다중 기간 평균 회귀 추세 돌파 거래 시스템

/*backtest
start: 2024-04-28 00:00:00
end: 2025-04-26 08:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Wyckoff Advanced Swing Strategy by TIAMATCRYPTO", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// Main strategy settings
enableWyckoff = input.bool(true, "Enable Wyckoff")
enablePriceMap = input.bool(true, "Enable Price Map Profile")
enableMeanReversion = input.bool(true, "Enable Mean Reversion")
enableTrendFollowing = input.bool(true, "Enable Trend Following")

// TP/SL settings
useAutoTPSL = input.bool(true, "Use Auto TP/SL")
profitFactor = input.float(2.5, "Profit Factor (ATR multiple)")
stopLossFactor = input.float(1.5, "Stop Loss Factor (ATR multiple)")

// Swing Trading Parameters
minHoldingDays = input.int(3, "Minimum Holding Period (days)")
maxHoldingDays = input.int(20, "Maximum Holding Period (days)")
useWeekdayFilter = input.bool(true, "Filter Trading Days")
useTrailingStop = input.bool(true, "Use Trailing Stop")
trailingStopAtrMult = input.float(2.0, "Trailing Stop (ATR multiple)")

// Alternative Exit Rules
useExitByRSI = input.bool(true, "Exit by RSI")
exitLongRSI = input.int(70, "Exit Long when RSI")
exitShortRSI = input.int(30, "Exit Short when RSI")

// General Parameters
atrPeriod = input.int(14, "ATR Period")
rsiPeriod = input.int(14, "RSI Period")
volPeriod = input.int(20, "Volume MA Period")
emaFastPeriod = input.int(9, "EMA Fast Period")
emaSlowPeriod = input.int(21, "EMA Slow Period")
emaMediumPeriod = input.int(50, "EMA Medium Period")
emaLongPeriod = input.int(200, "EMA Long Period")

// Indicators
atr = ta.atr(atrPeriod)
rsi = ta.rsi(close, rsiPeriod)
volMA = ta.sma(volume, volPeriod)
emaFast = ta.ema(close, emaFastPeriod)
emaSlow = ta.ema(close, emaSlowPeriod)
emaMedium = ta.ema(close, emaMediumPeriod)
emaLong = ta.ema(close, emaLongPeriod)
macd = ta.ema(close, 12) - ta.ema(close, 26)
macdSignal = ta.ema(macd, 9)

// Weekday Filters (1 = Monday, 5 = Friday)
isGoodEntryDay = useWeekdayFilter ? (dayofweek != 5 and dayofweek != 1) : true  // Not on Monday and Friday
isGoodExitDay = useWeekdayFilter ? (dayofweek != 1 and dayofweek != 5) : true   // Not on Monday and Friday

// ===================== Wyckoff Method =====================
accumulationPhase = false
markupPhase = false
distributionPhase = false
markdownPhase = false
spring = false

if enableWyckoff
    // Define support and resistance
    support = ta.lowest(low, 10)
    resistance = ta.highest(high, 10)

    // Detect Spring (fake downward breakout)
    spring := low[1] < support[2] and close > support[1]

    // Detect Upthrust (fake upward breakout)
    upthrust = high[1] > resistance[2] and close < resistance[1]

    // Wyckoff Market Phases
    accumulationPhase := volume > volMA and rsi < 40 and ta.falling(high, 5) and close > open
    markupPhase := emaFast > emaSlow and emaSlow > emaMedium and volume > volMA and rsi > 50
    distributionPhase := volume > volMA and rsi > 60 and ta.rising(low, 5) and close < open
    markdownPhase := emaFast < emaSlow and emaSlow < emaMedium and volume > volMA and rsi < 50

// ===================== Price Map Profile =====================
lookbackPeriod = 30
highestPrice = ta.highest(high, lookbackPeriod)
lowestPrice = ta.lowest(low, lookbackPeriod)

valueAreaHigh = highestPrice - (highestPrice - lowestPrice) * 0.15
valueAreaLow = lowestPrice + (highestPrice - lowestPrice) * 0.15
pointOfControl = (valueAreaHigh + valueAreaLow) / 2

// Plot Price Map Profile
plot(enablePriceMap ? pointOfControl : na, "POC", color.purple, 1)
plot(enablePriceMap ? valueAreaHigh : na, "VAH", color.blue, 1)
plot(enablePriceMap ? valueAreaLow : na, "VAL", color.blue, 1)

// ===================== Mean Reversion =====================
meanReversionBuy = false
meanReversionSell = false

if enableMeanReversion
    // Optimized Bollinger Bands for swing trading
    basisBB = ta.sma(close, 20)
    devBB = ta.stdev(close, 20) * 2
    upperBB = basisBB + devBB
    lowerBB = basisBB - devBB

    // Enhanced Mean Reversion Conditions
    lowerBBHit = ta.crossunder(close, lowerBB) or (close < lowerBB and close[1] < lowerBB)
    upperBBHit = ta.crossover(close, upperBB) or (close > upperBB and close[1] > upperBB)

    // RSI divergence for better timing
    rsiLow = ta.lowest(rsi, 5)
    priceLow = ta.lowest(low, 5)
    rsiHigh = ta.highest(rsi, 5)
    priceHigh = ta.highest(high, 5)

    bullishDivergence = low < priceLow and rsi > rsiLow
    bearishDivergence = high > priceHigh and rsi < rsiHigh

    // Mean Reversion Swing Trading Signals
    meanReversionBuy := lowerBBHit and rsi < 30 and bullishDivergence
    meanReversionSell := upperBBHit and rsi > 70 and bearishDivergence

// ===================== Trend Following =====================
trendFollowingBuy = false
trendFollowingSell = false

if enableTrendFollowing
    // Strong Trend Conditions
    strongUptrend = emaFast > emaSlow and emaSlow > emaMedium and emaMedium > emaLong
    strongDowntrend = emaFast < emaSlow and emaSlow < emaMedium and emaMedium < emaLong

    // Simulated multi-day trend confirmation
    recentHigherHigh = high > ta.highest(high[1], 5)
    recentLowerLow = low < ta.lowest(low[1], 5)

    // MACD Filters
    macdRising = macd > macd[1] and macd[1] > macd[2]
    macdFalling = macd < macd[1] and macd[1] < macd[2]

    // Stronger Filters for Swing Trading
    trendFollowingBuy := strongUptrend and macd > macdSignal and macdRising and recentHigherHigh
    trendFollowingSell := strongDowntrend and macd < macdSignal and macdFalling and recentLowerLow

// ===================== Combine Signals =====================
wyckoffBuy = enableWyckoff and spring and accumulationPhase
wyckoffSell = enableWyckoff and distributionPhase
mrBuy = enableMeanReversion and meanReversionBuy
mrSell = enableMeanReversion and meanReversionSell
tfBuy = enableTrendFollowing and trendFollowingBuy
tfSell = enableTrendFollowing and trendFollowingSell

// Combine all strategies
buySignal = (wyckoffBuy or mrBuy or tfBuy) and isGoodEntryDay
sellSignal = (wyckoffSell or mrSell or tfSell) and isGoodEntryDay

// Add Candle Confirmation for better entries - full candle above/below EMA
buyConfirmation = close > open and close > emaMedium
sellConfirmation = close < open and close < emaMedium

// Track holding days
var int daysInTrade = 0
daysInTrade := strategy.position_size != 0 ? daysInTrade + 1 : 0

// Time-Based Exit
exitLongByTime = strategy.position_size > 0 and (daysInTrade >= maxHoldingDays or (daysInTrade >= minHoldingDays and isGoodExitDay))
exitShortByTime = strategy.position_size < 0 and (daysInTrade >= maxHoldingDays or (daysInTrade >= minHoldingDays and isGoodExitDay))

// Exit by RSI
exitLongByRSI = useExitByRSI and strategy.position_size > 0 and rsi >= exitLongRSI and daysInTrade >= minHoldingDays
exitShortByRSI = useExitByRSI and strategy.position_size < 0 and rsi <= exitShortRSI and daysInTrade >= minHoldingDays

// Trading logic - Swing Trading adjusted with TP/SL optional
if buySignal and buyConfirmation and strategy.position_size <= 0
    strategy.cancel_all()
    strategy.entry("Long", strategy.long)

    if useAutoTPSL
        strategy.exit("TP/SL Long", "Long", profit = atr * profitFactor, loss = atr * stopLossFactor)

if sellSignal and sellConfirmation and strategy.position_size >= 0
    strategy.cancel_all()
    strategy.entry("Short", strategy.short)

    if useAutoTPSL
        strategy.exit("TP/SL Short", "Short", profit = atr * profitFactor, loss = atr * stopLossFactor)

// Trailing Stop if enabled and no fixed TP/SL
if useTrailingStop and not useAutoTPSL and strategy.position_size != 0
    longTrailPrice = high - atr * trailingStopAtrMult
    shortTrailPrice = low + atr * trailingStopAtrMult
    if strategy.position_size > 0
        strategy.exit("Trailing Stop Long", "Long", trail_price=longTrailPrice)
    else if strategy.position_size < 0
        strategy.exit("Trailing Stop Short", "Short", trail_price=shortTrailPrice)