시장 단계 이론 전략

/*backtest
start: 2024-09-29 00:00:00
end: 2025-09-26 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Bybit","currency":"ETH_USDT","balance":500000}]
*/

//@version=5
strategy("CRT Theory — CRT Candle + Phases (configurable)", overlay=true, margin_long=100, margin_short=100)

// ---------------------- INPUTS ----------------------
rangeLen        = input.int(20, "Avg Range Length (bars)")
volLen          = input.int(20, "Avg Volume Length (bars)")
rangeMult       = input.float(1.6, "Range Multiplier for CRT candle", step=0.1)
volMult         = input.float(1.5, "Volume Multiplier for CRT candle", step=0.1)
bodyRatio       = input.float(0.45, "Min body / range (CRT candle)", step=0.01)
wickRatio       = input.float(0.25, "Max wick (each) relative to body (CRT candle)", step=0.01)
manipWickRatio  = input.float(1.2, "Manipulation (shakeout) wick ratio (wick > body * x)", step=0.1)
accumLen        = input.int(10, "Accumulation lookback length (bars)")
distLen         = input.int(10, "Distribution lookback length (bars)")
accLowVolFactor = input.float(0.6, "Accumulation: stdev(range) < avgRange * factor", step=0.05)
distLowVolFactor= input.float(0.6, "Distribution: stdev(range) < avgRange * factor", step=0.05)
phaseLookback   = input.int(50, "Phase detection lookback (bars)")
enableLongs     = input.bool(true, "Enable long entries on Manipulation bullish signal")
enableShorts    = input.bool(false, "Enable short entries on Distribution bearish signal")
takeProfitPips  = input.float(200.0, "TP (pips / points)", step=1)
stopLossPips    = input.float(100.0, "SL (pips / points)", step=1)

// ---------------------- BASICS ----------------------
range_val   = high - low
avgRange    = ta.sma(range_val, rangeLen)
stdevRange  = ta.stdev(range_val, rangeLen)
avgVol      = ta.sma(volume, volLen)

// candle geometry
candleBody  = math.abs(close - open)
upperWick   = high - math.max(open, close)
lowerWick   = math.min(open, close) - low  // positive value

// Avoid NaN negatives
lowerWick := math.max(lowerWick, 0.0)

// ---------------------- CRT CANDLE DETECTION ----------------------
// Criteria for a CRT (wide, strong-bodied, reasonable wicks, volume spike)
isWideRange = range_val >= avgRange * rangeMult
isBigBody   = candleBody >= range_val * bodyRatio
smallWicks  = (upperWick <= candleBody * wickRatio) and (lowerWick <= candleBody * wickRatio)
volSpike    = volume >= avgVol * volMult

isCRT = isWideRange and isBigBody and smallWicks and volSpike

// Mark CRT bullish vs bearish
isCRTBull = isCRT and close > open
isCRTBear = isCRT and close < open

// Plot CRT candle label
plotshape(isCRT, title="CRT Candle", style=shape.labelup, text="CRT", textcolor=color.white, location=location.abovebar, size=size.tiny, color=isCRTBull ? color.new(color.green, 5) : color.new(color.red, 5))

// Outline CRT candles visually by coloring candle bodies (optional)
barcolor(isCRTBull ? color.new(color.green, 80) : isCRTBear ? color.new(color.red, 80) : na)

// ---------------------- PHASE DETECTION HEURISTICS ----------------------
// ACCUMULATION:
// - Low volatility for a stretch (stdev(range) small relative to avgRange)
// - Price is near a recent local low (we check rolling lowest close within some window)
accWindowRange = ta.sma(range_val, accumLen)
acc_stdev = ta.stdev(range_val, accumLen)
priceNearLow = close <= ta.lowest(close, phaseLookback) * 1.005  // within 0.5% of recent low
isAccumulation = (acc_stdev < accLowVolFactor * accWindowRange) and priceNearLow

// DISTRIBUTION:
// - Low volatility near a recent high
distWindowRange = ta.sma(range_val, distLen)
dist_stdev = ta.stdev(range_val, distLen)
priceNearHigh = close >= ta.highest(close, phaseLookback) * 0.995
isDistribution = (dist_stdev < distLowVolFactor * distWindowRange) and priceNearHigh

// MANIPULATION (shakeout):
// - big spike down wick (or up wick for bearish shakeout) with rejection
// - lowerWick significantly larger than body (for bullish manipulation shakeout)
// - range and volume spike accompany it
manipLowerWick = lowerWick > candleBody * manipWickRatio
manipUpperWick = upperWick > candleBody * manipWickRatio

manipRangeSpike = range_val >= avgRange * (rangeMult * 0.9)
manipVolSpike = volume >= avgVol * volMult

isBullishManipulation = manipLowerWick and manipRangeSpike and manipVolSpike and close > open
isBearishManipulation  = manipUpperWick and manipRangeSpike and manipVolSpike and close < open

// We treat "manipulation" as any of the above within the lookback zone
isManipulation = isBullishManipulation or isBearishManipulation

// ---------------------- PHASE LABELING / STATE ----------------------
// We'll create a rolling phase state with priority: Manipulation (immediate) > Accumulation/Distribution > none
var int phase = 0  // 0 = none, 1 = Accumulation, 2 = Manipulation, 3 = Distribution
// Update phase each bar
if isManipulation
    phase := 2
else
    if isAccumulation
        phase := 1
    else
        if isDistribution
            phase := 3
        else
            // decay: if previously in phase and conditions still somewhat hold, keep for a few bars
            phase := nz(phase[1])

// Background shading
bgColor = phase == 1 ? color.new(color.green, 90) : phase == 2 ? color.new(color.yellow, 90) : phase == 3 ? color.new(color.red, 90) : na
bgcolor(bgColor)

// Draw phase labels on chart
var label phaseLbl = na
if barstate.islast
    label.delete(phaseLbl)
    phaseTxt = switch phase
        1 => "ACCUMULATION"
        2 => "MANIPULATION"
        3 => "DISTRIBUTION"
        => "—"
    phaseLbl := label.new(bar_index, high, text=phaseTxt, style=label.style_label_left, color=color.black, textcolor=color.white, size=size.small)

// Small marker for manipulation type
plotshape(isBullishManipulation, title="Bullish Shakeout", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.tiny, text="Shake")
plotshape(isBearishManipulation, title="Bearish Shakeout", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.tiny, text="Shake")

// ---------------------- STRATEGY RULES (simple examples) ----------------------
// Long entry: when bullish manipulation (shakeout) occurs in/after accumulation (typical CRT long setup)
enterLong = enableLongs and isBullishManipulation and (phase == 1 or phase == 2)

// Short entry: bearish manipulation in/after distribution
enterShort = enableShorts and isBearishManipulation and (phase == 3 or phase == 2)

// Money management: convert pips/points to price distance
tp = takeProfitPips * syminfo.mintick
sl = stopLossPips * syminfo.mintick

if enterLong
    strategy.entry("CRT Long", strategy.long)
    strategy.exit("ExitLong", "CRT Long", stop=close - sl, limit=close + tp)

if enterShort
    strategy.entry("CRT Short", strategy.short)
    strategy.exit("ExitShort", "CRT Short", stop=close + sl, limit=close - tp)

// Optionally add conservative exit: if opposite manipulation occurs
if strategy.position_size > 0 and isBearishManipulation
    strategy.close("CRT Long", comment="Opposite Manipulation")
if strategy.position_size < 0 and isBullishManipulation
    strategy.close("CRT Short", comment="Opposite Manipulation")

// ---------------------- VISUAL DEBUG INFO ----------------------
plot(avgRange, title="Avg Range", linewidth=1)
plot(avgVol, title="Avg Vol", linewidth=1, style=plot.style_areabr)