다중 소스 확인 지표 백테스팅 프레임워크: 위험 관리와 신호 감지를 통합한 양적 거래 테스트 시스템

/*backtest
start: 2024-07-08 00:00:00
end: 2025-07-04 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("FULLY FUNCTIONAL INDICATOR TESTER", overlay=true, margin_long=100, margin_short=100)

// Entry/Exit Signal Inputs
longEntry = input.source(close, 'Long Entry Trigger', 'Source for long signal (connect your indicator here)')
shortEntry = input.source(close, 'Short Entry Trigger', 'Source for short signal (connect your indicator here)')
activateLongExit = input.bool(false, 'Activate Long Exit Signals')
longExit = input.source(high, 'Long Exit Trigger', 'Source for long exit signal')
activateShortExit = input.bool(false, 'Activate Short Exit Signals')
shortExit = input.source(low, 'Short Exit Trigger', 'Source for short exit signal')

// Signal Detection Method
signalMethod = input.string('Value Change', 'Signal Detection Method', options=['Value Change', 'Crossover Above', 'Crossover Below', 'Value Above Threshold', 'Value Below Threshold'])
signalThreshold = input.float(0, 'Signal Threshold', tooltip='Threshold value for signal detection methods')

// Take Profit and Stop Loss
fixedTp = input.int(0, 'Static TP (in ticks)', 0, tooltip='0 = disabled')
initialSL = input.int(0, 'Initial SL (in ticks)', 0, tooltip='0 = disabled')

// Break Even Settings
breakEvenTrigger = input.int(0, 'Break Even Trigger (in ticks)', 0, tooltip='Move SL to break even after this many ticks profit. 0 = disabled')

// Confluence Settings
useConfluence = input.bool(false, 'Use Confluence Filter', 'Activate confluence filter for entries')
longConfluence = input.source(high, 'Long Signal Confluence', 'Source for long confluence filter')
longConfluenceTrigger = input.source(low, 'Long Confluence Trigger', 'Value that must be below confluence source for long entry')
shortConfluence = input.source(high, 'Short Signal Confluence', 'Source for short confluence filter')
shortConfluenceTrigger = input.source(low, 'Short Confluence Trigger', 'Value that must be above confluence source for short entry')
confluenceLookback = input.int(0, 'Confluence Lookback Period', 0, 10, 1, 'Number of candles to look back for confluence')

// Variables to track entry prices for break-even
var float longEntryPrice = na
var float shortEntryPrice = na

// Signal Detection Functions
detectLongSignal() =>
    switch signalMethod
        'Value Change' => longEntry != longEntry[1] and longEntry > 0
        'Crossover Above' => ta.crossover(longEntry, signalThreshold)
        'Crossover Below' => ta.crossunder(longEntry, signalThreshold)
        'Value Above Threshold' => longEntry > signalThreshold and longEntry[1] <= signalThreshold
        'Value Below Threshold' => longEntry < signalThreshold and longEntry[1] >= signalThreshold
        => false

detectShortSignal() =>
    switch signalMethod
        'Value Change' => shortEntry != shortEntry[1] and shortEntry > 0
        'Crossover Above' => ta.crossover(shortEntry, signalThreshold)
        'Crossover Below' => ta.crossunder(shortEntry, signalThreshold)
        'Value Above Threshold' => shortEntry > signalThreshold and shortEntry[1] <= signalThreshold
        'Value Below Threshold' => shortEntry < signalThreshold and shortEntry[1] >= signalThreshold
        => false

detectLongExit() =>
    switch signalMethod
        'Value Change' => longExit != longExit[1] and longExit > 0
        'Crossover Above' => ta.crossover(longExit, signalThreshold)
        'Crossover Below' => ta.crossunder(longExit, signalThreshold)
        'Value Above Threshold' => longExit > signalThreshold and longExit[1] <= signalThreshold
        'Value Below Threshold' => longExit < signalThreshold and longExit[1] >= signalThreshold
        => false

detectShortExit() =>
    switch signalMethod
        'Value Change' => shortExit != shortExit[1] and shortExit > 0
        'Crossover Above' => ta.crossover(shortExit, signalThreshold)
        'Crossover Below' => ta.crossunder(shortExit, signalThreshold)
        'Value Above Threshold' => shortExit > signalThreshold and shortExit[1] <= signalThreshold
        'Value Below Threshold' => shortExit < signalThreshold and shortExit[1] >= signalThreshold
        => false

// Confluence confirmation functions
longConfirmation() => 
    confirmation = false
    if confluenceLookback == 0
        confirmation := longConfluenceTrigger < longConfluence
    else
        for x = 0 to confluenceLookback
            if longConfluenceTrigger[x] < longConfluence[x]
                confirmation := true
                break
    confirmation

shortConfirmation() => 
    confirmation = false
    if confluenceLookback == 0
        confirmation := shortConfluenceTrigger > shortConfluence
    else
        for x = 0 to confluenceLookback
            if shortConfluenceTrigger[x] > shortConfluence[x]
                confirmation := true
                break
    confirmation

// Entry conditions
longConfirmed = useConfluence ? longConfirmation() : true
shortConfirmed = useConfluence ? shortConfirmation() : true

longCondition = detectLongSignal() and longConfirmed
shortCondition = detectShortSignal() and shortConfirmed

// Entry logic
if (longCondition and strategy.opentrades == 0)
    strategy.entry('Long', strategy.long)
    longEntryPrice := close
    // Set initial exit orders
    if fixedTp > 0 or initialSL > 0
        strategy.exit('Long Exit', 'Long', 
                     profit = fixedTp > 0 ? fixedTp : na, 
                     loss = initialSL > 0 ? initialSL : na, 
                     comment_profit = 'TP Hit', 
                     comment_loss = 'SL Hit')

if (shortCondition and strategy.opentrades == 0)
    strategy.entry('Short', strategy.short)
    shortEntryPrice := close
    // Set initial exit orders
    if fixedTp > 0 or initialSL > 0
        strategy.exit('Short Exit', 'Short', 
                     profit = fixedTp > 0 ? fixedTp : na, 
                     loss = initialSL > 0 ? initialSL : na, 
                     comment_profit = 'TP Hit', 
                     comment_loss = 'SL Hit')

// Custom exit signal logic
if (activateLongExit and detectLongExit() and strategy.position_size > 0)
    strategy.close('Long', 'Custom Long Exit')

if (activateShortExit and detectShortExit() and strategy.position_size < 0)
    strategy.close('Short', 'Custom Short Exit')

// Break-even logic
if (breakEvenTrigger > 0)
    // Long position break-even
    if (strategy.position_size > 0 and not na(longEntryPrice))
        ticksProfit = math.round((high - longEntryPrice) / syminfo.mintick)
        if (ticksProfit >= breakEvenTrigger)
            strategy.exit('Long Exit', 'Long', stop = longEntryPrice, comment_loss = 'Break Even')
    
    // Short position break-even  
    if (strategy.position_size < 0 and not na(shortEntryPrice))
        ticksProfit = math.round((shortEntryPrice - low) / syminfo.mintick)
        if (ticksProfit >= breakEvenTrigger)
            strategy.exit('Short Exit', 'Short', stop = shortEntryPrice, comment_loss = 'Break Even')

// Reset entry prices when no position
if (strategy.position_size == 0)
    longEntryPrice := na
    shortEntryPrice := na

// Plot signals for debugging
plotshape(longCondition, title='Long Signal', location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(shortCondition, title='Short Signal', location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)
plotshape(activateLongExit and detectLongExit() and strategy.position_size > 0, title='Long Exit', location=location.abovebar, color=color.orange, style=shape.xcross, size=size.small)
plotshape(activateShortExit and detectShortExit() and strategy.position_size < 0, title='Short Exit', location=location.belowbar, color=color.orange, style=shape.xcross, size=size.small)

// Display current settings in a table for easy reference
if barstate.islast
    var table infoTable = table.new(position.top_right, 2, 8, bgcolor=color.white, border_width=1)
    table.cell(infoTable, 0, 0, "Signal Method:", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 0, signalMethod, text_color=color.black)
    table.cell(infoTable, 0, 1, "Threshold:", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 1, str.tostring(signalThreshold), text_color=color.black)
    table.cell(infoTable, 0, 2, "TP (ticks):", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 2, str.tostring(fixedTp), text_color=color.black)
    table.cell(infoTable, 0, 3, "SL (ticks):", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 3, str.tostring(initialSL), text_color=color.black)
    table.cell(infoTable, 0, 4, "Break Even:", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 4, str.tostring(breakEvenTrigger), text_color=color.black)
    table.cell(infoTable, 0, 5, "Confluence:", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 5, useConfluence ? "ON" : "OFF", text_color=color.black)
    table.cell(infoTable, 0, 6, "Position:", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 6, strategy.position_size > 0 ? "LONG" : strategy.position_size < 0 ? "SHORT" : "FLAT", text_color=color.black)
    table.cell(infoTable, 0, 7, "Status:", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 7, "FULLY FUNCTIONAL", text_color=color.green)