertrend: " + (isUptrend ? "UPTREND" : "DOWNTREND") : ""
    positionColor = position == 1 ? bullishColor : position == -1 ? bearishColor : color.gray
    positionLabel := label.new(bar_index, high, positionText + entryInfo + atrStopInfo + swingStopInfo + safetyNetInfo + supertrendInfo, color=positionColor, style=label.style_label_down, textcolor=color.white)