Стратегия стоп-лосса Z-score Momentum ATR в сочетании с соотношением риска и доходности для оптимизации торговой системы

/*backtest
start: 2024-10-01 00:00:00
end: 2025-02-18 08:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("admbrk | Candle Color & Price Alarm with ATR Stop", overlay=true, initial_capital=50, default_qty_type=strategy.cash, default_qty_value=200, commission_type=strategy.commission.percent, commission_value=0.05, pyramiding=3)

// **Risk/Reward ratio (RR) as input**
rr = input.float(2.0, title="Risk/Reward Ratio (RR)", step=0.1)

// **Z-score calculation function**
f_zscore(src, len) =>
    mean = ta.sma(src, len)     
    std = ta.stdev(src, len)
    (src - mean) / std

// **Z-score calculations**
len = input(20, "Z-Score MA Length")
z1 = input.float(1.5, "Threshold z1", step=0.1)
z2 = input.float(2.5, "Threshold z2", step=0.1)

z_volume = f_zscore(volume, len)
z_body = f_zscore(math.abs(close - open), len)

i_src = input.string("Volume", title="Source", options=["Volume", "Body size", "Any", "All"])

float z = na
if i_src == "Volume"
    z := z_volume
else if i_src == "Body size"
    z := z_body
else if i_src == "Any"
    z := math.max(z_volume, z_body)
else if i_src == "All"
    z := math.min(z_volume, z_body)

// **Determine trend direction**
green = close >= open
red = close < open

// **Long and Short signals**
longSignal = barstate.isconfirmed and red[1] and low < low[1] and green
shortSignal = barstate.isconfirmed and green[1] and high > high[1] and red

long = longSignal and (z >= z1)
short = shortSignal and (z >= z1)

// **ATR calculation (for ATR Stop)**
atrLength = input.int(14, title="ATR Length")
atrMultiplier = input.float(1.5, title="ATR Stop Multiplier")
atrValue = ta.atr(atrLength)

// **ATR-based stop-loss calculation**
long_atr_stop = close - atrValue * atrMultiplier
short_atr_stop = close + atrValue * atrMultiplier

// **Stop-loss setting (set to the lowest/highest wick of the last two bars)**
long_sl = ta.lowest(low, 2)  // Long stop-loss (lowest of the last 2 bars)
short_sl = ta.highest(high, 2) // Short stop-loss (highest of the last 2 bars)

// **Take-profit calculation (with RR)**
long_tp = close + (close - long_sl) * rr
short_tp = close - (short_sl - close) * rr

triggerAlarm(symbol)=>
    status = close
    var string message = na
    alarmMessageJSON = syminfo.ticker + message +"\\n" + "Price: " + str.tostring(status) 
    
if long
    // Open Long position
    strategy.entry("Long", strategy.long)
    strategy.exit("Long Exit", from_entry="Long", stop=math.max(long_sl, long_atr_stop), limit=long_tp)
    

if short
    // Open Short position
    strategy.entry("Short", strategy.short)
    strategy.exit("Short Exit", from_entry="Short", stop=math.min(short_sl, short_atr_stop), limit=short_tp)
    

// **Coloring the candles (BUY = Green, SELL = Red)**
barcolor(long ? color.green : short ? color.red : na)

// **Add entry/exit markers on the chart**
plotshape(long, title="BUY Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small, text="BUY")
plotshape(short, title="SELL Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small, text="SELL")

// **Plot TP and SL markers on exits**
exitLong = strategy.position_size < strategy.position_size[1] and strategy.position_size[1] > 0
exitShort = strategy.position_size > strategy.position_size[1] and strategy.position_size[1] < 0

plotshape(exitLong, title="Long Exit", location=location.abovebar, color=color.blue, style=shape.labeldown, size=size.tiny, text="TP/SL")
plotshape(exitShort, title="Short Exit", location=location.belowbar, color=color.orange, style=shape.labelup, size=size.tiny, text="TP/SL")

// **Add alerts**
alertcondition(long, title="Long Signal", message="Long signal triggered!")
alertcondition(short, title="Short Signal", message="Short signal triggered!")