다단계 추세 모멘텀 거래 전략 및 ATR 위험 관리 시스템

/*backtest
start: 2025-06-20 00:00:00
end: 2025-07-20 00:00:00
period: 15m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":2000000}]
*/

//@version=5
strategy("Gold 15m Candle + MACD Strategy with SL/TP & Price Levels", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// === MACD Settings ===
fastLength = input.int(12, title="MACD Fast Length")
slowLength = input.int(26, title="MACD Slow Length")
signalSmoothing = input.int(9, title="MACD Signal Smoothing")
[macdLine, signalLine, _] = ta.macd(close, fastLength, slowLength, signalSmoothing)

macdBullish = ta.crossover(macdLine, signalLine)
macdBearish = ta.crossunder(macdLine, signalLine)

// === Candlestick Patterns ===
// Bullish Engulfing
bullishEngulfing = close[1] < open[1] and close > open and close > open[1] and open < close[1]
// Bearish Engulfing
bearishEngulfing = close[1] > open[1] and close < open and close < open[1] and open > close[1]
// Hammer (bullish)
hammer = close > open and (high - low) > 2 * (open - close) and (close - low) / (0.001 + high - low) > 0.6
// Shooting Star (bearish)
shootingStar = open > close and (high - low) > 2 * (open - close) and (high - open) / (0.001 + high - low) > 0.6

// === Entry Signals ===
longSignal = (bullishEngulfing or hammer) and macdBullish
shortSignal = (bearishEngulfing or shootingStar) and macdBearish

// === ATR-Based SL/TP ===
atrLen = input.int(14, title="ATR Length")
atr = ta.atr(atrLen)

slMultiplier = input.float(1.5, title="Stop Loss (x ATR)")
tpMultiplier = input.float(2.0, title="Take Profit (x ATR)")

// Variables to hold current trade levels
var float entryPrice = na
var float stopLossPrice = na
var float takeProfitPrice = na

// === Execute Entry and calculate levels on next bar after signal ===
if longSignal
    strategy.entry("Long", strategy.long)
    entryPrice := close  // Entry price at signal candle close (approximate next candle open)
    stopLossPrice := entryPrice - slMultiplier * atr
    takeProfitPrice := entryPrice + tpMultiplier * atr
    strategy.exit("Long Exit", from_entry="Long", stop=stopLossPrice, limit=takeProfitPrice)

if shortSignal
    strategy.entry("Short", strategy.short)
    entryPrice := close
    stopLossPrice := entryPrice + slMultiplier * atr
    takeProfitPrice := entryPrice - tpMultiplier * atr
    strategy.exit("Short Exit", from_entry="Short", stop=stopLossPrice, limit=takeProfitPrice)

// === Plot Signals ===
plotshape(longSignal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="BUY")
plotshape(shortSignal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="SELL")

// === Plot Entry, SL, TP Levels ===
plot(entryPrice, title="Entry Price", color=color.yellow, style=plot.style_linebr, linewidth=2)
plot(stopLossPrice, title="Stop Loss", color=color.red, style=plot.style_linebr, linewidth=2)
plot(takeProfitPrice, title="Take Profit", color=color.green, style=plot.style_linebr, linewidth=2)

// === Labels for price levels on chart ===
if (strategy.position_size > 0)
    label.new(bar_index, entryPrice, text="Entry: " + str.tostring(entryPrice, format.mintick), color=color.yellow, style=label.style_label_left, yloc=yloc.price, size=size.small)
    label.new(bar_index, stopLossPrice, text="SL: " + str.tostring(stopLossPrice, format.mintick), color=color.red, style=label.style_label_left, yloc=yloc.price, size=size.small)
    label.new(bar_index, takeProfitPrice, text="TP: " + str.tostring(takeProfitPrice, format.mintick), color=color.green, style=label.style_label_left, yloc=yloc.price, size=size.small)
else if (strategy.position_size < 0)
    label.new(bar_index, entryPrice, text="Entry: " + str.tostring(entryPrice, format.mintick), color=color.yellow, style=label.style_label_left, yloc=yloc.price, size=size.small)
    label.new(bar_index, stopLossPrice, text="SL: " + str.tostring(stopLossPrice, format.mintick), color=color.red, style=label.style_label_left, yloc=yloc.price, size=size.small)
    label.new(bar_index, takeProfitPrice, text="TP: " + str.tostring(takeProfitPrice, format.mintick), color=color.green, style=label.style_label_left, yloc=yloc.price, size=size.small)