이중 이동 평균 교차 추세 추종 전략 및 고급 위험 관리 시스템

/*backtest
start: 2025-06-04 00:00:00
end: 2025-06-11 00:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title="Dual SMA Crossover Strategy", overlay=true, calc_on_every_tick=false, process_orders_on_close=true)

// --- Inputs ---
// SMA Lengths
fast_length = input.int(24, title="Fast SMA Length", minval=1)
slow_length = input.int(48, title="Slow SMA Length", minval=1)

// Risk Management
risk_per_trade_percent = input.float(2.0, title="Risk Per Trade (%)", minval=0.1, maxval=10.0, step=0.1) // % of equity to risk per trade
stop_loss_percent = input.float(0.8, title="Stop Loss (%)", minval=0.1, step=0.1) // % from entry price
risk_reward_ratio = input.float(2.0, title="Risk-Reward Ratio", minval=0.5, step=0.1) // 2.0 = 2R, 3.0 = 3R etc.

// Advanced Trailing Stop Loss
trailing_start_percent = input.float(1.0, title="Trailing Stop Start (%)", minval=0.1, step=0.1) // % profit to activate TSL
trailing_stop_percent = input.float(0.5, title="Trailing Stop Trail (%)", minval=0.1, step=0.1) // % to trail by once activated

// --- Calculations ---
// Calculate SMAs
fast_sma = ta.sma(close, fast_length)
slow_sma = ta.sma(close, slow_length)

// Plot SMAs on chart
plot(fast_sma, color=color.blue, title="Fast SMA")
plot(slow_sma, color=color.red, title="Slow SMA")

// Crossover conditions (calculated on previous bar to prevent look-ahead bias)
long_condition = ta.crossover(fast_sma[1], slow_sma[1])
short_condition = ta.crossunder(fast_sma[1], slow_sma[1])

// --- Money Management and Position Sizing ---
// Calculate account equity and risk amount
account_equity = strategy.initial_capital + strategy.netprofit
risk_amount = account_equity * (risk_per_trade_percent / 100)

// Calculate Stop Loss price based on entry and SL percentage
var float long_stop_price = na
var float short_stop_price = na
var float long_take_profit_price = na
var float short_take_profit_price = na

// --- Trailing Stop Loss Variables ---
var float trailing_long_activated_price = na // Price at which TSL is activated for long
var float trailing_short_activated_price = na // Price at which TSL is activated for short
var float current_trailing_stop_long = na
var float current_trailing_stop_short = na
var bool  is_long_trailing_active = false
var bool  is_short_trailing_active = false

// --- Strategy Entry and Exit Orders ---
if long_condition
    // Reset TSL variables for a new entry
    trailing_long_activated_price := na
    current_trailing_stop_long := na
    is_long_trailing_active := false

    // Calculate SL, TP for long entry
    long_stop_price := close * (1 - stop_loss_percent / 100) // SL below entry
    long_take_profit_price := close * (1 + (stop_loss_percent * risk_reward_ratio) / 100) // TP above entry based on RRR

    // Calculate position size for long entry
    price_change_per_unit = close * (stop_loss_percent / 100)
    if price_change_per_unit > 0
        long_quantity = risk_amount / price_change_per_unit
        strategy.entry("Long", strategy.long, qty=long_quantity, comment="Buy Signal")
    else
        strategy.entry("Long", strategy.long, comment="Buy Signal (Risk calculation skipped)") // Fallback if SL is 0 or negative

if short_condition
    // Reset TSL variables for a new entry
    trailing_short_activated_price := na
    current_trailing_stop_short := na
    is_short_trailing_active := false

    // Calculate SL, TP for short entry
    short_stop_price := close * (1 + stop_loss_percent / 100) // SL above entry
    short_take_profit_price := close * (1 - (stop_loss_percent * risk_reward_ratio) / 100) // TP below entry based on RRR

    // Calculate position size for short entry
    price_change_per_unit = close * (stop_loss_percent / 100)
    if price_change_per_unit > 0
        short_quantity = risk_amount / price_change_per_unit
        strategy.entry("Short", strategy.short, qty=short_quantity, comment="Sell Signal")
    else
        strategy.entry("Short", strategy.short, comment="Sell Signal (Risk calculation skipped)") // Fallback if SL is 0 or negative

// --- Stop Loss, Take Profit, Trailing Stop Logic ---

// Long position management
if strategy.position_size > 0 // We are in a long position
    entry_price = strategy.opentrades.entry_price(0)
    current_profit_percent = ((close - entry_price) / entry_price) * 100

    // Initial SL and TP set at entry
    strategy.exit("Exit Long", from_entry="Long", stop=long_stop_price, limit=long_take_profit_price, comment="TP/SL Long")

    // Check for Trailing Stop activation
    if not is_long_trailing_active and current_profit_percent >= trailing_start_percent
        is_long_trailing_active := true
        // Set initial trailing stop when activated
        trailing_long_activated_price := high // Or close, depending on preference
        current_trailing_stop_long := high * (1 - trailing_stop_percent / 100)

    // If trailing stop is active, update it
    if is_long_trailing_active
        // Only move the trailing stop up (for long positions)
        potential_new_stop = high * (1 - trailing_stop_percent / 100)
        current_trailing_stop_long := math.max(current_trailing_stop_long, potential_new_stop)

        // Ensure trailing stop is not below the initial long_stop_price
        // This prevents the trailing stop from being less protective than the initial SL if the price drops after activation.
        current_trailing_stop_long := math.max(current_trailing_stop_long, long_stop_price)

        strategy.exit("Trailing Exit Long", from_entry="Long", stop=current_trailing_stop_long, comment="Trailing SL Long")

// Short position management
if strategy.position_size < 0 // We are in a short position
    entry_price = strategy.opentrades.entry_price(0)
    current_profit_percent = ((entry_price - close) / entry_price) * 100

    // Initial SL and TP set at entry
    strategy.exit("Exit Short", from_entry="Short", stop=short_stop_price, limit=short_take_profit_price, comment="TP/SL Short")

    // Check for Trailing Stop activation
    if not is_short_trailing_active and current_profit_percent >= trailing_start_percent
        is_short_trailing_active := true
        // Set initial trailing stop when activated
        trailing_short_activated_price := low // Or close, depending on preference
        current_trailing_stop_short := low * (1 + trailing_stop_percent / 100)

    // If trailing stop is active, update it
    if is_short_trailing_active
        // Only move the trailing stop down (for short positions)
        potential_new_stop = low * (1 + trailing_stop_percent / 100)
        current_trailing_stop_short := math.min(current_trailing_stop_short, potential_new_stop)

        // Ensure trailing stop is not above the initial short_stop_price
        current_trailing_stop_short := math.min(current_trailing_stop_short, short_stop_price)

        strategy.exit("Trailing Exit Short", from_entry="Short", stop=current_trailing_stop_short, comment="Trailing SL Short")

// Plot background color to indicate active position (optional)
bgcolor(strategy.position_size > 0 ? color.new(color.green, 90) : na, title="Long Position Background")
bgcolor(strategy.position_size < 0 ? color.new(color.red, 90) : na, title="Short Position Background")