향상된 멀티 필터 슈퍼트렌드 전략

/*backtest
start: 2024-08-04 00:00:00
end: 2025-08-02 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

//@version=5
strategy("Advanced Supertrend Strategy", shorttitle="AdvST", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.1)

// === INPUT PARAMETERS ===
// Supertrend Settings
atr_length = input.int(6, title="ATR Length", minval=1, tooltip="Length for ATR calculation in Supertrend", group="Supertrend Settings")
multiplier = input.float(3.0, title="Supertrend Multiplier", minval=0.1, step=0.1, tooltip="Multiplier for ATR in Supertrend calculation", group="Supertrend Settings")

// RSI Filter
use_rsi_filter = input.bool(false, title="Enable RSI Filter", tooltip="Use RSI to filter signals", group="RSI Filter")
rsi_length = input.int(14, title="RSI Length", minval=1, tooltip="Length for RSI calculation", group="RSI Filter")
rsi_overbought = input.int(70, title="RSI Overbought", minval=50, maxval=100, tooltip="RSI overbought level", group="RSI Filter")
rsi_oversold = input.int(30, title="RSI Oversold", minval=0, maxval=50, tooltip="RSI oversold level", group="RSI Filter")

// Moving Average Filter
use_ma_filter = input.bool(true, title="Enable MA Filter", tooltip="Use Moving Average trend filter", group="MA Filter")
ma_length = input.int(50, title="MA Length", minval=1, tooltip="Length for Moving Average", group="MA Filter")
ma_type = input.string("WMA", title="MA Type", options=["SMA", "EMA", "WMA"], tooltip="Type of Moving Average", group="MA Filter")

// Risk Management
use_stop_loss = input.bool(true, title="Enable Stop Loss", tooltip="Use stop loss based on ATR", group="Risk Management")
sl_multiplier = input.float(3.0, title="Stop Loss ATR Multiplier", minval=0.1, step=0.1, tooltip="Stop loss distance in ATR multiples", group="Risk Management")
use_take_profit = input.bool(true, title="Enable Take Profit", tooltip="Use take profit based on ATR", group="Risk Management")
tp_multiplier = input.float(9.0, title="Take Profit ATR Multiplier", minval=0.1, step=0.1, tooltip="Take profit distance in ATR multiples", group="Risk Management")

// Advanced Features
use_trend_strength = input.bool(false, title="Enable Trend Strength Filter", tooltip="Filter weak trends", group="Advanced Features")
min_trend_bars = input.int(2, title="Minimum Trend Bars", minval=1, tooltip="Minimum bars in trend direction", group="Advanced Features")
use_breakout_confirmation = input.bool(true, title="Enable Breakout Confirmation", tooltip="Wait for price to break supertrend level", group="Advanced Features")

// Date Range for Backtesting
in_date_range = true 

// === TECHNICAL INDICATORS ===
// Supertrend Calculation
atr = ta.atr(atr_length)
hl2_val = hl2
up = hl2_val - (multiplier * atr)
down = hl2_val + (multiplier * atr)

var float trend_up = na
var float trend_down = na
var int trend = 1

trend_up := close[1] > trend_up[1] ? math.max(up, trend_up[1]) : up
trend_down := close[1] < trend_down[1] ? math.min(down, trend_down[1]) : down

trend := close <= trend_down[1] ? -1 : close >= trend_up[1] ? 1 : nz(trend[1], 1)

supertrend = trend == 1 ? trend_up : trend_down
supertrend_color = trend == 1 ? color.green : color.red

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

// Moving Average Calculation
ma = ma_type == "SMA" ? ta.sma(close, ma_length) : ma_type == "EMA" ? ta.ema(close, ma_length) : ta.wma(close, ma_length)

// Trend Strength Analysis
var int trend_strength = 0
if trend != trend[1]
    trend_strength := 1
else
    trend_strength := trend_strength[1] + 1

// === SIGNAL GENERATION ===
// Basic Supertrend Signals
supertrend_bullish = trend == 1 and trend[1] == -1  // Supertrend changes from bearish to bullish
supertrend_bearish = trend == -1 and trend[1] == 1  // Supertrend changes from bullish to bearish

// Advanced Signal Filters
rsi_buy_condition = not use_rsi_filter or (rsi > rsi_oversold and rsi < rsi_overbought)
rsi_sell_condition = not use_rsi_filter or (rsi < rsi_overbought and rsi > rsi_oversold)

ma_buy_condition = not use_ma_filter or close > ma
ma_sell_condition = not use_ma_filter or close < ma

trend_strength_condition = not use_trend_strength or trend_strength >= min_trend_bars

breakout_buy_condition = not use_breakout_confirmation or close > supertrend[1]
breakout_sell_condition = not use_breakout_confirmation or close < supertrend[1]

// Final Signal Logic
buy_signal = supertrend_bullish and rsi_buy_condition and ma_buy_condition and trend_strength_condition and breakout_buy_condition and in_date_range
sell_signal = supertrend_bearish and rsi_sell_condition and ma_sell_condition and trend_strength_condition and breakout_sell_condition and in_date_range

// === STRATEGY EXECUTION ===
// Entry Logic
if buy_signal and strategy.position_size <= 0
    entry_price = close
    stop_loss_price = use_stop_loss ? entry_price - (atr * sl_multiplier) : na
    take_profit_price = use_take_profit ? entry_price + (atr * tp_multiplier) : na
    
    strategy.entry("Long", strategy.long, alert_message="Advanced Supertrend BUY Signal")
    
    if use_stop_loss
        strategy.exit("Long SL/TP", "Long", stop=stop_loss_price, limit=take_profit_price)

if sell_signal and strategy.position_size >= 0
    entry_price = close
    stop_loss_price = use_stop_loss ? entry_price + (atr * sl_multiplier) : na
    take_profit_price = use_take_profit ? entry_price - (atr * tp_multiplier) : na
    
    strategy.entry("Short", strategy.short, alert_message="Advanced Supertrend SELL Signal")
    
    if use_stop_loss
        strategy.exit("Short SL/TP", "Short", stop=stop_loss_price, limit=take_profit_price)