동적 ATR 추세선 돌파 거래 전략 및 다단계 위험-보상 최적화 시스템

/*backtest
start: 2024-05-20 00:00:00
end: 2024-09-08 00:00:00
period: 3d
basePeriod: 3d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDC"}]
*/

//@version=5
strategy("Smart Trendlines Strategy with SL/TP (Hybrid)", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=1)

// === Input Parameters ===
length = input.int(14, "Swing Detection Lookback")
mult = input.float(1.0, "Slope Multiplier", minval=0, step=0.1)
showSLTP = input(true, "Show SL/TP Lines & Labels")

sl_buffer = input(5, "SL Buffer (ticks)")
tp1_risk = input(1.5, "TP1 Risk:Reward")
tp2_risk = input(2.5, "TP2 Risk:Reward")

// === Colors ===
buyColor = color.blue
sellColor = color.red
tpColor = color.green
slColor = color.red
upLineColor = color.lime
downLineColor = color.red

// === Slope Calculation
slope = ta.atr(length) / length * mult

// === Pivot Detection
ph = ta.pivothigh(length, length)
pl = ta.pivotlow(length, length)

var float upper = na
var float lower = na
var float slope_ph = na
var float slope_pl = na

slope_ph := ph ? slope : nz(slope_ph[1])
slope_pl := pl ? slope : nz(slope_pl[1])

upper := ph ? high[length] : nz(upper[1]) - slope_ph
lower := pl ? low[length]  : nz(lower[1]) + slope_pl

// === Entry Conditions (Breakout from sloped trendline)
longEntry = pl and close > upper
shortEntry = ph and close < lower

// === SL/TP Calculation
var float sl = na
var float tp1 = na
var float tp2 = na
var float rr = na

if longEntry
    sl := lower - sl_buffer * syminfo.mintick
    rr := close - sl
    tp1 := close + tp1_risk * rr
    tp2 := close + tp2_risk * rr
    strategy.entry("Long", strategy.long)
    strategy.exit("TP1 Long", from_entry="Long", stop=sl, limit=tp1)
    strategy.exit("TP2 Long", from_entry="Long", limit=tp2)

if shortEntry
    sl := upper + sl_buffer * syminfo.mintick
    rr := sl - close
    tp1 := close - tp1_risk * rr
    tp2 := close - tp2_risk * rr
    strategy.entry("Short", strategy.short)
    strategy.exit("TP1 Short", from_entry="Short", stop=sl, limit=tp1)
    strategy.exit("TP2 Short", from_entry="Short", limit=tp2)

// === Plot Trendlines
plot(upper, title="Upper Trendline", color=downLineColor)
plot(lower, title="Lower Trendline", color=upLineColor)

// === Visual Buy/Sell Signals
plotshape(longEntry, location=location.belowbar, color=buyColor, style=shape.circle, size=size.small, title="Buy Signal", text="BUY", textcolor=color.white)
plotshape(shortEntry, location=location.abovebar, color=sellColor, style=shape.circle, size=size.small, title="Sell Signal", text="SELL", textcolor=color.white)

// === Labels for Entry and SL/TP
if longEntry
    label.new(bar_index, close, "BUY\n" + str.tostring(close, "#.##"), style=label.style_label_up, color=buyColor, textcolor=color.white, size=size.small)
    if showSLTP
        label.new(bar_index, sl, "SL\n" + str.tostring(sl, "#.##"), style=label.style_label_down, color=slColor, textcolor=color.white, size=size.small)
        label.new(bar_index, tp1, "TP1\n" + str.tostring(tp1, "#.##"), style=label.style_label_up, color=tpColor, textcolor=color.white, size=size.small)
        label.new(bar_index, tp2, "TP2\n" + str.tostring(tp2, "#.##"), style=label.style_label_up, color=tpColor, textcolor=color.white, size=size.small)

if shortEntry
    label.new(bar_index, close, "SELL\n" + str.tostring(close, "#.##"), style=label.style_label_down, color=sellColor, textcolor=color.white, size=size.small)
    if showSLTP
        label.new(bar_index, sl, "SL\n" + str.tostring(sl, "#.##"), style=label.style_label_up, color=slColor, textcolor=color.white, size=size.small)
        label.new(bar_index, tp1, "TP1\n" + str.tostring(tp1, "#.##"), style=label.style_label_down, color=tpColor, textcolor=color.white, size=size.small)
        label.new(bar_index, tp2, "TP2\n" + str.tostring(tp2, "#.##"), style=label.style_label_down, color=tpColor, textcolor=color.white, size=size.small)

// === Plot SL/TP Lines (Optional)
plot(showSLTP and longEntry ? sl : na, color=slColor, title="Long SL", linewidth=1, style=plot.style_line)
plot(showSLTP and longEntry ? tp1 : na, color=tpColor, title="Long TP1", linewidth=1, style=plot.style_line)
plot(showSLTP and longEntry ? tp2 : na, color=tpColor, title="Long TP2", linewidth=1, style=plot.style_line)

plot(showSLTP and shortEntry ? sl : na, color=slColor, title="Short SL", linewidth=1, style=plot.style_line)
plot(showSLTP and shortEntry ? tp1 : na, color=tpColor, title="Short TP1", linewidth=1, style=plot.style_line)
plot(showSLTP and shortEntry ? tp2 : na, color=tpColor, title="Short TP2", linewidth=1, style=plot.style_line)