다기간 동적 모멘텀 변동성 포착 전략

/*backtest
start: 2025-03-16 00:00:00
end: 2025-04-15 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Enhanced Momentum Wave Catcher", overlay=true,
  default_qty_type=strategy.cash,
  default_qty_value=10000,
  initial_capital=10000,
  currency="USD")

// Inputs
fastEmaLength = input.int(12, "12 EMA Length", minval=1)
slowEmaHighLength = input.int(200, "200 High EMA Length", minval=1)
slowEmaLowLength = input.int(200, "200 Low EMA Length", minval=1)
oversoldLevel = input.int(-50, "Oversold Level")
overboughtLevel = input.int(50, "Overbought Level")
riskAmount = input.float(100.0, "Risk Amount ($)", minval=1.0)
rrRatio = input.float(3.0, "Risk-Reward Ratio", minval=0.1)
confirmationBars = input.int(1, "Confirmation Bars After Extreme", minval=0)

// Calculate EMAs
fastEma = ta.ema(close, fastEmaLength)
slowEmaHigh = ta.ema(high, slowEmaHighLength)
slowEmaLow = ta.ema(low, slowEmaLowLength)

// Hourly close
hourlyClose = request.security(syminfo.tickerid, "60", close)

// Enhanced Momentum Wave Calculation
f_wavetrend(src, chlen, avg, malen) =>
    esa = ta.ema(src, chlen)
    de = ta.ema(math.abs(src - esa), chlen)
    ci = (src - esa) / (0.015 * de)
    wt1 = ta.ema(ci, avg)
    wt2 = ta.sma(wt1, malen)
    wtCrossUp = ta.crossover(wt1, wt2)
    wtCrossDown = ta.crossunder(wt1, wt2)
    [wt1, wt2, wtCrossUp, wtCrossDown]

[wt1, wt2, wtCrossUp, wtCrossDown] = f_wavetrend(hlc3, 9, 12, 3)

// Track extremes with improved detection
var int oversoldBars = 0
var int overboughtBars = 0
var float extremeLow = na
var float extremeHigh = na

// Enhanced extreme detection
if wt2 <= oversoldLevel
    oversoldBars := oversoldBars + 1
    extremeLow := na(extremeLow) ? low : math.min(low, extremeLow)
else
    oversoldBars := 0
    extremeLow := na

if wt2 >= overboughtLevel
    overboughtBars := overboughtBars + 1
    extremeHigh := na(extremeHigh) ? high : math.max(high, extremeHigh)
else
    overboughtBars := 0
    extremeHigh := na

// Hourly Channel Status
var bool hourlyAboveChannel = false
var bool hourlyBelowChannel = false

if barstate.isconfirmed
    if hourlyClose > slowEmaHigh
        hourlyAboveChannel := true
        hourlyBelowChannel := false
    else if hourlyClose < slowEmaLow
        hourlyAboveChannel := false
        hourlyBelowChannel := true

// Entry Conditions with improved wave detection
longCondition = hourlyAboveChannel and (oversoldBars > confirmationBars or wtCrossUp) and close > fastEma
shortCondition = hourlyBelowChannel and (overboughtBars > confirmationBars or wtCrossDown) and close < fastEma

// Dynamic Stops
longStop = math.min(extremeLow, slowEmaLow * 0.998)
shortStop = math.max(extremeHigh, slowEmaHigh * 1.002)

// Position Sizing
calculatePositionSize(entryPrice, stopPrice) =>
    riskPerUnit = math.abs(entryPrice - stopPrice)
    riskPerUnit > 0 ? riskAmount / riskPerUnit : na

// Execute Trades
if longCondition and not na(longStop)
    strategy.entry("Long", strategy.long, qty=calculatePositionSize(close, longStop))
    strategy.exit("Long Exit", "Long", stop=longStop, limit=close + (rrRatio * (close - longStop)))

if shortCondition and not na(shortStop)
    strategy.entry("Short", strategy.short, qty=calculatePositionSize(close, shortStop))
    strategy.exit("Short Exit", "Short", stop=shortStop, limit=close - (rrRatio * (shortStop - close)))

// Enhanced Visuals
plot(fastEma, "12 EMA", color=color.orange, linewidth=2)
plot(slowEmaHigh, "200 High EMA", color=color.red, linewidth=1)
plot(slowEmaLow, "200 Low EMA", color=color.green, linewidth=1)

// Wave visualization
plot(wt2, "Momentum Wave", color=#7E57C2, linewidth=2)
hline(oversoldLevel, "Oversold", color=color.red, linestyle=hline.style_dashed)
hline(overboughtLevel, "Overbought", color=color.green, linestyle=hline.style_dashed)

// Channel status
bgcolor(hourlyAboveChannel ? color.new(color.green, 90) : 
       hourlyBelowChannel ? color.new(color.red, 90) : 
       color.new(color.gray, 90))

// Entry markers
plotshape(longCondition, "Long Entry", style=shape.triangleup, 
         location=location.belowbar, color=color.green, size=size.small)
plotshape(shortCondition, "Short Entry", style=shape.triangledown, 
         location=location.abovebar, color=color.red, size=size.small)