개장 범위 돌파 전략과 공정가치 갭 전략의 결합

/*backtest
start: 2025-06-18 00:00:00
end: 2025-06-25 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// Based on https://www.youtube.com/watch?v=mzFXoK2pbNE

//@version=5
strategy("[Myth Busting] [ORB] Casper SMC - 16 Jun", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=10000, pyramiding = 10)

// Input settings
show_orb = input.bool(true, "Show 5m Opening Range")
show_signals = input.bool(true, "Show FVG Intersection Signals")
show_stats = input.bool(true, "Show Statistics Table")
risk_per_trade = input.float(1.0, "Risk Per Trade (%)", minval=0.1, maxval=10.0, step=0.1)
use_stop_loss = input.bool(true, "Use Stop Loss")
use_take_profit = input.bool(true, "Use Take Profit")
risk_reward_ratio = input.float(2.0, "Risk:Reward Ratio", minval=1.0, step=0.1)

// Session time inputs
session_start_hour = input.int(9, "Session Start Hour", minval=0, maxval=23, group="Session Settings")
session_start_minute = input.int(30, "Session Start Minute", minval=0, maxval=59, group="Session Settings")
session_end_hour = input.int(16, "Session End Hour", minval=0, maxval=23, group="Session Settings")
session_end_minute = input.int(0, "Session End Minute", minval=0, maxval=59, group="Session Settings")
session_timezone = input.string("America/New_York", "Session Timezone", group="Session Settings")
orb_duration_minutes = input.int(5, "ORB Duration (Minutes)", minval=1, maxval=60, group="Session Settings")
signal_end_offset = input.int(90, "Signal Period Duration (Minutes)", minval=30, maxval=300, group="Session Settings")

// Style settings
orb_high_color = input.color(color.new(color.green, 50), "ORB High Color")
orb_low_color = input.color(color.new(color.red, 50), "ORB Low Color")
bullish_signal_color = input.color(color.green, "Bullish Signal Color")
bearish_signal_color = input.color(color.red, "Bearish Signal Color")

// Variables to store ORB levels
var float orb_high = na
var float orb_low = na
var int orb_start_time = na
var int orb_end_time = na
var bool orb_set = false

// Position tracking
var int position_counter = 0
var int active_positions = 0

// Function to get current time in specified timezone
get_session_time() =>
    current_hour = hour(time, session_timezone)
    current_minute = minute(time, session_timezone)
    current_hour * 60 + current_minute

// Calculate session times in minutes
session_start_minutes = session_start_hour * 60 + session_start_minute
session_end_minutes = session_end_hour * 60 + session_end_minute
orb_end_minutes = session_start_minutes + orb_duration_minutes
signal_end_minutes = session_start_minutes + signal_end_offset

// Check if we're in the ORB period
is_orb_period() =>
    current_time = get_session_time()
    current_time >= session_start_minutes and current_time < orb_end_minutes

// Check if we're in the signal period
is_signal_period() =>
    current_time = get_session_time()
    current_time >= orb_end_minutes and current_time < signal_end_minutes

// Check if we're in the overall trading session
is_trading_session() =>
    current_time = get_session_time()
    current_time >= session_start_minutes and current_time < session_end_minutes

// Reset ORB at the start of each trading session
new_session = is_trading_session() and not is_trading_session()[1]

if new_session or ta.change(dayofweek)
    orb_high := na
    orb_low := na
    orb_start_time := na
    orb_end_time := na
    orb_set := false
    position_counter := 0

// Capture ORB levels during the ORB period
if is_orb_period()
    if na(orb_high) or na(orb_low)
        orb_high := high
        orb_low := low
        orb_start_time := time
    else
        orb_high := math.max(orb_high, high)
        orb_low := math.min(orb_low, low)
    orb_end_time := time

// Mark ORB as set after the period ends
if not is_orb_period() and not na(orb_high) and not orb_set
    orb_set := true

// Fair Value Gap detection
bullish_fvg = high[2] < low and not na(orb_high)
bearish_fvg = low[2] > high and not na(orb_low)

// Check for FVG intersection with ORB boundaries during signal period
bullish_intersection = false
bearish_intersection = false

// Count active positions
active_positions := strategy.opentrades

if is_signal_period() and orb_set
    // Bullish FVG intersecting upper boundary
    if bullish_fvg
        if open[1] <= orb_high and close[1] >= orb_high
            bullish_intersection := true
    
    // Bearish FVG intersecting lower boundary  
    if bearish_fvg
        if open[1] >= orb_low and close[1] <= orb_low
            bearish_intersection := true

// Calculate position size based on risk per trade
calculate_position_size(entry, stop, is_long) =>
    risk_amount = strategy.equity * (risk_per_trade / 100)
    price_diff = is_long ? entry - stop : stop - entry
    position_size = risk_amount / price_diff
    position_size

// Strategy execution - Modified for multiple positions
if bullish_intersection
    position_counter += 1
    entry_price = close
    stop_loss_price = low[1]
    risk = entry_price - stop_loss_price
    take_profit_price = entry_price + (risk * risk_reward_ratio)
    
    // Calculate position size
    qty = calculate_position_size(entry_price, stop_loss_price, true)
    
    // Create unique entry ID
    entry_id = "Long_" + str.tostring(position_counter)
    exit_id = "LongExit_" + str.tostring(position_counter)
    
    // Enter long position
    strategy.entry(entry_id, strategy.long, qty=qty)
    
    // Set stop loss and take profit
    if use_stop_loss
        strategy.exit(exit_id, entry_id, stop=stop_loss_price, limit=use_take_profit ? take_profit_price : na)

if bearish_intersection
    position_counter += 1
    entry_price = close
    stop_loss_price = high[1]
    risk = stop_loss_price - entry_price
    take_profit_price = entry_price - (risk * risk_reward_ratio)
    
    // Calculate position size
    qty = calculate_position_size(entry_price, stop_loss_price, false)
    
    // Create unique entry ID
    entry_id = "Short_" + str.tostring(position_counter)
    exit_id = "ShortExit_" + str.tostring(position_counter)
    
    // Enter short position
    strategy.entry(entry_id, strategy.short, qty=qty)
    
    // Set stop loss and take profit
    if use_stop_loss
        strategy.exit(exit_id, entry_id, stop=stop_loss_price, limit=use_take_profit ? take_profit_price : na)

// Close all positions at end of trading session
if not is_trading_session() and strategy.position_size != 0
    strategy.close_all("End of Trading Session")

// Plot ORB levels
plot(show_orb and orb_set ? orb_high : na, "ORB High", color=orb_high_color, linewidth=2, style=plot.style_line)
plot(show_orb and orb_set ? orb_low : na, "ORB Low", color=orb_low_color, linewidth=2, style=plot.style_line)

// Plot intersection signals
plotshape(series=show_signals and bullish_intersection, title="Bullish FVG Intersection", style=shape.triangleup, location=location.belowbar, color=bullish_signal_color, size=size.normal)
plotshape(series=show_signals and bearish_intersection, title="Bearish FVG Intersection", style=shape.triangledown, location=location.abovebar, color=bearish_signal_color, size=size.normal)

// Background highlights for different session periods
bgcolor(is_orb_period() ? color.new(color.yellow, 90) : na, title="ORB Period")
bgcolor(is_signal_period() and orb_set ? color.new(color.blue, 95) : na, title="Signal Period")
bgcolor(is_trading_session() and not is_signal_period() and not is_orb_period() ? color.new(color.gray, 98) : na, title="Trading Session")

// Plot session boundaries
plot(is_trading_session() ? high : na, "Session High", color=color.new(color.orange, 80), linewidth=1)
plot(is_trading_session() ? low : na, "Session Low", color=color.new(color.orange, 80), linewidth=1)