다중 지표 동적 추세 거래 전략: SuperTrend, ADX 및 유동성 델타 종합 분석 시스템

/*backtest
start: 2025-01-27 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/
// © TiamatCrypto

//@version=6
// ====================================================================================
// Multi-Indicator Swing Trading Strategy [TIAMATCRYPTO]v6
// ====================================================================================
// DESCRIPTION:
// This strategy uses a combination of technical indicators to identify swing trading
// opportunities in various markets. The default settings are optimized for daily
// timeframes on cryptocurrency and forex markets.
// 
// RECOMMENDED DEFAULT SETTINGS:
// - Trading direction: Both (performs well in trending and ranging markets)
// - Position size: 5% (conservative position sizing to manage risk)
// - Stop Loss: 2% (conservative risk management for capital preservation)
// - Take Profit: 4% (realistic profit target with 1:2 risk-reward ratio)
// - Initial capital: $10,000 (realistic starting account size)
// - Timeframe: 2m (best performance on 2m charts)
// - Testing period: 2021-2033 (provides sufficient sample size of trades)
// ====================================================================================

strategy("Multi-Indicator Swing [TIAMATCRYPTO]v6", overlay=true, 
     default_qty_type=strategy.percent_of_equity, default_qty_value=5, 
     initial_capital=10000, commission_type=strategy.commission.percent, 
     commission_value=0.035, slippage=2)

// === BASIC SETTINGS ===
// Backtesting time period set directly in the code for realistic testing
var startDateInput = timestamp("2021-01-01T00:00:00")
var endDateInput = timestamp("2033-12-31T23:59:59")
var inDateRange = time >= startDateInput and time <= endDateInput

// Trading direction settings
tradeDirection = input.string("Both", "Trading Direction", options=["Long Only", "Short Only", "Both"], group="Basic Settings")

// === INDICATOR SWITCHES ===
// PSAR is now disabled by default
usePSAR = input.bool(false, "Use PSAR", group="Indicator Switches")
useSupertrend = input.bool(true, "Use Supertrend", group="Indicator Switches")
useADX = input.bool(true, "Use ADX", group="Indicator Switches")
useLiquidityDelta = input.bool(true, "Use Liquidity Delta", group="Indicator Switches")

// === INDICATOR SETTINGS SECTION ===
// PSAR Settings
// Default PSAR settings are conservative and work well across multiple markets
psarStart = input.float(0.02, "PSAR Initial Value", minval=0.01, maxval=0.1, step=0.01, group="PSAR Settings")
psarIncrement = input.float(0.02, "PSAR Increment", minval=0.01, maxval=0.1, step=0.01, group="PSAR Settings")
psarMaximum = input.float(0.2, "PSAR Maximum", minval=0.1, maxval=0.5, step=0.05, group="PSAR Settings")

// Supertrend Settings
// Factor 3.0 provides a good balance between sensitivity and false signals
atrPeriod = input.int(10, "SuperTrend ATR Period", minval=1, maxval=50, group="SuperTrend Settings")
factor = input.float(3.0, "SuperTrend Multiplier", minval=1, maxval=10, step=0.1, group="SuperTrend Settings")

// ADX Settings
// ADX threshold of 25 is standard for identifying strong trends
adxLength = input.int(14, "ADX Length", minval=1, maxval=50, group="ADX Settings")
adxThreshold = input.int(25, "ADX Trend Strength Threshold", minval=10, maxval=50, group="ADX Settings")

// Liquidity Delta Settings
// These settings help identify significant volume imbalances for trend confirmation
deltaLength = input.int(14, "Liquidity Delta Length", minval=1, maxval=50, group="Liquidity Delta")
deltaSmooth = input.int(3, "Delta Smoothing", minval=1, maxval=20, group="Liquidity Delta")
deltaThreshold = input.float(0.5, "Delta Signal Threshold", minval=0.1, maxval=5, step=0.1, group="Liquidity Delta")

// Risk Management Settings
// Conservative settings to ensure capital preservation
useStopLoss = input.bool(true, "Use Stop Loss", group="Risk Management")
useTakeProfit = input.bool(true, "Use Take Profit", group="Risk Management")
stopLossPercent = input.float(2.0, "Stop Loss (%)", minval=0.5, maxval=5, step=0.1, group="Risk Management")
takeProfitPercent = input.float(4.0, "Take Profit (%)", minval=1.0, maxval=10, step=0.1, group="Risk Management")

// Visualization Settings
signalSize = input.string("Normal", "Signal Size", options=["Small", "Normal", "Large"], group="Visualization")
buyColor = input.color(color.green, "Buy Signal Color", group="Visualization")
sellColor = input.color(color.red, "Sell Signal Color", group="Visualization")

// === INDICATOR CALCULATIONS ===
// All remaining indicators set to initialize as true when their respective switch is off

// PSAR Calculations
psar = ta.sar(psarStart, psarIncrement, psarMaximum)
psarCondition = not usePSAR or (close > psar)
psarSellCondition = not usePSAR or (close < psar)

// Supertrend Calculations
[supertrendValue, supertrendDirection] = ta.supertrend(factor, atrPeriod)
supertrendCondition = not useSupertrend or (supertrendDirection > 0)
supertrendSellCondition = not useSupertrend or (supertrendDirection < 0)

// ADX Calculations - custom implementation
trueRange = math.max(high - low, math.abs(high - close[1]), math.abs(low - close[1]))
smoothedTrueRange = ta.sma(trueRange, adxLength)
dmPlus = high > high[1] ? math.max(high - high[1], 0) : 0
dmMinus = low[1] > low ? math.max(low[1] - low, 0) : 0
smoothedDmPlus = ta.sma(dmPlus, adxLength)
smoothedDmMinus = ta.sma(dmMinus, adxLength)
diPlus = smoothedTrueRange > 0 ? 100 * smoothedDmPlus / smoothedTrueRange : 0
diMinus = smoothedTrueRange > 0 ? 100 * smoothedDmMinus / smoothedTrueRange : 0
dx = (diPlus + diMinus) > 0 ? math.abs(diPlus - diMinus) / (diPlus + diMinus) * 100 : 0
adxValue = ta.sma(dx, adxLength)
adxCondition = not useADX or (adxValue > adxThreshold)

// Liquidity Delta Calculations
bidVolume = close < open ? volume : volume * (high - close) / (high - low + 0.000001)
askVolume = close > open ? volume : volume * (close - low) / (high - low + 0.000001)
deltaRaw = bidVolume - askVolume
deltaAvg = ta.sma(deltaRaw, deltaLength)
deltaNormalized = deltaAvg / ta.sma(volume, deltaLength)
deltaSmoothed = ta.ema(deltaNormalized, deltaSmooth)

// Delta Signals
bullishDelta = deltaSmoothed > deltaThreshold
bearishDelta = deltaSmoothed < -deltaThreshold
deltaCondition = not useLiquidityDelta or bullishDelta
deltaSellCondition = not useLiquidityDelta or bearishDelta

// === TRADING LOGIC ===
// Buy signal - combination of all active indicators
buySignal = psarCondition and supertrendCondition and adxCondition and deltaCondition

// Sell signal - combination of all active indicators
sellSignal = psarSellCondition and supertrendSellCondition and adxCondition and deltaSellCondition

// Apply trading direction
isLongAllowed = tradeDirection == "Long Only" or tradeDirection == "Both"
isShortAllowed = tradeDirection == "Short Only" or tradeDirection == "Both"
finalBuySignal = buySignal and isLongAllowed
finalSellSignal = sellSignal and isShortAllowed

// === POSITION ENTRY WITH RISK MANAGEMENT ===
// Conservative position management with defined risk parameters
if finalBuySignal and inDateRange
    strategy.entry("Long", strategy.long)

    // Conditional setting of stop-loss and take-profit
    if useStopLoss or useTakeProfit
        stopLevel = useStopLoss ? close * (1 - stopLossPercent / 100) : na
        takeProfitLevel = useTakeProfit ? close * (1 + takeProfitPercent / 100) : na
        strategy.exit("Long Exit", "Long", stop=stopLevel, limit=takeProfitLevel)

if finalSellSignal and inDateRange
    strategy.entry("Short", strategy.short)

    // Conditional setting of stop-loss and take-profit
    if useStopLoss or useTakeProfit
        stopLevel = useStopLoss ? close * (1 + stopLossPercent / 100) : na
        takeProfitLevel = useTakeProfit ? close * (1 - takeProfitPercent / 100) : na
        strategy.exit("Short Exit", "Short", stop=stopLevel, limit=takeProfitLevel)

// === SIGNAL VISUALIZATION ===
// Creating separate signals for different sizes
buySmallSignal = finalBuySignal and signalSize == "Small"
buyNormalSignal = finalBuySignal and signalSize == "Normal"
buyLargeSignal = finalBuySignal and signalSize == "Large"

sellSmallSignal = finalSellSignal and signalSize == "Small"
sellNormalSignal = finalSellSignal and signalSize == "Normal"
sellLargeSignal = finalSellSignal and signalSize == "Large"

// Draw signals for each size
plotshape(buySmallSignal and inDateRange, title="Buy Small", location=location.belowbar, color=buyColor, style=shape.triangleup, size=size.small)
plotshape(buyNormalSignal and inDateRange, title="Buy Normal", location=location.belowbar, color=buyColor, style=shape.triangleup, size=size.normal)
plotshape(buyLargeSignal and inDateRange, title="Buy Large", location=location.belowbar, color=buyColor, style=shape.triangleup, size=size.large)

plotshape(sellSmallSignal and inDateRange, title="Sell Small", location=location.abovebar, color=sellColor, style=shape.triangledown, size=size.small)
plotshape(sellNormalSignal and inDateRange, title="Sell Normal", location=location.abovebar, color=sellColor, style=shape.triangledown, size=size.normal)
plotshape(sellLargeSignal and inDateRange, title="Sell Large", location=location.abovebar, color=sellColor, style=shape.triangledown, size=size.large)

// === INFORMATION PANEL ===
// Building list of active indicators
indList = ""
indList := usePSAR ? indList + "PSAR, " : indList
indList := useSupertrend ? indList + "SuperT, " : indList
indList := useADX ? indList + "ADX, " : indList
indList := useLiquidityDelta ? indList + "Delta" : indList

// Remove last comma if it exists
if str.endswith(indList, ", ")
    indList := str.substring(indList, 0, str.length(indList) - 2)

// Building risk management text
riskText = ""
if useStopLoss and useTakeProfit
    riskText := str.tostring(stopLossPercent, "#.#") + "% SL, " + str.tostring(takeProfitPercent, "#.#") + "% TP"
else if useStopLoss
    riskText := str.tostring(stopLossPercent, "#.#") + "% SL"
else if useTakeProfit
    riskText := str.tostring(takeProfitPercent, "#.#") + "% TP"
else
    riskText := "Disabled"

// Display strategy information
var table infoTable = table.new(position.top_right, 2, 5, border_width=1)
table.cell(infoTable, 0, 0, "Strategy:", bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 1, 0, "Multi-Indicator Swing", bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 0, 1, "Period:", bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 1, 1, "2021-2023", bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 0, 2, "Direction:", bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 1, 2, tradeDirection, bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 0, 3, "Indicators:", bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 1, 3, indList, bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 0, 4, "Risk Management:", bgcolor=color.new(color.blue, 90), text_color=color.white)
table.cell(infoTable, 1, 4, riskText, bgcolor=color.new(color.blue, 90), text_color=color.white)