변동성 필터링 및 동적 위험 관리를 갖춘 다중 요인 ALMA-ATR 적응형 추세 추종 전략

/*backtest
start: 2024-07-30 00:00:00
end: 2025-07-28 08:00:00
period: 4h
basePeriod: 4h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © blntduman

//@version=5
strategy(title="ALMA Optimized Strategy - Volatilite Filtresi + UT Bot", overlay=true)

// USER INPUTS
fast_ema_length = input.int(20, title="Hızlı EMA Length", minval=5, maxval=40)
atr_length = input(14, title="ATR Length")
ema_length = input(72, title="EMA Length")
adx_length = input.int(10, title="ADX Length")
rsi_length = input(14, title="RSI Length")
rsi_overbought = 70
rsi_oversold = 30
cooldown_bars = input.int(7, title="Cooldown Bars (Same Signal Block)", minval=1)
bb_mult = input.float(3.0, title="Bollinger Band Multiplier")
sl_atr_mult = input.float(5.0, title="Stop Loss Multiplier", minval=0.1)
tp_atr_mult = input.float(4.0, title="Take Profit Multiplier", minval=0.1)
time_based_exit = input.int(0, title="Time Based Exit (Bars)", minval=0)  // 0 is disabled
min_atr = input.float(0.005, title="Minimum ATR", minval=0.0001)  // Minimum ATR value

// Quick EMA Calculation
fast_ema = ta.ema(close, fast_ema_length)
plot(fast_ema, title="Quick EMA", color=color.orange)

// ALMA9 Calculation
alma9 = ta.alma(close, 15, 0.65, 6)
var color almaColor1 = na
almaColor1 := close > alma9 ? color.green : color.red
plot(alma9, title="ALMA9", color=almaColor1)

// EMA 50 Calculation
ema50 = ta.ema(close, ema_length)
plot(ema50, "EMA 50", color=color.blue, linewidth=5)

// ADX Calculation
[_, _, adx] = ta.dmi(adx_length, 14)

// RSI Calculation
rsi = ta.rsi(close, rsi_length)

// ATR Based Stop-Loss and Take-Profit
atr = ta.atr(atr_length)
stop_loss = atr * sl_atr_mult
profit_target = atr * tp_atr_mult

// Bollinger Bands
bb_basis = ta.sma(close, 20)
bb_dev = bb_mult * ta.stdev(close, 20)
bb_upper = bb_basis + bb_dev
bb_lower = bb_basis - bb_dev
plot(bb_upper, "Bollinger Upper", color=#4f0489)
plot(bb_lower, "Bollinger Lower", color=#4f0489)

//Variables to follow the previous signal
var int last_buy_bar = na
var int last_sell_bar = na
var int entry_bar_index = na
var string last_signal = ""

// Volatilite Filter
volatilite_filtresi = atr > min_atr

// BUY Conditions
buy_condition = volatilite_filtresi and close > ema50 and (close > alma9 )  and rsi > rsi_oversold and rsi > 30 and adx > 30 and close < bb_upper and (na(last_buy_bar) or bar_index - last_buy_bar > cooldown_bars) and (last_signal != "BUY")

// SELL Conditions
sell_condition = volatilite_filtresi and ta.crossunder(close, fast_ema) and (last_signal != "SELL") 

if (buy_condition)
    strategy.entry("BUY", strategy.long)
    last_buy_bar := bar_index
    entry_bar_index := bar_index
    last_signal := "BUY"

if (sell_condition)
    strategy.close("BUY")
    strategy.entry("SELL", strategy.short)
    last_sell_bar := bar_index
    last_signal := "SELL"

// Exit Strategy
if time_based_exit > 0
    strategy.exit("BUY_EXIT", from_entry="BUY", loss=stop_loss, profit=profit_target, when=bar_index - entry_bar_index >= time_based_exit)
else
    strategy.exit("BUY_EXIT", from_entry="BUY", loss=stop_loss, profit=profit_target)

strategy.exit("SELL_EXIT", from_entry="SELL", loss=stop_loss, profit=profit_target)

// Sinyalleri Görselleştirme
plotshape(series=buy_condition, location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small, title="BUY Signal", text="BUY", textcolor=#090000)
plotshape(series=sell_condition, location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small, title="SELL Signal", text="SELL", textcolor=#090000)

//----------------------------------------------------------------------------
// UT Bot Inputları
//----------------------------------------------------------------------------

a = input.int(1,     title = "UT Bot: Key Value. 'This changes the sensitivity'")
c = input.int(10,    title = "UT Bot: ATR Period")
h = input.bool(false, title = "UT Bot: Signals from Heikin Ashi Candles")

//----------------------------------------------------------------------------
// UT Bot Calculation
//----------------------------------------------------------------------------

xATR  = ta.atr(c)
nLoss = a * xATR

src = h ? request.security(syminfo.tickerid, timeframe.period, close, lookahead = barmerge.lookahead_on) : close

var float xATRTrailingStop = 0.0
xATRTrailingStop := if src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0)
    math.max(nz(xATRTrailingStop[1]), src - nLoss)
else
    if src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0)
        math.min(nz(xATRTrailingStop[1]), src + nLoss)
    else
        if src > nz(xATRTrailingStop[1], 0)
            src - nLoss
        else
            src + nLoss

var int pos = 0
pos := if src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0)
    1
else
    if src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0)
        -1
    else
        nz(pos[1], 0)

xcolor = pos == -1 ? color.red : pos == 1 ? color.green : color.blue

ema_ut   = ta.ema(src,1)
above = ta.crossover(ema_ut, xATRTrailingStop)
below = ta.crossunder(xATRTrailingStop, ema_ut)

buy_ut  = src > xATRTrailingStop and above
sell_ut = src < xATRTrailingStop and below

barbuy  = src > xATRTrailingStop
barsell = src < xATRTrailingStop

//----------------------------------------------------------------------------
// Alarms (UT Bot Tan)
//----------------------------------------------------------------------------

alertcondition(buy_ut,  "UT Long",  "UT Long")
alertcondition(sell_ut, "UT Short", "UT Short")

//----------------------------------------------------------------------------
// Plots (from UT Bot)
//----------------------------------------------------------------------------

// Making the UT Bot Alert Line Two-Color
linecolor = close > xATRTrailingStop ? color.green : color.red
plot(xATRTrailingStop, color=linecolor, title="ATR Trailing Stop")

// UT Bot Buy/Sell Articles
plotshape(series=buy_condition, location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small, title="BUY Signal", text="BUY", textcolor=#090000)
plotshape(series=sell_condition, location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small, title="SELL Signal", text="SELL", textcolor=#090000)