RSI 추세 발산 전략 지표

/*backtest
start: 2024-06-13 00:00:00
end: 2025-06-12 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy(title="RSI Divergence Strategy", shorttitle="RSI Divergence Strategy", overlay=false, default_qty_type=strategy.percent_of_equity, default_qty_value=10, commission_type=strategy.commission.percent, commission_value=0.1, slippage=0, initial_capital=100000, currency=currency.USD, process_orders_on_close=false)

// RSI Settings
rsiLengthInput = input.int(14, minval=1, title="RSI Length", group="RSI Settings")
rsiSourceInput = input.source(close, "Source", group="RSI Settings")
calculateDivergence = input.bool(true, title="Calculate Divergence", group="RSI Settings", tooltip="Required for divergence signals")

// Added RSI Level Inputs
longEntryLevel = input.float(35.0, "Long Entry RSI", minval=0, maxval=100, step=0.1, group="RSI Levels")
shortEntryLevel = input.float(76.0, "Short Entry RSI", minval=0, maxval=100, step=0.1, group="RSI Levels")
longExitLevel = input.float(80.0, "Long Exit RSI", minval=0, maxval=100, step=0.1, group="RSI Levels")
shortExitLevel = input.float(54.1, "Short Exit RSI", minval=0, maxval=100, step=0.1, group="RSI Levels")

// RSI Calculation
change = ta.change(rsiSourceInput)
up = ta.rma(math.max(change, 0), rsiLengthInput)
down = ta.rma(-math.min(change, 0), rsiLengthInput)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))

// Divergence Parameters
lookbackRight = 5
lookbackLeft = 5
rangeUpper = 60
rangeLower = 5

_inRange(bool cond) =>
    bars = ta.barssince(cond)
    rangeLower <= bars and bars <= rangeUpper

var bool plFound = false
var bool phFound = false
var bool bullCond = false
var bool bearCond = false

// Global variables to store _inRange results
var bool inRangePlFound = false
var bool inRangePhFound = false

rsiLBR = rsi[lookbackRight]

// Update _inRange results on every bar
inRangePlFound := _inRange(plFound[1])
inRangePhFound := _inRange(phFound[1])

if calculateDivergence
    // Regular Bullish Divergence
    plFound := not na(ta.pivotlow(rsi, lookbackLeft, lookbackRight))
    rsiHL = rsiLBR > ta.valuewhen(plFound, rsiLBR, 1) and inRangePlFound
    lowLBR = low[lookbackRight]
    priceLL = lowLBR < ta.valuewhen(plFound, lowLBR, 1)
    bullCond := priceLL and rsiHL and plFound

    // Regular Bearish Divergence
    phFound := not na(ta.pivothigh(rsi, lookbackLeft, lookbackRight))
    rsiLH = rsiLBR < ta.valuewhen(phFound, rsiLBR, 1) and inRangePhFound
    highLBR = high[lookbackRight]
    priceHH = highLBR > ta.valuewhen(phFound, highLBR, 1)
    bearCond := priceHH and rsiLH and phFound

// Strategy Entries with customizable RSI levels
if bullCond and rsi < longEntryLevel
    strategy.entry("Long", strategy.long)

if bearCond and rsi > shortEntryLevel
    strategy.entry("Short", strategy.short)

// Strategy Exits with customizable RSI levels
if rsi >= longExitLevel
    strategy.close("Long")
    
if rsi <= shortExitLevel
    strategy.close("Short")

// ———————— Visualizations ———————— //
// Plot RSI line
rsiColor = rsi > 70 ? color.new(#ff5252, 0) : rsi < 30 ? color.new(#4bf335, 0) : color.new(#b8b8b8, 0)
plot(rsi, title="RSI", color=rsiColor, linewidth=2, style=plot.style_line)

// Plot horizontal levels
hline(longEntryLevel, "Long Entry", color=color.new(#4bf335, 0), linestyle=hline.style_solid)
hline(shortEntryLevel, "Short Entry", color=color.new(#ed1404, 0), linestyle=hline.style_solid)
hline(longExitLevel, "Long Exit", color=color.new(#4bf335, 0), linestyle=hline.style_dashed)
hline(shortExitLevel, "Short Exit", color=color.new(#ed1404, 0), linestyle=hline.style_dashed)

// Plot traditional levels
ob = 70
os = 30
hline(ob, "Overbought", color=color.new(#ff5252, 70), linestyle=hline.style_dotted)
hline(os, "Oversold", color=color.new(#4bf335, 70), linestyle=hline.style_dotted)

// Background colors
bgcolor(rsi >= ob ? color.new(#ff5252, 90) : na)
bgcolor(rsi <= os ? color.new(#4bf335, 90) : na)
bgcolor(rsi > os and rsi < ob ? color.new(#424242, 95) : na)

// ———————— DIVERGENCE VISUALS ———————— //
// Position labels below RSI for bullish, above for bearish
bullLabelY = math.max(0, rsi[lookbackRight] - 15)  // Position below RSI line
bearLabelY = math.min(100, rsi[lookbackRight] + 15) // Position above RSI line

// CORRECTED: Pass y-coordinate as first argument for absolute positioning
plotshape(bullCond ? bullLabelY : na, title="Bullish Divergence", text="BULL", style=shape.labelup, 
     location=location.absolute, color=color.new(#4bf335, 50), textcolor=color.white, 
     size=size.tiny, offset=-lookbackRight)

plotshape(bearCond ? bearLabelY : na, title="Bearish Divergence", text="BEAR", style=shape.labeldown, 
     location=location.absolute, color=color.new(#ed1404, 50), textcolor=color.white, 
     size=size.tiny, offset=-lookbackRight)