동적 피보나치 추세 확인 교차 엔진 정량적 전략

/*backtest
start: 2024-05-14 00:00:00
end: 2024-12-02 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © beausti

//@version=6
strategy("7th Gate Open --- Complete", overlay=true)



// --- Parameters ---
TREND_CANDLES = 160  // Fixed: Trend detection based on timeframe
TIMEFRAME = input.timeframe("1440", title="Secondary Analysis Timeframe")  // Adjustable timeframe for analysis
alpha = input.float(0.7, title="Alpha", minval=0.1, maxval=5.0)  // McGinley Dynamic sensitivity
take_profit_pct = input.float(10.0, title="Take Profit (%)", minval=0.1)  // Take profit percentage
stop_loss_pct = input.float(10.0, title="Stop Loss (%)", minval=0.1)  // Stop loss percentage



// --- 16-Minute Trend Data (Baseline) ---
open_240 = request.security(syminfo.tickerid, "1440", open)
close_240 = request.security(syminfo.tickerid, "1440", close)



// Trend Detection Logic (Fixed on 16-Minute)
var int uptrend_count = 0
var int downtrend_count = 0



for i = 1 to TREND_CANDLES
    uptrend_count := (close_240[i] > open_240[i]) ? uptrend_count + 1 : 0
    downtrend_count := (close_240[i] < open_240[i]) ? downtrend_count + 1 : 0

trend_type = "Trending"
if (uptrend_count >= TREND_CANDLES)
    trend_type := "Uptrend"
    label.new(bar_index, close_240, "Uptrend", color=color.green, textcolor=color.black, size=size.small)
if (downtrend_count >= TREND_CANDLES)
    trend_type := "Downtrend"
    label.new(bar_index, close_240, "Downtrend", color=color.red, textcolor=color.black, size=size.small)

// --- Secondary Analysis Timeframe Data (User-Defined) ---
open_TF = request.security(syminfo.tickerid, TIMEFRAME, open)
close_TF = request.security(syminfo.tickerid, TIMEFRAME, close)
high_TF = request.security(syminfo.tickerid, TIMEFRAME, high)
low_TF = request.security(syminfo.tickerid, TIMEFRAME, low)



// --- Engulfing Candle Detection (Using User-Selected Timeframe) ---
engulfing_bullish = close_TF > open_TF[1] and open_TF < close_TF[1] and high_TF > high_TF[1] and low_TF > low_TF[1]
engulfing_bearish = close_TF < open_TF[1] and open_TF > close_TF[1] and high_TF < high_TF[1] and low_TF < low_TF[1]



// --- Plot Engulfing Candles ---
if engulfing_bullish
    label.new(bar_index, close_TF, "Bullish", color=color.green, textcolor=color.black, size=size.small)
if engulfing_bearish
    label.new(bar_index, close_TF, "Bearish", color=color.red, textcolor=color.black, size=size.small)

// --- Fibonacci Levels (Using User-Selected Timeframe) ---
var float fib_high = ta.highest(high_TF, TREND_CANDLES)
var float fib_low = ta.lowest(low_TF, TREND_CANDLES)



fib_0 = fib_high
fib_382 = fib_low + (fib_high - fib_low) * 0.382
fib_5 = fib_low + (fib_high - fib_low) * 0.5
fib_618 = fib_low + (fib_high - fib_low) * 0.618
fib_786 = fib_low + (fib_high - fib_low) * 0.786
fib_1 = fib_low
fib_n0618_up = fib_high + (fib_high - fib_low) * 0.618
fib_n0618_down = fib_low - (fib_high - fib_low) * 0.618






// --- McGinley Dynamic Calculation ---
var float md = na
if na(md[1])
    md := close
md := md[1] + (close - md[1]) / (alpha * close)
plot(md, color=color.blue, linewidth=2, title="McGinley Dynamic")



// --- Moving Averages (Using User-Selected Timeframe) ---
ema = ta.ema(close_TF,32)
ma = ta.sma(close_TF, 64)
plot(ema, color=color.orange, linewidth=2, title="EMA")
plot(ma, color=color.purple, linewidth=2, title="MA")



// --- EMA/MA Crossover for Take Profit (Using User-Selected Timeframe) ---
ema_cross_ma_up = ta.crossover(ma, ema)  // Bullish EMA cross
ema_cross_ma_down = ta.crossunder(ema, ma)  // Bearish EMA cross



//---Take Profit Logic---
take_profit_buy_level = strategy.position_avg_price * (1 - take_profit_pct / 100)
take_profit_sell_level = strategy.position_avg_price * (1 - take_profit_pct / 100)

stop_loss_buy_level = strategy.position_avg_price * (1 - stop_loss_pct / 100)
stop_loss_sell_level = strategy.position_avg_price * (1 - stop_loss_pct / 100)



// --- Trade Signals ---
if (engulfing_bullish and uptrend_count <= 16 and strategy.position_size <= 0)
    strategy.entry("Buy", strategy.long, qty=1)
    if ta.crossover(high, ta.highest(high, 1)[1])
        strategy.entry("Buy", strategy.long, qty = 1)
        if (downtrend_count <= 32 and engulfing_bearish)
            strategy.exit("Buy", from_entry="Sell", limit=take_profit_buy_level, stop = stop_loss_buy_level)
            if (strategy.position_size <= 0)
                strategy.exit("Trend is Sell", from_entry="Buy", limit=take_profit_buy_level)
                
           

if (engulfing_bearish and downtrend_count <= 16 and strategy.position_size > 0)
    strategy.entry("Sell", strategy.short, qty=1)
    if ta.crossover(low, ta.highest(low, 1)[1])   
        strategy.entry("Sell", strategy.short, qty = 1)
        if (uptrend_count <= 32 and engulfing_bullish)
            strategy.exit("Sell", from_entry="Buy", limit=take_profit_sell_level, stop = stop_loss_sell_level)
            if (strategy.position_size > 0)
                strategy.exit("Trend is Buy", from_entry="Sell", limit=take_profit_sell_level)