다중 시간대 캔들스틱 패턴 돌파 동적 위험 관리 양적 거래 전략

/*backtest
start: 2024-08-11 00:00:00
end: 2025-08-09 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
// --- FIXED PARAMETER STRATEGY ---
// This is a finished script with pre-set values as requested.
// Initial Capital: $1,000
// Risk Per Trade: 2% of Equity
// Bullish R/R: 1:5 | Bearish R/R: 1:4

strategy("Fixed Candlestick Breakout Strategy",
         overlay=true,
         initial_capital=1000,
         commission_value=0.075, // Realistic commission for crypto exchanges
         commission_type=strategy.commission.percent)

// --- Fixed Parameters (No Inputs) ---
longProfitRatio = 5.0
shortProfitRatio = 4.0
riskPercent = 0.02 // 2% risk per trade

// --- Candlestick Pattern Detection ---
bodySize = math.abs(close - open)
upperWick = high - math.max(open, close)
lowerWick = math.min(open, close) - low

// Bullish Signal Logic: Hammer OR Bullish Engulfing
isHammer = lowerWick > bodySize * 2 and upperWick < bodySize * 0.5
isBullishEngulfing = close > open and close[1] < open[1] and close > open[1] and open < close[1]
isBullishSignal = isHammer or isBullishEngulfing

// Bearish Signal Logic: Shooting Star OR Bearish Engulfing
isShootingStar = upperWick > bodySize * 2 and lowerWick < bodySize * 0.5
isBearishEngulfing = close < open and close[1] > open[1] and close < open[1] and open > close[1]
isBearishSignal = isShootingStar or isBearishEngulfing

// --- State Management ---
// We use 'var' to track the signal candle's data and wait for a breakout
var bool waitingForBullishEntry = false
var bool waitingForBearishEntry = false
var float signalHigh = na
var float signalLow = na

// Set the state when a signal candle is identified
if isBullishSignal
    waitingForBullishEntry := true
    waitingForBearishEntry := false
    signalHigh := high
    signalLow := low

if isBearishSignal
    waitingForBearishEntry := true
    waitingForBullishEntry := false
    signalHigh := high
    signalLow := low

// --- Entry and Exit Logic ---
// Only look for entries if we are flat (no open position)
if strategy.position_size == 0
    // Bullish Entry: Trigger on the candle AFTER the signal candle
    if waitingForBullishEntry[1] and high > signalHigh[1]
        entryPrice = signalHigh[1]
        stopLossPrice = signalLow[1]
        riskPerUnit = entryPrice - stopLossPrice

        // Position Size Calculation (2% Risk)
        capitalToRisk = strategy.equity * riskPercent
        positionSize = riskPerUnit > 0 ? capitalToRisk / riskPerUnit : 0

        if positionSize > 0
            takeProfitPrice = entryPrice + (riskPerUnit * longProfitRatio)
            strategy.entry("Long", strategy.long, qty=positionSize, stop=entryPrice)
            strategy.exit("Long Exit", from_entry="Long", loss=stopLossPrice, limit=takeProfitPrice)
            waitingForBullishEntry := false // Reset state

    // Bearish Entry: Trigger on the candle AFTER the signal candle
    if waitingForBearishEntry[1] and low < signalLow[1]
        entryPrice = signalLow[1]
        stopLossPrice = signalHigh[1]
        riskPerUnit = stopLossPrice - entryPrice

        // Position Size Calculation (2% Risk)
        capitalToRisk = strategy.equity * riskPercent
        positionSize = riskPerUnit > 0 ? capitalToRisk / riskPerUnit : 0

        if positionSize > 0
            takeProfitPrice = entryPrice - (riskPerUnit * shortProfitRatio)
            strategy.entry("Short", strategy.short, qty=positionSize, stop=entryPrice)
            strategy.exit("Short Exit", from_entry="Short", loss=stopLossPrice, limit=takeProfitPrice)
            waitingForBearishEntry := false // Reset state

// Invalidate the signal if a breakout doesn't happen on the next candle
if waitingForBullishEntry and not isBullishSignal
    waitingForBullishEntry := false
if waitingForBearishEntry and not isBearishSignal
    waitingForBearishEntry := false

// --- Visuals ---
// Plot markers on the chart for identified signal candles
plotshape(isBullishSignal, "Bullish Signal", shape.triangleup, location.belowbar, color.new(color.green, 20), size=size.small)
plotshape(isBearishSignal, "Bearish Signal", shape.triangledown, location.abovebar, color.new(color.red, 20), size=size.small)