Торговая система слияния кросс-сигналов на основе нескольких индикаторов

/*backtest
start: 2025-06-01 00:00:00
end: 2025-06-24 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title="Multi-Indicator Trading Bot", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10, initial_capital=10000, commission_type=strategy.commission.percent, commission_value=0.1)

// ===== INPUT PARAMETERS =====
// Risk Management
risk_per_trade = input.float(2.0, title="Risk Per Trade (%)", minval=0.1, maxval=10.0, step=0.1)
max_position_size = input.float(10.0, title="Max Position Size (%)", minval=1.0, maxval=50.0, step=1.0)
use_stop_loss = input.bool(true, title="Use Stop Loss")
stop_loss_pct = input.float(2.0, title="Stop Loss (%)", minval=0.5, maxval=10.0, step=0.1)

// Technical Indicator Parameters
sma_short = input.int(20, title="SMA Short Period", minval=5, maxval=50)
sma_long = input.int(50, title="SMA Long Period", minval=20, maxval=200)
rsi_period = input.int(14, title="RSI Period", minval=5, maxval=50)
rsi_oversold = input.int(30, title="RSI Oversold Level", minval=10, maxval=40)
rsi_overbought = input.int(70, title="RSI Overbought Level", minval=60, maxval=90)
macd_fast = input.int(12, title="MACD Fast Length", minval=5, maxval=20)
macd_slow = input.int(26, title="MACD Slow Length", minval=15, maxval=50)
macd_signal = input.int(9, title="MACD Signal Length", minval=5, maxval=20)
bb_length = input.int(20, title="Bollinger Bands Length", minval=10, maxval=50)
bb_mult = input.float(2.0, title="Bollinger Bands Multiplier", minval=1.0, maxval=3.0, step=0.1)

// Signal Threshold
min_signals = input.int(2, title="Minimum Signals Required", minval=1, maxval=4)

// ===== TECHNICAL INDICATORS =====
// Simple Moving Averages
sma_short_val = ta.sma(close, sma_short)
sma_long_val = ta.sma(close, sma_long)

// RSI
rsi_val = ta.rsi(close, rsi_period)

// MACD
[macd_line, signal_line, macd_hist] = ta.macd(close, macd_fast, macd_slow, macd_signal)

// Bollinger Bands
bb_basis = ta.sma(close, bb_length)
bb_dev = bb_mult * ta.stdev(close, bb_length)
bb_upper = bb_basis + bb_dev
bb_lower = bb_basis - bb_dev

// ===== SIGNAL GENERATION =====
// Moving Average Crossover Signals
ma_cross_up = ta.crossover(sma_short_val, sma_long_val)
ma_cross_down = ta.crossunder(sma_short_val, sma_long_val)

// RSI Signals
rsi_oversold_signal = rsi_val < rsi_oversold
rsi_overbought_signal = rsi_val > rsi_overbought

// MACD Signals
macd_bull_cross = ta.crossover(macd_line, signal_line)
macd_bear_cross = ta.crossunder(macd_line, signal_line)

// Bollinger Bands Signals
bb_lower_touch = close < bb_lower
bb_upper_touch = close > bb_upper

// ===== SIGNAL COUNTING =====
// Count bullish signals
bullish_signals = 0
bullish_signals := bullish_signals + (ma_cross_up ? 1 : 0)
bullish_signals := bullish_signals + (rsi_oversold_signal ? 1 : 0)
bullish_signals := bullish_signals + (macd_bull_cross ? 1 : 0)
bullish_signals := bullish_signals + (bb_lower_touch ? 1 : 0)

// Count bearish signals
bearish_signals = 0
bearish_signals := bearish_signals + (ma_cross_down ? 1 : 0)
bearish_signals := bearish_signals + (rsi_overbought_signal ? 1 : 0)
bearish_signals := bearish_signals + (macd_bear_cross ? 1 : 0)
bearish_signals := bearish_signals + (bb_upper_touch ? 1 : 0)

// ===== TRADING LOGIC =====
// Entry conditions
long_condition = bullish_signals >= min_signals and bullish_signals > bearish_signals
short_condition = bearish_signals >= min_signals and bearish_signals > bullish_signals

// Position size calculation based on risk
calculate_position_size() =>
    if use_stop_loss
        risk_amount = strategy.equity * (risk_per_trade / 100)
        stop_price = close * (1 - stop_loss_pct / 100)
        price_diff = close - stop_price
        position_value = risk_amount / (price_diff / close)
        max_value = strategy.equity * (max_position_size / 100)
        math.min(position_value, max_value)
    else
        strategy.equity * (max_position_size / 100)

// Calculate dynamic position size
position_size = calculate_position_size()
position_qty = position_size / close

// Entry orders
if long_condition and strategy.position_size == 0
    strategy.entry("Long", strategy.long, qty=position_qty)
    if use_stop_loss
        stop_price = close * (1 - stop_loss_pct / 100)
        strategy.exit("Stop Loss", "Long", stop=stop_price)

if short_condition and strategy.position_size == 0
    strategy.entry("Short", strategy.short, qty=position_qty)
    if use_stop_loss
        stop_price = close * (1 + stop_loss_pct / 100)
        strategy.exit("Stop Loss", "Short", stop=stop_price)

// Exit conditions (opposite signals)
if short_condition and strategy.position_size > 0
    strategy.close("Long", comment="Exit Long")

if long_condition and strategy.position_size < 0
    strategy.close("Short", comment="Exit Short")

// ===== PLOTTING =====
// Plot moving averages
plot(sma_short_val, color=color.blue, linewidth=2, title="SMA Short")
plot(sma_long_val, color=color.red, linewidth=2, title="SMA Long")

// Plot Bollinger Bands
p1 = plot(bb_upper, color=color.gray, linewidth=1, title="BB Upper")
p2 = plot(bb_lower, color=color.gray, linewidth=1, title="BB Lower")
fill(p1, p2, color=color.new(color.gray, 90), title="BB Background")

// Plot entry signals
plotshape(long_condition, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small, title="Long Signal")
plotshape(short_condition, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small, title="Short Signal")

// ===== INDICATOR SUBPLOT =====
// RSI
hline(rsi_overbought, "RSI Overbought", color=color.red, linestyle=hline.style_dashed)
hline(rsi_oversold, "RSI Oversold", color=color.green, linestyle=hline.style_dashed)
hline(50, "RSI Midline", color=color.gray, linestyle=hline.style_dotted)

// MACD (commented out to avoid overcrowding - uncomment if needed)
// plot(macd_line, color=color.blue, title="MACD Line")
// plot(signal_line, color=color.red, title="MACD Signal")
// plot(macd_hist, color=color.gray, style=plot.style_histogram, title="MACD Histogram")

// ===== SIGNAL STRENGTH INDICATOR =====
// Create a table to show signal strength
var table info_table = table.new(position.top_right, 3, 6, bgcolor=color.white, border_width=1)

if barstate.islast
    table.cell(info_table, 0, 0, "Signal Type", text_color=color.black, bgcolor=color.gray)
    table.cell(info_table, 1, 0, "Bullish", text_color=color.black, bgcolor=color.green)
    table.cell(info_table, 2, 0, "Bearish", text_color=color.black, bgcolor=color.red)
    
    table.cell(info_table, 0, 1, "MA Cross", text_color=color.black)
    table.cell(info_table, 1, 1, ma_cross_up ? "✓" : "", text_color=color.green)
    table.cell(info_table, 2, 1, ma_cross_down ? "✓" : "", text_color=color.red)
    
    table.cell(info_table, 0, 2, "RSI", text_color=color.black)
    table.cell(info_table, 1, 2, rsi_oversold_signal ? "✓" : "", text_color=color.green)
    table.cell(info_table, 2, 2, rsi_overbought_signal ? "✓" : "", text_color=color.red)
    
    table.cell(info_table, 0, 3, "MACD", text_color=color.black)
    table.cell(info_table, 1, 3, macd_bull_cross ? "✓" : "", text_color=color.green)
    table.cell(info_table, 2, 3, macd_bear_cross ? "✓" : "", text_color=color.red)
    
    table.cell(info_table, 0, 4, "Bollinger", text_color=color.black)
    table.cell(info_table, 1, 4, bb_lower_touch ? "✓" : "", text_color=color.green)
    table.cell(info_table, 2, 4, bb_upper_touch ? "✓" : "", text_color=color.red)
    
    table.cell(info_table, 0, 5, "Total Signals", text_color=color.black, bgcolor=color.yellow)
    table.cell(info_table, 1, 5, str.tostring(bullish_signals), text_color=color.green, bgcolor=color.yellow)
    table.cell(info_table, 2, 5, str.tostring(bearish_signals), text_color=color.red, bgcolor=color.yellow)

// ===== ALERTS =====
// Alert conditions
alertcondition(long_condition, title="Long Signal", message="Multi-Indicator Long Signal: {{ticker}} at {{close}}")
alertcondition(short_condition, title="Short Signal", message="Multi-Indicator Short Signal: {{ticker}} at {{close}}")
alertcondition(long_condition or short_condition, title="Any Signal", message="Multi-Indicator Signal: {{ticker}} at {{close}}")

// ===== PERFORMANCE METRICS =====
// Calculate additional metrics for display
var float max_drawdown = 0.0
var float peak_equity = strategy.initial_capital

if strategy.equity > peak_equity
    peak_equity := strategy.equity

current_drawdown = (peak_equity - strategy.equity) / peak_equity * 100
if current_drawdown > max_drawdown
    max_drawdown := current_drawdown