다중 시간 프레임 확률적 RSI 크로스오버 전략

/*backtest
start: 2024-06-05 00:00:00
end: 2025-06-04 00:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

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

//@version=6
strategy("System 0530 - Stoch RSI Strategy v13 SL-Priority TP-Reversal", 
         overlay=true, 
         default_qty_type=strategy.percent_of_equity, 
         default_qty_value=100, 
         calc_on_order_fills=false, 
         process_orders_on_close=true,
         margin_short=50) 

// --- Original Indicator Input Parameters ---
g_stoch = "Stochastic RSI Parameters"
rsi_len = input.int(14, "RSI Period", minval=1, group=g_stoch)
stoch_rsi_len = input.int(14, "Stochastic of RSI Period (K Period for Stoch)", minval=1, group=g_stoch)
stoch_k_smooth = input.int(3, "Stochastic %K Smoothing (D Period for Stoch)", minval=1, group=g_stoch)
stoch_d_smooth = input.int(3, "Stochastic %D Smoothing (Smoothing for final D)", minval=1, group=g_stoch)

g_signal = "Signal Trigger and Confirmation Parameters"
stoch_5min_k_long_trigger = input.float(40.0, "5-min Stoch K Long Trigger Level (K must be ≤ this value)", minval=0, maxval=100, step=0.1, group=g_signal, tooltip="On the 5-minute chart, when the K line crosses above the D line, the K value at that time must be less than or equal to this setting to initiate a long signal wait.")
stoch_5min_k_short_trigger = input.float(70.0, "5-min Stoch K Short Trigger Level (K must be ≥ this value)", minval=0, maxval=100, step=0.1, group=g_signal, tooltip="On the 5-minute chart, when the K line crosses below the D line, the K value at that time must be greater than or equal to this setting to initiate a short signal wait.")
stoch_15min_long_entry_level = input.int(50, "15-min Stoch K Long Confirmation Threshold (K must be below this value)", minval=0, maxval=100, group=g_signal, tooltip="On the 15-minute chart, for final long confirmation, the 15-minute K line value must be below this setting.")
stoch_15min_short_entry_level = input.int(70, "15-min Stoch K Short Confirmation Threshold (K must be above this value)", minval=0, maxval=100, group=g_signal, tooltip="On the 15-minute chart, for final short confirmation, the 15-minute K line value must be above this setting.")
wait_window_5min_bars = input.int(7, "Number of 5-min bars to wait for 15-min signal", minval=1, group=g_signal, tooltip="After a 5-minute signal is issued, wait for 15-minute signal confirmation within the next N 5-minute bars.")

g_repeat_filter = "Duplicate Signal Filtering Settings"
use_signal_cooldown_filter = input.bool(true, title="Enable Duplicate Signal Filter", group=g_repeat_filter, tooltip="Filters out duplicate signals in the same direction within a short period.")
min_bars_between_signals = input.int(12, title="Minimum Bars Between Same-Direction Signals", minval=1, group=g_repeat_filter, tooltip="After a signal is issued, at least this many bars must pass before another signal in the same direction can be issued.")

// --- Take Profit Parameters ---
g_tp_params = "Take Profit Parameters"
extreme_long_tp_level = input.float(95.0, "Extreme Long TP Level (Stoch K >)", minval=50, maxval=100, step=0.1, group=g_tp_params, tooltip="Direct TP for longs if 5-min OR 15-min Stoch K exceeds this.")
extreme_short_tp_level = input.float(5.0, "Extreme Short TP Level (Stoch K <)", minval=0, maxval=50, step=0.1, group=g_tp_params, tooltip="Direct TP for shorts if 5-min OR 15-min Stoch K is below this.")

// --- Strategy Specific Input Parameters ---
g_strategy = "Strategy Parameters"
leverage_multiplier = input.float(1.0, "Leverage Multiplier (Affects theoretical position size only)", minval=1.0, step=0.1, group=g_strategy, tooltip="Note: TradingView strategies do not directly simulate margin account liquidation. This leverage is used to calculate theoretical position size. Actual leverage effects must be realized with a broker that supports leverage.")

// --- Function: Calculate Stochastic RSI ---
getStochasticRSI(src, rsiLen, stochLen, kSmooth, dSmooth) =>
    rsi_val = ta.rsi(src, rsiLen)
    stoch_rsi_k_raw = ta.stoch(rsi_val, rsi_val, rsi_val, stochLen) // Stoch of RSI
    stoch_rsi_k = ta.sma(stoch_rsi_k_raw, kSmooth)
    stoch_rsi_d = ta.sma(stoch_rsi_k, dSmooth)
    [stoch_rsi_k, stoch_rsi_d]

// --- Helper Function to get only K-series for Stochastic RSI (RE-ADDED for 15-min prev K) ---
getStochKSeriesOnly(src, rsiLen, stochLen, kSmooth, dSmooth) =>
    rsi_val = ta.rsi(src, rsiLen)
    stoch_rsi_k_raw = ta.stoch(rsi_val, rsi_val, rsi_val, stochLen)
    stoch_rsi_k = ta.sma(stoch_rsi_k_raw, kSmooth)
    stoch_rsi_k // Return only the K series

// --- Time Series Data Fetching and Stochastic RSI Calculation ---
[stoch_k_15min_val, stoch_d_15min_val] = request.security(syminfo.tickerid, "15", getStochasticRSI(close, rsi_len, stoch_rsi_len, stoch_k_smooth, stoch_d_smooth), lookahead=barmerge.lookahead_off)
// RE-ADDED: K value of the PREVIOUS 15-minute bar's Stochastic RSI
stoch_k_15min_prev_tf_bar = request.security(syminfo.tickerid, "15", nz(getStochKSeriesOnly(close, rsi_len, stoch_rsi_len, stoch_k_smooth, stoch_d_smooth)[1]), lookahead=barmerge.lookahead_off)
[stoch_k_5min_val, stoch_d_5min_val] = getStochasticRSI(close, rsi_len, stoch_rsi_len, stoch_k_smooth, stoch_d_smooth)

// --- Signal Logic State Variables ---
var bool waiting_for_15m_long_confirm = false
var bool waiting_for_15m_short_confirm = false
var int bars_elapsed_in_wait_state = 0
var int last_long_signal_bar_idx = -min_bars_between_signals 
var int last_short_signal_bar_idx = -min_bars_between_signals

// --- Variables to store SL reference points from ENTRY bar ---
var float entry_bar_low_for_sl = na
var float entry_bar_high_for_sl = na

// --- Take Profit Logic State Variables ---
var bool first_tp_long_taken = false
var bool first_tp_short_taken = false
// RE-ADDED: State variables for pending TP confirmation on 15-min reversal
var bool pending_long_tp_on_15m_reversal = false
var bool pending_short_tp_on_15m_reversal = false

// --- Detect 5-minute Stochastic RSI crossover events for ENTRY ---
bool stoch_5min_crossed_up_prev_bar = ta.crossover(stoch_k_5min_val[1], stoch_d_5min_val[1])
bool stoch_5min_crossed_down_prev_bar = ta.crossunder(stoch_k_5min_val[1], stoch_d_5min_val[1])
bool condition_5min_k_level_for_long_trigger = stoch_k_5min_val[1] <= stoch_5min_k_long_trigger
bool condition_5min_k_level_for_short_trigger = stoch_k_5min_val[1] >= stoch_5min_k_short_trigger

// --- Specific 5-minute Stochastic RSI crossover for Take Profit (current bar) ---
bool stoch_5min_k_cross_under_d_tp = ta.crossunder(stoch_k_5min_val, stoch_d_5min_val) // For Long TP trigger
bool stoch_5min_k_cross_over_d_tp  = ta.crossover(stoch_k_5min_val, stoch_d_5min_val)  // For Short TP trigger

// --- RE-ADDED: 15-minute Reversal Confirmation for Take Profit ---
bool confirm_15m_reversal_for_long_tp = stoch_k_15min_val < stoch_k_15min_prev_tf_bar
bool confirm_15m_reversal_for_short_tp = stoch_k_15min_val > stoch_k_15min_prev_tf_bar

// --- Manage waiting state and tolerance period for ENTRY ---
if (strategy.position_size == 0)
    if (stoch_5min_crossed_up_prev_bar and condition_5min_k_level_for_long_trigger)
        can_trigger_new_long = not use_signal_cooldown_filter or (bar_index - last_long_signal_bar_idx >= min_bars_between_signals)
        if (can_trigger_new_long)
            waiting_for_15m_long_confirm := true
            waiting_for_15m_short_confirm := false 
            bars_elapsed_in_wait_state := 1
    else if (stoch_5min_crossed_down_prev_bar and condition_5min_k_level_for_short_trigger)
        can_trigger_new_short = not use_signal_cooldown_filter or (bar_index - last_short_signal_bar_idx >= min_bars_between_signals)
        if (can_trigger_new_short)
            waiting_for_15m_short_confirm := true
            waiting_for_15m_long_confirm := false 
            bars_elapsed_in_wait_state := 1
    else if (waiting_for_15m_long_confirm or waiting_for_15m_short_confirm)
        bars_elapsed_in_wait_state += 1
    
    if (bars_elapsed_in_wait_state > wait_window_5min_bars)
        waiting_for_15m_long_confirm := false
        waiting_for_15m_short_confirm := false
        bars_elapsed_in_wait_state := 0 
else 
    waiting_for_15m_long_confirm := false
    waiting_for_15m_short_confirm := false
    bars_elapsed_in_wait_state := 0

// --- 15-minute Stochastic RSI confirmation conditions for ENTRY (Strict Crossover) ---
bool confirm_15min_long_stoch_kd_cond = stoch_k_15min_val > stoch_d_15min_val // K must be strictly greater than D
bool confirm_15min_short_stoch_kd_cond = stoch_k_15min_val < stoch_d_15min_val // K must be strictly less than D
bool filter_15min_stoch_level_long = stoch_k_15min_val < stoch_15min_long_entry_level
bool filter_15min_stoch_level_short = stoch_k_15min_val > stoch_15min_short_entry_level

// --- Main Signal Determination (for strategy logic) ---
entry_long_signal = false
entry_short_signal = false

if (strategy.position_size == 0) 
    if (waiting_for_15m_long_confirm and bars_elapsed_in_wait_state <= wait_window_5min_bars)
        if (confirm_15min_long_stoch_kd_cond and filter_15min_stoch_level_long)
            can_confirm_new_long = not use_signal_cooldown_filter or (bar_index - last_long_signal_bar_idx >= min_bars_between_signals)
            if (can_confirm_new_long)
                entry_long_signal := true
    if (waiting_for_15m_short_confirm and bars_elapsed_in_wait_state <= wait_window_5min_bars)
        if (confirm_15min_short_stoch_kd_cond and filter_15min_stoch_level_short)
            can_confirm_new_short = not use_signal_cooldown_filter or (bar_index - last_short_signal_bar_idx >= min_bars_between_signals)
            if (can_confirm_new_short)
                entry_short_signal := true

// --- Strategy Execution Logic ---
// Reset SL ref and TP flags if position just closed
if (strategy.position_size == 0 and strategy.position_size[1] != 0) 
    first_tp_long_taken := false
    first_tp_short_taken := false
    entry_bar_low_for_sl := na 
    entry_bar_high_for_sl := na 
    pending_long_tp_on_15m_reversal := false // Reset pending TP flag
    pending_short_tp_on_15m_reversal := false // Reset pending TP flag

if (entry_long_signal) 
    strategy.entry("LE", strategy.long, comment="Long Entry")
    last_long_signal_bar_idx := bar_index 
    waiting_for_15m_long_confirm := false 
    bars_elapsed_in_wait_state := 0
    first_tp_long_taken := false 
    entry_bar_low_for_sl := low 
    entry_bar_high_for_sl := na 
    pending_long_tp_on_15m_reversal := false // Reset for new trade
    pending_short_tp_on_15m_reversal := false     

if (entry_short_signal) 
    strategy.entry("SE", strategy.short, comment="Short Entry")
    last_short_signal_bar_idx := bar_index 
    waiting_for_15m_short_confirm := false 
    bars_elapsed_in_wait_state := 0
    first_tp_short_taken := false  
    entry_bar_high_for_sl := high 
    entry_bar_low_for_sl := na    
    pending_short_tp_on_15m_reversal := false // Reset for new trade
    pending_long_tp_on_15m_reversal := false

// --- Stop Loss Logic (PRIORITY 1) ---
// Check and execute SL first. If SL triggers, position size becomes 0, preventing TP logic below from executing on the same bar.
bool sl_triggered_this_bar = false
if (strategy.position_size > 0) // If in a long trade
    if (not na(entry_bar_low_for_sl) and close < entry_bar_low_for_sl)
        strategy.close(id="LE", comment="SL Long")
        sl_triggered_this_bar := true
        pending_long_tp_on_15m_reversal := false // Ensure pending TP is cancelled if SL hits

if (strategy.position_size < 0) // If in a short trade
    if (not na(entry_bar_high_for_sl) and close > entry_bar_high_for_sl)
        strategy.close(id="SE", comment="SL Short")
        sl_triggered_this_bar := true
        pending_short_tp_on_15m_reversal := false // Ensure pending TP is cancelled if SL hits

// --- Take Profit Logic (PRIORITY 2 - only if SL did not trigger on this bar) ---
if (not sl_triggered_this_bar) // Only proceed with TP if SL hasn't already closed the position on this bar
    if (strategy.position_size > 0) // --- LONG TP LOGIC ---
        extreme_long_tp_condition = stoch_k_5min_val > extreme_long_tp_level or stoch_k_15min_val > extreme_long_tp_level
        if (extreme_long_tp_condition)
            if (not first_tp_long_taken)
                strategy.close(id="LE", comment="TP1 Long", qty_percent=50)
                first_tp_long_taken := true
            else 
                strategy.close(id="LE", comment="TP2 Long")
            pending_long_tp_on_15m_reversal := false // Reset pending state as this TP takes precedence
        else 
            // Conditional TP logic (5-min trigger + 15-min reversal)
            if (stoch_5min_k_cross_under_d_tp and not pending_long_tp_on_15m_reversal) // Set pending state
                pending_long_tp_on_15m_reversal := true
        
            if (pending_long_tp_on_15m_reversal and confirm_15m_reversal_for_long_tp) // Check for confirmation
                if (not first_tp_long_taken)
                    strategy.close(id="LE", comment="TP1 Long", qty_percent=50)
                    first_tp_long_taken := true
                else 
                    strategy.close(id="LE", comment="TP2 Long")
                pending_long_tp_on_15m_reversal := false // Reset after TP

    if (strategy.position_size < 0) // --- SHORT TP LOGIC ---
        extreme_short_tp_condition = stoch_k_5min_val < extreme_short_tp_level or stoch_k_15min_val < extreme_short_tp_level
        if (extreme_short_tp_condition)
            if (not first_tp_short_taken)
                strategy.close(id="SE", comment="TP1 Short", qty_percent=50)
                first_tp_short_taken := true
            else 
                strategy.close(id="SE", comment="TP2 Short")
            pending_short_tp_on_15m_reversal := false // Reset pending state
        else
            // Conditional TP logic (5-min trigger + 15-min reversal)
            if (stoch_5min_k_cross_over_d_tp and not pending_short_tp_on_15m_reversal) // Set pending state
                pending_short_tp_on_15m_reversal := true

            if (pending_short_tp_on_15m_reversal and confirm_15m_reversal_for_short_tp) // Check for confirmation
                if (not first_tp_short_taken)
                    strategy.close(id="SE", comment="TP1 Short", qty_percent=50)
                    first_tp_short_taken := true
                else 
                    strategy.close(id="SE", comment="TP2 Short")
                pending_short_tp_on_15m_reversal := false // Reset after TP