RSI-MACD-EMA 조합 기술 분석 전략 및 고주파 거래를 위한 적응형 손절매 솔루션

/*backtest
start: 2024-06-10 00:00:00
end: 2025-06-08 08:00:00
period: 2h
basePeriod: 2h
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/
// © Manus AI

//@version=5
strategy("RSI MACD EMA Strategy with SL (Higher Frequency)", overlay=true)

// MACD Inputs
fast_length = input(12, "MACD Fast Length")
slow_length = input(26, "MACD Slow Length")
signal_length = input(9, "MACD Signal Length")

// RSI Inputs
rsi_length = input(14, "RSI Length")
rsi_oversold = input(30, "RSI Oversold Level (Relaxed)") // Relaxed from 35 to 30 for more signals
rsi_overbought = input(70, "RSI Overbought Level (Relaxed)") // Relaxed from 65 to 70 for more signals

// EMA Inputs
ema_length = input(9, "EMA Length")

// Stop Loss Inputs
atr_length = input(14, "ATR Length for Stop Loss")
sl_multiplier = input.float(2.0, "Stop Loss Multiplier")

// Calculate MACD
[macd_line, signal_line, hist_line] = ta.macd(close, fast_length, slow_length, signal_length)

// Calculate RSI
rsi_value = ta.rsi(close, rsi_length)

// Calculate EMA
ema_value = ta.ema(close, ema_length)

// Calculate ATR for Stop Loss
atr_value = ta.atr(atr_length)

// MACD Conditions (Simplified/Direct Cross)
macd_buy_condition = ta.crossover(macd_line, signal_line) // Using crossover for direct signal
macd_sell_condition = ta.crossunder(macd_line, signal_line) // Using crossunder for direct signal

// RSI Conditions (Simplified for higher frequency)
// Instead of complex divergence, let's go back to simpler overbought/oversold crosses
rsi_buy_condition = ta.crossover(rsi_value, rsi_oversold) // Buy when RSI crosses above oversold
rsi_sell_condition = ta.crossunder(rsi_value, rsi_overbought) // Sell when RSI crosses below overbought

// EMA Conditions (Direct Cross)
ema_buy_condition = ta.crossover(close, ema_value)
ema_sell_condition = ta.crossunder(close, ema_value)

// Buy/Long Entry - Significantly simplified for higher frequency
// We'll combine fewer conditions, focusing on the most immediate signals.
// Let's use either MACD + EMA, or RSI + EMA, or a combination that is less strict.
// Option 1: MACD cross AND EMA cross (stronger than just one, but still fewer than before)
// buy_signal = macd_buy_condition and ema_buy_condition

// Option 2: RSI cross AND EMA cross (another common combination)
// buy_signal = rsi_buy_condition and ema_buy_condition

// Option 3: A more aggressive combination (e.g., any two of the three main signals)
// For maximum frequency, let's primarily use EMA cross with a supporting indicator.
// We'll prioritize the EMA cross as it's often the fastest price-action related signal.
buy_signal = ema_buy_condition and (macd_buy_condition or rsi_value < rsi_oversold + 5) // EMA cross up AND (MACD cross up OR RSI is near oversold)

// Sell/Short Entry - Significantly simplified for higher frequency
// Similar logic for short signals.
sell_signal = ema_sell_condition and (macd_sell_condition or rsi_value > rsi_overbought - 5) // EMA cross down AND (MACD cross down OR RSI is near overbought)


// Exit Conditions (Kept as previously tightened, as frequent exits complement frequent entries)
long_exit_condition = ta.crossunder(close, ema_value) or (close < ema_value)
short_exit_condition = ta.crossover(close, ema_value) or (close > ema_value)


// Stop Loss Calculation (Kept as previously loosened, but could be tightened for faster exits on losses)
long_stop_loss_price = strategy.position_avg_price - (atr_value * sl_multiplier)
short_stop_loss_price = strategy.position_avg_price + (atr_value * sl_multiplier)

// Strategy orders
if buy_signal
    strategy.entry("Long", strategy.long)

if sell_signal
    strategy.entry("Short", strategy.short)

if strategy.position_size > 0 // If currently in a long position
    strategy.exit("Long Exit", from_entry="Long", stop=long_stop_loss_price, when=long_exit_condition)

if strategy.position_size < 0 // If currently in a short position
    strategy.exit("Short Exit", from_entry="Short", stop=short_stop_loss_price, when=short_exit_condition)

// Plotting signals (optional, for visualization)
plotshape(buy_signal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(sell_signal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

// Plotting indicators (optional, for visualization)
plot(macd_line, "MACD Line", color.blue)
plot(signal_line, "Signal Line", color.orange)
plot(rsi_value, "RSI", color.purple)
plot(ema_value, "EMA", color.teal)

hline(rsi_oversold, "RSI Oversold", color.gray)
hline(rsi_overbought, "RSI Overbought", color.gray)