다중 지표 추세 확인 및 변동성 돌파 거래 전략

/*backtest
start: 2025-01-01 00:00:00
end: 2025-05-14 00:00:00
period: 1h
basePeriod: 1h
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/
// © vivekm8955
//@version=5
strategy("RSI/BB/MACD/VWAP/SMA Strategy [vivekm8955]", overlay=true, margin_long=100, margin_short=100)

// Inputs with improved ranges
rsiLength = input.int(14, "RSI Length", minval=5, maxval=50)
rsiOverbought = input.int(70, "RSI Overbought", minval=60, maxval=90)
rsiOversold = input.int(30, "RSI Oversold", minval=10, maxval=40)

bbLength = input.int(20, "BB Length", minval=10, maxval=50)
bbStdDev = input.float(2.0, "BB Std Dev", minval=1, maxval=3, step=0.1)

vwapLength = input.int(20, "VWAP Length", minval=10, maxval=50)

smaLength = input.int(50, "SMA Length", minval=20, maxval=200)

// Risk Management Inputs
stopLossPerc = input.float(1.0, "Stop Loss %", minval=0.1, maxval=10, step=0.1) / 100
takeProfitPerc = input.float(2.0, "Take Profit %", minval=0.5, maxval=10, step=0.1) / 100
trailingStopPerc = input.float(0.5, "Trailing Stop %", minval=0.1, maxval=5, step=0.1) / 100

// Calculate Indicators
rsi = ta.rsi(close, rsiLength)
[bbUpper, bbMiddle, bbLower] = ta.bb(close, bbLength, bbStdDev)
macdLine = ta.ema(close, 12) - ta.ema(close, 26)
signalLine = ta.ema(macdLine, 9)
macdHist = macdLine - signalLine
vwap = ta.vwap(hlc3, vwapLength)
sma = ta.sma(close, smaLength)

// Trend Determination (modified to exclude VWAP)
isBullish = close > sma and macdLine > signalLine and close > bbMiddle
isBearish = close < sma and macdLine < signalLine and close < bbMiddle

// Buy/Sell Conditions (removed RSI and VWAP conditions)
buyCondition = 
     close < bbLower and 
     macdLine > signalLine and
     isBullish

sellCondition = 
     close > bbUpper and 
     macdLine < signalLine and
     isBearish

// Strategy Execution with stop loss and take profit
if (buyCondition)
    strategy.entry("Long", strategy.long)
    strategy.exit("Exit Long", "Long", stop=close * (1 - stopLossPerc), limit=close * (1 + takeProfitPerc), trail_points=close * trailingStopPerc, trail_offset=close * trailingStopPerc)

if (sellCondition)
    strategy.entry("Short", strategy.short)
    strategy.exit("Exit Short", "Short", stop=close * (1 + stopLossPerc), limit=close * (1 - takeProfitPerc), trail_points=close * trailingStopPerc, trail_offset=close * trailingStopPerc)

// Improved Chart Plots with better visuals
bbUpperPlot = plot(bbUpper, "BB Upper", color=color.new(#2962FF, 50), linewidth=2)
bbMiddlePlot = plot(bbMiddle, "BB Middle", color=color.new(#FF6D00, 50), linewidth=2)
bbLowerPlot = plot(bbLower, "BB Lower", color=color.new(#2962FF, 50), linewidth=2)
fill(bbUpperPlot, bbLowerPlot, color=color.new(#2962FF, 90), title="BB Area")

vwapPlot = plot(vwap, "VWAP", color=color.new(#AA00FF, 0), linewidth=3)
smaPlot = plot(sma, "SMA", color=color.new(#FF0000, 0), linewidth=2)

// Buy/Sell Signals with improved visuals
plotshape(buyCondition, style=shape.triangleup, location=location.belowbar, 
         color=color.new(#00C853, 0), size=size.normal, text="BUY", textcolor=color.rgb(10, 1, 1))
plotshape(sellCondition, style=shape.triangledown, location=location.abovebar, 
         color=color.new(#FF3D00, 0), size=size.normal, text="SELL", textcolor=color.rgb(10, 1, 1))

// Entry price lines and stop/target levels
var float longStopPrice = na
var float longTargetPrice = na
var float shortStopPrice = na
var float shortTargetPrice = na

if buyCondition
    longStopPrice := close * (1 - stopLossPerc)
    longTargetPrice := close * (1 + takeProfitPerc)
if sellCondition
    shortStopPrice := close * (1 + stopLossPerc)
    shortTargetPrice := close * (1 - takeProfitPerc)

plot(strategy.position_size > 0 ? longStopPrice : na, "Long Stop", color=color.new(#FF5252, 0), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size > 0 ? longTargetPrice : na, "Long Target", color=color.new(#64DD17, 0), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 ? shortStopPrice : na, "Short Stop", color=color.new(#FF5252, 0), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 ? shortTargetPrice : na, "Short Target", color=color.new(#64DD17, 0), style=plot.style_linebr, linewidth=2)

// Technical Values Table
var table techTable = table.new(position.top_right, 3, 8, 
     bgcolor=color.new(#263238, 90), 
     border_width=2, 
     border_color=color.new(#FFFFFF, 50))

if barstate.islast
    // Header
    table.cell(techTable, 0, 0, "Indicator", 
              bgcolor=color.new(#263238, 100), 
              text_color=color.rgb(10, 1, 1), 
              text_size=size.small, 
              width=3)
    
    // Column Headers
    table.cell(techTable, 1, 0, "Value", 
              bgcolor=color.new(#263238, 100), 
              text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 2, 0, "Signal", 
              bgcolor=color.new(#263238, 100), 
              text_color=color.rgb(10, 1, 1))
    
    // RSI Row (kept in table but removed from signals)
    table.cell(techTable, 0, 1, "RSI(14)", text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 1, 1, str.format("{0,number,#.##}", rsi), 
              text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 2, 1, rsi < rsiOversold ? "Oversold" : rsi > rsiOverbought ? "Overbought" : "Neutral", bgcolor=rsi < rsiOversold ? color.new(#00C853, 0) : rsi > rsiOverbought ? color.new(#FF3D00, 0) : color.gray)
    
    // MACD Row
    table.cell(techTable, 0, 2, "MACD", text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 1, 2, str.format("{0,number,#.######}", macdHist), 
              text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 2, 2, macdLine > signalLine ? "Bullish" : "Bearish", bgcolor=macdLine > signalLine ? color.new(#00C853, 0) : color.new(#FF3D00, 0))
    
    // BB Row
    bbPosition = (close - bbLower)/(bbUpper - bbLower)
    table.cell(techTable, 0, 3, "BB Position", text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 1, 3, str.format("{0,number,#.##%}", bbPosition), 
              text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 2, 3, close < bbLower ? "Lower Band" : close > bbUpper ? "Upper Band" : "Middle",  bgcolor=close < bbLower ? color.new(#00C853, 0) : close > bbUpper ? color.new(#FF3D00, 0) : color.gray)
    
    // VWAP Row (kept in table but removed from signals)
    vwapDiff = (close - vwap)/vwap
    table.cell(techTable, 0, 4, "VWAP Diff", text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 1, 4, str.format("{0,number,#.##%}", vwapDiff), 
              text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 2, 4, close > vwap ? "Above" : "Below", bgcolor=close > vwap ? color.new(#00C853, 0) : color.new(#FF3D00, 0))
    
    // SMA Row
    smaDiff = (close - sma)/sma
    table.cell(techTable, 0, 5, "SMA(50) Diff", text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 1, 5, str.format("{0,number,#.##%}", smaDiff), 
              text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 2, 5, close > sma ? "Above" : "Below", bgcolor=close > sma ? color.new(#00C853, 0) : color.new(#FF3D00, 0))
    
    // Trend Row
    table.cell(techTable, 0, 6, "Trend", text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 1, 6, isBullish ? "Bullish" : isBearish ? "Bearish" : "Neutral", 
              text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 2, 6, isBullish ? "Strong Up" : isBearish ? "Strong Down" : "Sideways",  bgcolor=isBullish ? color.new(#00C853, 0) : isBearish ? color.new(#FF3D00, 0) : color.gray)
    
    // Signal Status Row
    table.cell(techTable, 0, 7, "Signal", text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 1, 7, buyCondition ? "Buy" : sellCondition ? "Sell" : "None", 
              text_color=color.rgb(10, 1, 1))
    table.cell(techTable, 2, 7, buyCondition ? "Long Entry" : sellCondition ? "Short Entry" : "No Trade",  bgcolor=buyCondition ? color.new(#00C853, 0) : sellCondition ? color.new(#FF3D00, 0) : color.gray)

// Trend Visualization with better colors
bgcolor(isBullish ? color.new(#00C853, 90) : isBearish ? color.new(#FF3D00, 90) : na, title="Trend Background")

// Add alerts for trading signals
alertcondition(buyCondition, title="Buy Signal", message="Buy Signal Triggered")
alertcondition(sellCondition, title="Sell Signal", message="Sell Signal Triggered")