MACD 및 이동 평균 모멘텀 크로스오버 단기 추세 최적화 거래 전략

/*backtest
start: 2024-07-03 00:00:00
end: 2025-07-02 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/

//@version=5
strategy("MACD + MA 2-Min Binary Options Strategy (Strategy Mode)", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === INPUTS ===
emaFastLen = input.int(5, "Fast EMA Length")
emaSlowLen = input.int(13, "Slow EMA Length")
emaTrendLen = input.int(50, "Trend EMA Length")
macdSrc = input.source(close, "MACD Source")
macdFastLen = input.int(12, "MACD Fast Length")
macdSlowLen = input.int(26, "MACD Slow Length")
macdSignalLen = input.int(9, "MACD Signal Smoothing")
tradeCooldown = input.int(10, "Cooldown Bars Between Trades")
maxLossStreak = input.int(3, "Max Consecutive Losses (Daily)")
dailyEquityLossLimit = input.float(5.0, "Max Daily Loss %", step=0.1)

// === MOVING AVERAGES ===
emaFast = ta.ema(close, emaFastLen)
emaSlow = ta.ema(close, emaSlowLen)
emaTrend = ta.ema(close, emaTrendLen)

// === MACD ===
[macdLine, signalLine, _] = ta.macd(macdSrc, macdFastLen, macdSlowLen, macdSignalLen)
macdHist = macdLine - signalLine

// === CONDITIONS ===
longCond = ta.crossover(emaFast, emaSlow) and ta.crossover(macdLine, signalLine) and macdHist > 0 and close > emaFast and close > emaSlow and close > emaTrend
shortCond = ta.crossunder(emaFast, emaSlow) and ta.crossunder(macdLine, signalLine) and macdHist < 0 and close < emaFast and close < emaSlow and close < emaTrend

// === TRADE FILTERING ===
var int lastTradeBar = na
canTrade = na(lastTradeBar) or (bar_index - lastTradeBar > tradeCooldown)

var int lossStreak = 0
var float dailyProfit = 0.0
var int prevDay = na
newDay = (dayofmonth != prevDay)
if newDay
    lossStreak := 0
    dailyProfit := 0.0
prevDay := dayofmonth

// === TRACK EQUITY ===
var float lastEquity = strategy.equity
profitToday = strategy.equity - lastEquity
lastEquity := strategy.equity

// Update daily PnL
if not newDay
    dailyProfit += profitToday

// Trade rules
allowLossLimit = (strategy.equity - lastEquity) / lastEquity * 100 > -dailyEquityLossLimit
allowTrade = canTrade and lossStreak < maxLossStreak and allowLossLimit

// === PLOT SIGNALS ===
plotshape(longCond and allowTrade, title="CALL Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="CALL")
plotshape(shortCond and allowTrade, title="PUT Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="PUT")

// === PLOT EMAs ===
plot(emaFast, title="EMA 5", color=color.orange)
plot(emaSlow, title="EMA 13", color=color.blue)
plot(emaTrend, title="EMA 50", color=color.purple)

// === ALERTS ===
alertcondition(longCond, title="CALL Alert", message="CALL Signal (Buy) detected!")
alertcondition(shortCond, title="PUT Alert", message="PUT Signal (Sell) detected!")

// === TIMER ===
timeSinceBar = (timenow - time) / 1000  // seconds since bar opened
secondsPerBar = (time - time[1]) / 1000
barCountdown = secondsPerBar - timeSinceBar
plot(barCountdown, title="Bar Countdown (sec)", color=color.gray, linewidth=1, style=plot.style_line)

// === STRATEGY EXECUTION ===
if (longCond and allowTrade)
    strategy.entry("CALL", strategy.long)
    lastTradeBar := bar_index

if (shortCond and allowTrade)
    strategy.entry("PUT", strategy.short)
    lastTradeBar := bar_index

// Exit after 4 bars (2 minutes on 30s timeframe)
if strategy.position_size != 0
    isCall = strategy.opentrades.entry_id(0) == "CALL"
    isPut = strategy.opentrades.entry_id(0) == "PUT"
    barsInTrade = bar_index - strategy.opentrades.entry_bar_index(0)
    if barsInTrade >= 4
        stratClose = false
        if isCall and close > strategy.opentrades.entry_price(0)
            lossStreak := 0
            stratClose := true
        else if isPut and close < strategy.opentrades.entry_price(0)
            lossStreak := 0
            stratClose := true
        else
            lossStreak += 1
            stratClose := true
        if stratClose
            strategy.close("CALL")
            strategy.close("PUT")

// === PLOT EQUITY ===
plot(strategy.equity, title="Equity Curve", color=color.green, linewidth=2, style=plot.style_line)