삼중 공명 포착 전략

/*backtest
start: 2024-10-09 00:00:00
end: 2025-10-07 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"BTC_USDT","balance":500000}]
*/

//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © alescha13
// WT + CRSI + Linear Regression Long-only Strategy
// Description: 
// This long-only trading strategy combines WaveTrend (WT), 
// Connors RSI (CRSI), and a Linear Regression Slope (LSDD) trend filter.
// Signals are generated only when all three indicators align within a defined window.
// Exits occur when all indicators turn bearish.
// Backtested on BTC with 15-minute timeframe.

strategy("WT + CRSI + Linear Regression Long-only © alescha13", 
     overlay=true, 
     initial_capital=10000, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=30, 
     pyramiding=1, 
     calc_on_every_tick=false, 
     process_orders_on_close=true)

// =====================
// Inputs
// =====================
wtLength        = input.int(10, "WT Length")
wtOversold      = input.int(-48, "WT Oversold Level")
wtOverbought    = input.int(48, "WT Overbought Level")

crsiRSILength   = input.int(6,  "CRSI RSI Length")
crsiOversold    = input.int(20, "CRSI Oversold Level")
crsiOverbought  = input.int(80, "CRSI Overbought Level")

lsddLen         = input.int(20, "Linear Regression Length")

windowSize      = input.int(2, "Window size (bars) for all signals", minval=1)

// =====================
// Helper: CRSI Function
// =====================
updown(s) =>
    isEqual = s == s[1]
    isGrowing = s > s[1]
    ud = 0.0
    ud := isEqual ? 0 : isGrowing ? (nz(ud[1]) <= 0 ? 1 : nz(ud[1]) + 1) : (nz(ud[1]) >= 0 ? -1 : nz(ud[1]) - 1)
    ud

crsiFunc(src, lenrsi) =>
    lenupdown = 2
    lenroc = 100
    rsi = ta.rsi(src, lenrsi)
    updownrsi = ta.rsi(updown(src), lenupdown)
    percentrank = ta.percentrank(ta.roc(src, 1), lenroc)
    math.avg(rsi, updownrsi, percentrank)

// =====================
// WaveTrend (WT) Calculation
// =====================
ap  = (high + low + close) / 3.0
esa = ta.ema(ap, wtLength)
d   = ta.ema(math.abs(ap - esa), wtLength)
ci  = (ap - esa) / (0.015 * d)
wt  = ta.ema(ci, 3)

wtBull = ta.crossover(wt, wtOversold)
wtBear = wt > wtOverbought

// =====================
// CRSI Calculation
// =====================
crsiValue = crsiFunc(close, crsiRSILength)
crsiBull  = crsiValue < crsiOversold
crsiBear  = crsiValue > crsiOverbought

// =====================
// Linear Regression LSDD Calculation
// =====================
slope = ta.linreg(close, lsddLen, 0)
lsdd = close - slope
lsddBull = ta.crossover(lsdd, 0)
lsddBear = lsdd < 0

// =====================
// Window Logic (Synchronize Signals)
// =====================
var int wtBarIndex   = na
var int crsiBarIndex = na
var int lsddBarIndex = na

if wtBull
    wtBarIndex := bar_index
if crsiBull
    crsiBarIndex := bar_index
if lsddBull
    lsddBarIndex := bar_index

buySignal = false
if not na(wtBarIndex) and not na(crsiBarIndex) and not na(lsddBarIndex)
    maxBar = math.max(wtBarIndex, crsiBarIndex, lsddBarIndex)
    minBar = math.min(wtBarIndex, crsiBarIndex, lsddBarIndex)
    if (maxBar - minBar) <= windowSize
        buySignal := true
        wtBarIndex := na
        crsiBarIndex := na
        lsddBarIndex := na

finalLong = buySignal

// =====================
// Exit Logic
// =====================
sellSignal = wtBear and crsiBear and lsddBear

// =====================
// Entries / Exits
// =====================
if finalLong
    strategy.entry("Long", strategy.long, comment="Long Entry")

if sellSignal
    strategy.close("Long", comment="Long Exit")

// =====================
// Background Color for Signals
// =====================
bgcolor(finalLong ? color.new(color.green, 85) : na)
bgcolor(sellSignal ? color.new(color.red, 85) : na)

// =====================
// Plots
// =====================
plot(wt, color=color.new(color.blue, 0), title="WT")
plot(crsiValue, color=color.new(color.purple, 0), title="CRSI")
plot(lsdd, color=color.new(color.orange, 0), title="LSDD")

plotshape(finalLong, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(sellSignal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

// =====================
// Alerts
// =====================
alertcondition(finalLong, title="Long Alert", message="WT + CRSI + LSDD Long Signal")
alertcondition(sellSignal, title="Exit Alert", message="WT + CRSI + LSDD Exit Signal")