Стратегия следования за трендом, основанная на множественных уровнях поддержки и сопротивления

/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This is a strategy that draws a trend line in the form of a slope whenever the high point and low point are updated.
// The upper slope serves as a resistance line, and the lower slope serves as a support line.
// Buy when the [close] of the candle crosses the slope

//@version=5
strategy("Donchian Trendline - Support Resistance Slope [UhoKang]", shorttitle="Donchian Trendline", overlay=true, initial_capital=1000000,default_qty_type=strategy.percent_of_equity,default_qty_value=100,commission_value=0.075, slippage=3, process_orders_on_close=true)
///////////////////////////////////// Time ///////////////////////////////////////////////////////////////////////////////
startYear   = input.int(2019, 'Start-Year', confirm=false, inline='1')
startMonth  = input.int(1,    'Month',      confirm=false, inline='1')
startDay    = input.int(1,    'Day',      confirm=false, inline='1')
finishYear  = input.int(2099, 'End-Year', confirm=false, inline='2')
finishMonth = input.int(1,    'Month',      confirm=false, inline='2')
finishDay   = input.int(1,    'Day',      confirm=false, inline='2')
startTime = timestamp(startYear, startMonth, startDay)
finishTime = timestamp(finishYear, finishMonth, finishDay)
testPeriod = true

//////////////////////// ATR BAND ///////////////////////////////////////////////////////////////////////////////////////////
// Inputs
atrPeriod = input.int(title = "ATR Period", defval = 14, minval = 1)
atrBandUpper = input(title = "Source Upper", defval = close)
atrBandLower = input(title = "Source Lower", defval = close)
atrMultiplierUpper = input.int(title = "ATR Multiplier Upper", defval = 1)
atrMultiplierLower = input.int(title = "ATR Multiplier Lower", defval = 1)

// ATR ///////////////////////////////////////////////////////////////////////////////
//------------------------------------------------------------------------------------
atr = ta.atr(atrPeriod)
atrBBUpper = atrBandUpper + (atr * atrMultiplierUpper)
atrBBLower = atrBandLower - (atr * atrMultiplierLower)

/////////////////////////// Big Candle ///////////////////////////////////////////////
//------------------------------------------------------------------------------------
candle_size = close>=open ? close-open :  open-close
candle_grade_guide = atrBBUpper - atrBBLower
candle_grade = candle_size > candle_grade_guide ? 3 : candle_size > candle_grade_guide/2 ? 2 : 1
candle_grade_color = candle_grade == 3 ? color.new(color.black, 0) : candle_grade == 2 ? color.new(color.purple, 0) : na
barcolor(candle_grade_color, title = "Long candle")

///////////////////////////////////// Donchian ///////////////////////////////////////
//------------------------------------------------------------------------------------
donchian_length = input(60)
donchian_top = ta.highest(high, donchian_length)
donchian_bot = ta.lowest(low, donchian_length)
donchian_mid = (donchian_top + donchian_bot) / 2

plot_donchian_top = plot(donchian_top,  color=color.new(color.green, 90), title = "Donchian Top")
plot_donchian_bot = plot(donchian_bot,  color=color.new(color.red, 90), title = "Donchian Bottom")
plot_donchian_mid = plot(donchian_mid,  color=color.new(color.orange, 0), title = "Donchian Middle")
fill(plot_donchian_top, plot_donchian_mid, color=color.new(color.green, 95), title = "Donchian Upper")
fill(plot_donchian_bot, plot_donchian_mid, color=color.new(color.red, 95), title = "Donchian Lower")

///////////////////////////// Trendline //////////////////////////////////////////////////
//------------------------------------------------------------------------------------
donchian_longTr = false
donchian_shortTr = false 
var atrLongHeight = 0.0 
var atrShortHeight = 0.0 
if high > donchian_top[1] 
    donchian_longTr := true 
    atrLongHeight := atrBBUpper[1] - atrBBLower[1]
if low < donchian_bot[1] 
    donchian_shortTr := true
    atrShortHeight := atrBBUpper[1] - atrBBLower[1]
donchian_Tr_color = donchian_longTr ? color.new(color.green,70) : donchian_shortTr ? color.new(color.red, 70) : na 

//////////////////////// Set var //////////////////////////////////////////////
//------------------------------------------------------------------------------------
slope_mult = input.float(0.03, step=0.01,  title = "Slope x")
var ph_M_Avg = 0.0 //slope avg high
var pl_M_Avg = 0.0 //slope avg low 
var ph_M_Line = 0.0 //slope high
var pl_M_Line = 0.0 //slope low

ph_M = donchian_longTr[1]==true and high<donchian_top[1] ? high[1] : na
pl_M = donchian_shortTr[1]==true and low>donchian_bot[1] ? low[1] : na
plot(ph_M,color=color.blue, style = plot.style_linebr, linewidth = 3, offset = -1, title = "Pivot High")
plot(pl_M,color=color.blue, style = plot.style_linebr, linewidth = 3, offset = -1, title = "Pivot Low")
       
/////////////////////////////////////////  Calc trendline /////////////////////////////
//------------------------------------------------------------------------------------

mirror_mode = input.bool(false , title = "Mirror Line")
ph_M_Avg := atrLongHeight * slope_mult
pl_M_Avg := atrShortHeight * slope_mult

// Calc slope
if mirror_mode 
    if ph_M
        ph_M_Line := ph_M
        pl_M_Line := donchian_mid[1]
    else if pl_M
        pl_M_Line := pl_M
        ph_M_Line := donchian_mid[1]
    else if ph_M_Line  
        ph_M_Line := ph_M_Line[1] - ph_M_Avg
        pl_M_Line := pl_M_Line[1] + pl_M_Avg

else 
    if ph_M
        ph_M_Line := ph_M
    else if ph_M_Line  
        ph_M_Line := ph_M_Line[1] - ph_M_Avg
    if pl_M
        pl_M_Line := pl_M
    else if pl_M_Line
        pl_M_Line := pl_M_Line[1] + pl_M_Avg

// Delete trendline
if donchian_bot[1] > ph_M_Line
    ph_M_Line := na
if donchian_top[1] < pl_M_Line
    pl_M_Line := na

// Draw trendline
plot(ph_M_Line, color=color.new(color.green,20), style = plot.style_circles, linewidth = 1, title = "Trendline Top")
plot(pl_M_Line, color=color.new(color.maroon,20), style = plot.style_circles, linewidth = 1, title = "Trendline Bottom")

// Trade 
ph_longTr = false
ph_longExitTr = false
ph_shortTr = false
ph_shortExitTr = false 
//-----------------------------------------------------------------------------}
check_short_mode = input.bool(true, title= "Short Mode On")

if ta.crossover(close, ph_M_Line) 
    ph_longTr := true
else if ta.crossunder(close,pl_M_Line) or ta.crossunder(close, donchian_mid[1]) 
    ph_longExitTr := true 
if ta.crossunder(close, pl_M_Line)
    ph_shortTr := true
else if ta.crossover(close,ph_M_Line) or ta.crossover(close, donchian_mid[1])
    ph_shortExitTr := true

ph_Tr_color = ph_longTr ? color.new(color.green,80) : ph_shortTr ? color.new(color.red,80) : na
bgcolor(ph_Tr_color, title = "Break Slope")

if ph_longTr and testPeriod
    strategy.entry("L", strategy.long)
else if ph_longExitTr 
    strategy.close("L")

if ph_shortTr and testPeriod and check_short_mode
    strategy.entry("S", strategy.short)
else if ph_shortExitTr 
    strategy.close("S")