RSI 과매수 및 과매도 범위 모멘텀 돌파 정량적 전략

/*backtest
start: 2025-04-21 00:00:00
end: 2025-04-28 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy('RSI SR OB Breakouts Strategy PRO (coffeshopcrypto)', overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=15, max_bars_back=200, max_boxes_count=200, precision=2)

// === Inputs ===
show_hide_boxes = input.bool(true, 'Show Ranges')
show_hide_orderblocks = input.bool(true, 'Show Orderblocks')
use_breakout_colors = input.bool(true, title="Use Breakout Bar Colors")

rsi_len = input.int(14, title="RSI Length", minval=4, group="Risk Management")

// --- Risk Management ---
takeProfitPoints = input.int(50, title="Take Profit (Ticks)", group="Risk Management")
useStopLossMode = input.bool(false, title="Use Stop Loss Instead of Only TP?", group="Risk Management")
stopLossPoints = input.int(30, title="Stop Loss (Ticks)", group="Risk Management")

// --- Time Preferences ---
startTradeHour = input.int(9, title="Trading Start Hour (EST)", minval=0, maxval=23, group="Time Preferences")
startTradeMinute = input.int(30, title="Trading Start Minute (EST)", minval=0, maxval=59, group="Time Preferences")
endTradeHour = input.int(16, title="Trading End Hour (EST)", minval=0, maxval=23, group="Time Preferences")
endTradeMinute = input.int(0, title="Trading End Minute (EST)", minval=0, maxval=59, group="Time Preferences")

// --- Trade Limit Preferences ---
useTradeLimit = input.bool(true, title="Enable Daily Trade Limit?", group="Trade Limit")
maxTradesPerDay = input.int(5, title="Max Trades Per Day", minval=1, group="Trade Limit")

// --- EMA Adjustable ---
ema_filter_enabled = input.bool(true, "Use EMA Filter?")
ema_length = input.int(50, "EMA Length", minval=2)
ema_dynamic = ta.ema(close, ema_length)

// --- SMA150 Trend Filter ---
sma200 = ta.sma(close, 150)
useBullishSettings = close > sma200

// --- Trading Panel Toggle ---
showPanel = input.bool(true, "Show Session Trading Panel?", group="Display Settings")

// === Trade Time Check (EST Time) ===
tradeAllowed = (hour > startTradeHour or (hour == startTradeHour and minute >= startTradeMinute)) and 
               (hour < endTradeHour or (hour == endTradeHour and minute <= endTradeMinute))

// === Trade Limit Check ===
var int tradeCount = 0
newDay = ta.change(dayofmonth) != 0
if newDay
    tradeCount := 0

canTrade = tradeAllowed and (not useTradeLimit or tradeCount < maxTradesPerDay)

// === Calculate RSI and thresholds ===
rsi_up = ta.rma(math.max(ta.change(close), 0), rsi_len)
rsi_down = ta.rma(-math.min(ta.change(close), 0), rsi_len)
_rsi = rsi_down == 0 ? 100 : rsi_up == 0 ? 0 : 100 - 100 / (1 + rsi_up / rsi_down)
adjustedRSI = _rsi - 50

bullish_center = 5
bearish_center = -5
spread = 2
auto_rsi_center = useBullishSettings ? bullish_center : bearish_center
momentum_upper_threshold = auto_rsi_center + spread
momentum_lower_threshold = auto_rsi_center - spread

pricebarColor = adjustedRSI > momentum_upper_threshold ? color.rgb(37, 155, 41) : adjustedRSI < momentum_lower_threshold ? color.rgb(223, 48, 48) : color.gray

// === Signal Conditions ===
longCondition = adjustedRSI > momentum_upper_threshold and (not ema_filter_enabled or close > ema_dynamic)
shortCondition = adjustedRSI < momentum_lower_threshold and (not ema_filter_enabled or close < ema_dynamic)

// === Fresh Triggers Only ===
var bool longTrigger = false
var bool shortTrigger = false

longTrigger := longCondition and not longCondition[1]
shortTrigger := shortCondition and not shortCondition[1]

// === Trade Management with Reversals ===
var int winsToday = 0
var int lossesToday = 0

if (canTrade)
    if (longTrigger)
        if (strategy.position_size < 0)
            strategy.close("Short", comment="Reverse to Long")
        if (strategy.position_size <= 0)
            strategy.entry("Long", strategy.long)
            tradeCount += 1

    if (shortTrigger)
        if (strategy.position_size > 0)
            strategy.close("Long", comment="Reverse to Short")
        if (strategy.position_size >= 0)
            strategy.entry("Short", strategy.short)
            tradeCount += 1

// === Attach Exits After Entry ===
if (strategy.position_size > 0)
    longTakeProfit = strategy.position_avg_price + (takeProfitPoints * syminfo.mintick)
    longStopLoss = strategy.position_avg_price - (stopLossPoints * syminfo.mintick)
    if useStopLossMode
        strategy.exit("Long Exit", from_entry="Long", limit=longTakeProfit, stop=longStopLoss)
    else
        strategy.exit("Long TP Only", from_entry="Long", limit=longTakeProfit)

if (strategy.position_size < 0)
    shortTakeProfit = strategy.position_avg_price - (takeProfitPoints * syminfo.mintick)
    shortStopLoss = strategy.position_avg_price + (stopLossPoints * syminfo.mintick)
    if useStopLossMode
        strategy.exit("Short Exit", from_entry="Short", limit=shortTakeProfit, stop=shortStopLoss)
    else
        strategy.exit("Short TP Only", from_entry="Short", limit=shortTakeProfit)

// === Track wins/losses ===
if (strategy.closedtrades > 0)
    if (strategy.closedtrades.profit(strategy.closedtrades - 1) > 0)
        winsToday += 1
    else
        lossesToday += 1

// === Auto Close all trades if time window ended ===
if (not tradeAllowed)
    strategy.close_all(comment="Session End Auto Close")

// === Plotting ===
plot(adjustedRSI, title="Adjusted RSI", color=color.rgb(255, 235, 59))
plot(ema_dynamic, title="Dynamic EMA", color=color.blue)
plot(sma200, title="SMA 200", color=color.gray)
hline(0, color=color.white)

barcolor(use_breakout_colors ? pricebarColor : na)

// === Trading Panel ===
if showPanel
    label.new(x=bar_index, y=high, text="Wins: " + str.tostring(winsToday) + " | Losses: " + str.tostring(lossesToday), color=color.black, style=label.style_label_left, size=size.small)