이중 지수 이동 평균 추세 추적 및 변동성 지능형 필터링 전략

/*backtest
start: 2024-08-01 00:00:00
end: 2025-07-30 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Dubic EMA Strategy", overlay=true, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100,
     initial_capital=10000,
     currency=currency.USD,
     commission_value=0.1,
     pyramiding=0,
     calc_on_every_tick=true)

// Inputs
ema_length = input.int(40, "EMA Length")
tp_percent = input.float(2.0, "Take Profit %", step=0.1, minval=0.1) / 100
sl_offset = input.float(0.5, "Stop Loss Offset %", step=0.1, minval=0.1) / 100

// Toggles for SL/TP
use_take_profit = input.bool(true, "Use Take Profit")
use_stop_loss = input.bool(true, "Use Stop Loss")

// Range Detection
range_length = input.int(20, "Range Detection Length", minval=5)
range_threshold = input.float(2.0, "Range Threshold %", step=0.1) / 100
min_range_bars = input.int(3, "Min Range Bars", minval=1)

// Parabolic SAR
use_parabolic_sar = input.bool(true, "Use Parabolic SAR Trailing Stop")
sar_start = input.float(0.02, "SAR Start", step=0.01)
sar_increment = input.float(0.02, "SAR Increment", step=0.01)
sar_max = input.float(0.2, "SAR Maximum", step=0.01)

// ATR Stop Configuration
use_atr_stop = input.bool(true, "Use ATR Stop Instead of Fixed %")
atr_length = input.int(14, "ATR Length")
atr_mult = input.float(1.5, "ATR Multiplier", minval=0.5)

// Volatility Filter
min_atr = input.float(0.5, "Min ATR % for Trading", step=0.1) / 100
use_volatility_filter = input.bool(true, "Enable Volatility Filter")

// Unbroken Range Visualization
show_unbroken_range = input.bool(true, "Show Unbroken Range Visualization", group="Unbroken Range")
unbroken_length = input.int(20, 'Minimum Range Length', minval=2, group="Unbroken Range")
unbroken_mult = input.float(1., 'Range Width', minval=0, step=0.1, group="Unbroken Range")
unbroken_atrLen = input.int(500, 'ATR Length', minval=1, group="Unbroken Range")
upCss = input.color(#089981, 'Broken Upward', group="Unbroken Range")
dnCss = input.color(#f23645, 'Broken Downward', group="Unbroken Range")
unbrokenCss = input.color(#2157f3, 'Unbroken', group="Unbroken Range")

// Calculate Indicators
ema_high = ta.ema(high, ema_length)
ema_low = ta.ema(low, ema_length)
ema_200 = ta.ema(close, 200)
sar = ta.sar(sar_start, sar_increment, sar_max)
atr = ta.atr(atr_length)

// Volatility Filter
atr_percentage = (atr / close) * 100
sufficient_volatility = not use_volatility_filter or (atr_percentage >= min_atr * 100)

// Range Detection Logic
range_high = ta.highest(high, range_length)
range_low = ta.lowest(low, range_length)
range_size = range_high - range_low
range_percentage = (range_size / close) * 100
range_condition = range_percentage <= (range_threshold * 100)

// Consecutive range bars counter
var int range_bars_count = 0
range_bars_count := range_condition ? range_bars_count + 1 : 0
in_range = range_bars_count >= min_range_bars

// Visualize Range
bgcolor(in_range ? color.new(color.purple, 85) : na, title="Range Zone")
plot(in_range ? range_high : na, "Range High", color=color.purple, linewidth=2, style=plot.style_linebr)
plot(in_range ? range_low : na, "Range Low", color=color.purple, linewidth=2, style=plot.style_linebr)

// Trading Conditions
buy_condition = (close > ema_high) and (close > ema_low)
sell_condition = (close < ema_high) and (close < ema_low)

// Apply Filters
buy_signal = buy_condition and not in_range and sufficient_volatility
sell_signal = sell_condition and not in_range and sufficient_volatility

// Trend State Machine
var int currentTrend = 0  // 0=neutral, 1=long, -1=short
var bool showBuy = false
var bool showSell = false

trendChanged = false
if buy_signal and currentTrend != 1
    currentTrend := 1
    trendChanged := true
    showBuy := true
    showSell := false
else if sell_signal and currentTrend != -1
    currentTrend := -1
    trendChanged := true
    showBuy := false
    showSell := true

// Reset signals
showBuy := nz(showBuy[1]) and not trendChanged ? false : showBuy
showSell := nz(showSell[1]) and not trendChanged ? false : showSell

// Plot Indicators
plot(ema_high, "EMA High", color=color.blue, linewidth=2)
plot(ema_low, "EMA Low", color=color.orange, linewidth=2)
plot(ema_200, "200 EMA", color=color.white, linewidth=3)

// Plot SAR with color coding
color sarColor = strategy.position_size > 0 ? color.red : 
               strategy.position_size < 0 ? color.green : 
               color.gray
plot(use_parabolic_sar ? sar : na, "SAR", style=plot.style_circles, color=sarColor, linewidth=2)

// Plot signals
plotshape(showBuy, title="Buy Signal", text="BUY", style=shape.labelup, 
          location=location.belowbar, color=color.green, textcolor=color.white, size=size.tiny)
plotshape(showSell, title="Sell Signal", text="SELL", style=shape.labeldown, 
          location=location.abovebar, color=color.red, textcolor=color.white, size=size.tiny)

// Strategy Logic
var float long_sl = na
var float long_tp = na
var float short_sl = na
var float short_tp = na
var float long_trail_stop = na
var float short_trail_stop = na

// Position Sizing with Volatility Scaling
position_size = use_volatility_filter ? math.min(100, 100 * (min_atr * 100) / atr_percentage) : 100

// Execute trades
if (showBuy)
    // Calculate stop loss and take profit
    long_sl := use_atr_stop ? close - atr * atr_mult : ema_low * (1 - sl_offset)
    long_tp := close * (1 + tp_percent)
    long_trail_stop := use_parabolic_sar ? sar : na
    
    strategy.close("Short", comment="Exit Short")
    strategy.entry("Long", strategy.long, qty=position_size)
    
    // Set exit orders with toggle support
    if use_stop_loss or use_take_profit
        strategy.exit("Long SL/TP", "Long", 
             stop=use_stop_loss ? long_sl : na, 
             limit=use_take_profit ? long_tp : na)
    
    if use_parabolic_sar
        strategy.exit("Long SAR", "Long", stop=long_trail_stop)
    
    alert("BUY: " + syminfo.ticker, alert.freq_once_per_bar)
    
if (showSell)
    // Calculate stop loss and take profit
    short_sl := use_atr_stop ? close + atr * atr_mult : ema_high * (1 + sl_offset)
    short_tp := close * (1 - tp_percent)
    short_trail_stop := use_parabolic_sar ? sar : na
    
    strategy.close("Long", comment="Exit Long")
    strategy.entry("Short", strategy.short, qty=position_size)
    
    // Set exit orders with toggle support
    if use_stop_loss or use_take_profit
        strategy.exit("Short SL/TP", "Short", 
             stop=use_stop_loss ? short_sl : na, 
             limit=use_take_profit ? short_tp : na)
    
    if use_parabolic_sar
        strategy.exit("Short SAR", "Short", stop=short_trail_stop)
    
    alert("SELL: " + syminfo.ticker, alert.freq_once_per_bar)

// Update SAR trailing stops
if barstate.isrealtime and use_parabolic_sar
    if strategy.position_size > 0
        strategy.exit("Long SAR", "Long", stop=long_trail_stop)
    else if strategy.position_size < 0
        strategy.exit("Short SAR", "Short", stop=short_trail_stop)

// Plot SL/TP levels with toggle support
plot(strategy.position_size > 0 and use_stop_loss ? long_sl : na, "Long Stop", color=color.red, style=plot.style_linebr, linewidth=2)
plot(strategy.position_size > 0 and use_take_profit ? long_tp : na, "Long Take Profit", color=color.green, style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 and use_stop_loss ? short_sl : na, "Short Stop", color=color.red, style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 and use_take_profit ? short_tp : na, "Short Take Profit", color=color.green, style=plot.style_linebr, linewidth=2)

// Plot SAR trailing stops
plot(strategy.position_size > 0 and use_parabolic_sar ? long_trail_stop : na, 
     "Long Trail Stop", color=color.orange, style=plot.style_circles, linewidth=2)
plot(strategy.position_size < 0 and use_parabolic_sar ? short_trail_stop : na, 
     "Short Trail Stop", color=color.orange, style=plot.style_circles, linewidth=2)

// Alerts
alertcondition(showBuy, title="Buy Alert", message="BUY: {{ticker}}")
alertcondition(showSell, title="Sell Alert", message="SELL: {{ticker}}")