동적 가격 범위 및 RSI 발산 거래 전략: 다중 기간 이동 평균 추세 필터링 및 동적 포지션 관리 최적화

/*backtest
start: 2025-05-07 00:00:00
end: 2025-05-14 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
// Strategy: Box Range with RSI Divergence (Dynamic Adjustment - OKX Signal Format)
// © aws2333
//I'm chinese 
strategy("Kaito  Box with RSI Div(Dynamic Adjustment + MA + Long)", overlay=true,default_qty_type=strategy.percent_of_equity, default_qty_value=10)


rsiOverbought = 80 
rsiOversold = 13   
boxLength = input.int(3, title="Box Length", minval=1) 
rsiLength = input.int(2, title="RSI Length", minval=1) 
divergenceLookback = input.int(2, title="Divergence Lookback Period", minval=1) 
leftLookback = input.int(2, title="Left Lookback", minval=1)  
rightLookback = input.int(2, title="Right Lookback", minval=1) 
var float avgPrice = na       
//var float position_size = 0     

signalToken = input.string("**********", "Signal Token")
enterOrderType = input.string("limit", "Order Type", options=["market", "limit"])
enterOrderPriceOffset = input.float(0.05, "Order Price Offset", minval=0, maxval=100, step=0.01)
enterInvestmentType = input.string("percentage_investment", "Investment Type", options=["margin", "contract", "percentage_balance", "percentage_investment"])
exitOrderType = input.string("limit", "Order Type", options=["market", "limit"])
exitOrderPriceOffset = input.float(0.05, "Order Price Offset", minval=0, maxval=100, step=0.01)
exitInvestmentType = input.string("percentage_position", "Investment Type", options=["percentage_position"])
maxLag = input.float(30, "maxLag")

minEnterPercent = 1.3  
minExitPercent = 0.09  


highestHigh = ta.highest(high, boxLength) 
lowestLow = ta.lowest(low, boxLength)  


plot(highestHigh, title="Upper Box", color=color.new(color.green, 0), linewidth=1, style=plot.style_line)
plot(lowestLow, title="Lower Box", color=color.new(color.red, 0), linewidth=1, style=plot.style_line)


rsi = ta.rsi(low, rsiLength)


isLowestLeft = low < ta.lowest(low[1], leftLookback)  
isLowestRight = low <= ta.lowest(low, rightLookback) 
isLowestClose = isLowestLeft and isLowestRight      

isHighestLeft = low > ta.highest(low[1], leftLookback) 
isHighestRight = low >= ta.highest(low, rightLookback) 
isHighestClose = isHighestLeft and isHighestRight      

lowestClose = ta.lowest(low, divergenceLookback)
lowestRsi = ta.lowest(rsi, divergenceLookback)
highestClose = ta.highest(low, divergenceLookback)
highestRsi = ta.highest(rsi, divergenceLookback)


lowestClosePrev = ta.lowest(low[1], leftLookback)
lowestRsiPrev = ta.lowest(rsi[1], leftLookback)
highestClosePrev = ta.highest(low[1], leftLookback)
highestRsiPrev = ta.highest(rsi[1], leftLookback)



bullishDivergence = isLowestClose and (low < lowestClosePrev) and (rsi > lowestRsiPrev) and (rsi < rsiOversold)
bearishDivergence = isHighestClose and (low > highestClosePrev) and (rsi < highestRsiPrev) and (rsi > rsiOverbought)


ma(source, length, type) =>
    type == "SMA" ? ta.sma(source, length) :type == "EMA" ? ta.ema(source, length) :type == "SMMA (RMA)" ? ta.rma(source, length) :type == "WMA" ? ta.wma(source, length) :type == "VWMA" ? ta.vwma(source, length) :na


custom_timeframe = input.timeframe("3", "Custom time period (leave blank for current period)")


ma_type = input.string("SMA", "Moving average type", options=["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"])


ma20_period = input.int(20, "MA20 ", minval=1)
ma50_period = input.int(50, "MA50 ", minval=1)
ma100_period = input.int(100, "MA100 ", minval=1)
ma200_period = input.int(200, "MA200 ", minval=1)


source_close = request.security(syminfo.tickerid, custom_timeframe, close)


ma20 = ma(source_close, ma20_period, ma_type)
ma50 = ma(source_close, ma50_period, ma_type)
ma100 = ma(source_close, ma100_period, ma_type)
ma200 = ma(source_close, ma200_period, ma_type)


up_signal_1 = ma20 > ma200  
up_signal_2 = ma50 > ma200  
up_signal_3 = ma100 > ma200 
up_signal_4 = (high > ma20 and high > ma50 and high > ma100 and high > ma200)
up_trend = (up_signal_1 and up_signal_2 and up_signal_3 and (source_close > ma200)) or up_signal_4 


down_signal_1 = ma20 < ma200  
down_signal_2 = ma50 < ma200  
down_signal_3 = ma100 < ma200 
down_signal_4 = (low < ma20 and low < ma50 and low < ma100 and low < ma200)
down_trend = (down_signal_1 and down_signal_2 and down_signal_3 and (source_close < ma200)) or down_signal_4 




plot(ma20, color=color.yellow, title="MA20")
plot(ma50, color=color.orange, title="MA50")
plot(ma100, color=color.red, title="MA100")
plot(ma200, color=color.maroon, title="MA200")


var float longAddPercent = na 
var float shortAddPercent = na 
roundToFourDecimals(value) => math.round(value * 10000) / 10000

if not na(avgPrice)
    if close < avgPrice
        longAddPercent := roundToFourDecimals(math.max(math.min(math.pow((avgPrice - close)* 1000/5,1.1)  , 100), minEnterPercent)) 
    if close > avgPrice
        longAddPercent := 1
 
    if close == avgPrice
        longAddPercent := 1


if not na(avgPrice)
    if close < avgPrice
        shortAddPercent := 0.01
 
    if close > avgPrice
        shortAddPercent := roundToFourDecimals(math.max(math.min(math.pow((close - avgPrice)*1000,1.1), 100), minExitPercent)) 
    if close == avgPrice
        longAddPercent := 1


longSignal = (close <= lowestLow) and bullishDivergence
shortSignal = (close >= highestHigh) and bearishDivergence
plotLongSignal = down_trend and longSignal and close < avgPrice
plotShortSignal = up_trend and shortSignal and close > avgPrice  

if plotLongSignal
    label.new(bar_index, avgPrice, "average price: " + str.tostring(avgPrice, "#.####"), style=label.style_label_up, color=color.green, textcolor=color.white )
if plotShortSignal
    label.new(bar_index, avgPrice,"average price: " + str.tostring(avgPrice, "#.####"), style=label.style_label_down, color=color.red, textcolor=color.white)




if plotLongSignal
    label.new(
         bar_index, 
         close, 
         "LONG :" + str.tostring(longAddPercent, "#.####") + "%, Close: " + str.tostring(close, "#.####"), 
         style=label.style_label_up, 
         color=color.new(color.green, 80), 
         textcolor=color.white
         )

if plotShortSignal
    label.new(
             bar_index, 
             close, 
             "EXIT LONG :" + str.tostring(shortAddPercent, "#.####") + "%, Close: " + str.tostring(close, "#.####"), 
             style=label.style_label_down, 
             color=color.new(color.red, 80), 
             textcolor=color.white
             )


if longSignal

    avgPrice := na(avgPrice) ? close : (avgPrice + close) / 2 







  
if down_trend and longSignal
     
    strategy.entry("Long",strategy.long,qty=longAddPercent )
    
var float close_size = na

if up_trend and shortSignal 

    if strategy.position_size > 0
        close_size := strategy.position_size * (shortAddPercent/100)  
        strategy.order("Partial Close Long", strategy.short, close_size)