فبونیکی پیٹرن شماریاتی تجزیہ کی حکمت عملی

/*backtest
start: 2024-03-03 00:00:00
end: 2024-05-01 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("Fibonacci-Only Strategi V2", overlay=true)

timeframe = input.timeframe("15", "Select Timeframe", options=["1", "5", "15", "30", "60", "240", "D"])
use_break_strategy = input(true, "Use Break Strategy")
stop_loss_percent = input.float(1.0, "Stop Loss %", minval=0.1, maxval=2.0, step=0.1)
use_atr_for_sl = input(true, "Use ATR for Stop Loss")
atr_multiplier = input.float(2.0, "ATR Multiplier for SL", minval=0.5, maxval=5.0, step=0.1)
use_trailing_stop = input(true, "Use Trailing Stop")
trailing_stop_percent = input.float(1.5, "Trailing Stop %", minval=0.1, maxval=5.0, step=0.1)

pattern_length = input.int(5, "Candle Pattern Length", minval=3, maxval=10)
similarity_threshold = input.float(0.7, "Pattern Similarity Threshold", minval=0.6, maxval=0.95)
lookback_window = input.int(93, "Historical Lookback Window", minval=10, maxval=93)

stat_period = input.int(50, "Statistical Period", minval=20, maxval=200)
stat_weight = input.float(0.5, "Statistical Confirmation Weight", minval=0.1, maxval=1.0, step=0.1)

fib_high = ta.highest(high, 93)
fib_low = ta.lowest(low, 93)
fib_diff = fib_high - fib_low
fib_19 = fib_high - fib_diff * 0.19
fib_8256 = fib_high - fib_diff * 0.8256
fib_19_reverse = fib_low + fib_diff * 0.19

plot(fib_8256, color=color.purple, style=plot.style_line, title="82.56% Fib")
plot(fib_19_reverse, color=color.orange, style=plot.style_line, title="19% Fib (Low to High)")

fib_19_touch = low[1] > fib_19 and low <= fib_19
fib_8256_touch = high[1] < fib_8256 and high >= fib_8256
fib_19_break = close < fib_19 and open > fib_19
fib_8256_break = close > fib_8256 and open < fib_8256
fib_19_reverse_touch = high[1] < fib_19_reverse and high >= fib_19_reverse
fib_19_reverse_break = close > fib_19_reverse and open < fib_19_reverse

bull_confirmation = close > open
bear_confirmation = close < open

getMedianAndQuartiles(src, len) =>
    values = array.new_float(0)
    for i = 0 to len - 1
        array.push(values, src[i])
    array.sort(values)
    size = array.size(values)
    median = size % 2 == 1 ? array.get(values, math.floor(size / 2)) : (array.get(values, size / 2 - 1) + array.get(values, size / 2)) / 2
    q1_idx = math.floor(size / 4)
    q3_idx = math.floor(3 * size / 4)
    q1 = array.get(values, q1_idx)
    q3 = array.get(values, q3_idx)
    [median, q1, q3]

[price_median, price_q1, price_q3] = getMedianAndQuartiles(close, stat_period)
iqr = price_q3 - price_q1
upper_bound = price_q3 + 1.5 * iqr
lower_bound = price_q1 - 1.5 * iqr

stat_bull_signal = close > price_median and close[1] <= price_median
stat_bear_signal = close < price_median and close[1] >= price_median
stat_strong_bull = close > price_q3 and close[1] <= price_q3
stat_strong_bear = close < price_q1 and close[1] >= price_q1
stat_extreme_bull = close > upper_bound
stat_extreme_bear = close < lower_bound

long_condition_fib_touch = (fib_19_touch or fib_19_reverse_touch) and bull_confirmation
long_condition_fib_break = use_break_strategy and (fib_19_break or fib_19_reverse_break) and bull_confirmation

short_condition_fib_touch = fib_19_touch and bear_confirmation
short_condition_fib_break = use_break_strategy and fib_19_break and bear_confirmation

getPatternSignature(start_idx, len) =>
    pattern = array.new_float(len)
    
    for i = 0 to len - 1
        if close[start_idx + i] > open[start_idx + i]
            array.set(pattern, i, 1.0)
        else if close[start_idx + i] < open[start_idx + i]
            array.set(pattern, i, -1.0)
        else
            array.set(pattern, i, 0.0)
    
    pattern

calcSimilarity(current_pattern, hist_pattern) =>
    matches = 0.0
    
    for i = 0 to array.size(current_pattern) - 1
        if array.get(current_pattern, i) == array.get(hist_pattern, i)
            matches := matches + 1.0
    
    matches / array.size(current_pattern)

findBestMatch() =>
    curr_pattern = getPatternSignature(1, pattern_length)
    
    best_idx = -1
    best_sim = 0.0
    direction = 0
    
    for i = pattern_length + 2 to lookback_window + 1
        if i < pattern_length * 2
            continue
            
        hist_pattern = getPatternSignature(i, pattern_length)
        sim = calcSimilarity(curr_pattern, hist_pattern)
        
        if sim > best_sim and sim >= similarity_threshold
            best_sim := sim
            best_idx := i
            
            next_close = close[i - pattern_length - 1]
            curr_close = close[i - pattern_length]
            
            if next_close > curr_close
                direction := 1
            else if next_close < curr_close
                direction := -1
    
    [best_idx, best_sim, direction]

var latest_pattern_sim = 0.0
var pattern_direction = 0

if barstate.isconfirmed
    [idx, sim, dir] = findBestMatch()
    
    if sim >= similarity_threshold
        latest_pattern_sim := sim
        pattern_direction := dir

calculateStatWeight(stat_signal, stat_strong, stat_extreme) =>
    weight = 0.0
    if stat_signal
        weight := stat_weight * 0.5
    if stat_strong
        weight := weight + stat_weight * 0.3
    if stat_extreme
        weight := weight + stat_weight * 0.2
    weight

stat_bull_weight = calculateStatWeight(stat_bull_signal, stat_strong_bull, stat_extreme_bull)
stat_bear_weight = calculateStatWeight(stat_bear_signal, stat_strong_bear, stat_extreme_bear)

long_condition = (long_condition_fib_touch or long_condition_fib_break) and 
                 (pattern_direction == 1 or pattern_direction == 0)

short_condition = (short_condition_fib_touch or short_condition_fib_break) and 
                  (pattern_direction == -1 or pattern_direction == 0) and
                  stat_bear_weight > 0

atr = ta.atr(14)

if long_condition
    strategy.entry("Long", strategy.long)

if short_condition
    strategy.entry("Short", strategy.short)

var float long_stop_loss = na
var float short_stop_loss = na

if strategy.position_size > 0
    long_stop_loss := use_atr_for_sl ? strategy.position_avg_price - atr * atr_multiplier : strategy.position_avg_price * (1 - stop_loss_percent / 100)

if strategy.position_size < 0
    short_stop_loss := use_atr_for_sl ? strategy.position_avg_price + atr * atr_multiplier : strategy.position_avg_price * (1 + stop_loss_percent / 100)

take_profit_levels = array.new_float(7)
for i = 0 to 6
    tp_percent = 1 + (i + 1) * 0.5 / 100
    array.set(take_profit_levels, i, tp_percent * strategy.position_avg_price)

if strategy.position_size > 0
    if use_trailing_stop
        trail_price = high - (high - strategy.position_avg_price) * trailing_stop_percent / 100
        strategy.exit("Long TS", "Long", stop=math.max(trail_price, long_stop_loss))
    else
        strategy.exit("Long SL", "Long", stop=long_stop_loss)
    
    for i = 0 to 6
        long_tp_price = array.get(take_profit_levels, i)
        strategy.exit("Long TP" + str.tostring(i+1), "Long", limit=long_tp_price, qty_percent=14.28)

if strategy.position_size < 0
    if use_trailing_stop
        trail_price = low + (strategy.position_avg_price - low) * trailing_stop_percent / 100
        strategy.exit("Short TS", "Short", stop=math.min(trail_price, short_stop_loss))
    else
        strategy.exit("Short SL", "Short", stop=short_stop_loss)
    
    for i = 0 to 6
        short_tp_price = array.get(take_profit_levels, i)
        strategy.exit("Short TP" + str.tostring(i+1), "Short", limit=short_tp_price, qty_percent=14.28)

bgcolor(long_condition ? color.new(color.green, 80) : short_condition ? color.new(color.red, 80) : na)

plotarrow(long_condition ? 1 : short_condition ? -1 : 0, title="Signal Direction", colorup=color.green, colordown=color.red, minheight=10, maxheight=20)

long_touch_marker = long_condition and long_condition_fib_touch ? low - atr : na
long_break_marker = long_condition and long_condition_fib_break ? low - atr * 1.5 : na
short_touch_marker = short_condition and short_condition_fib_touch ? high + atr : na
short_break_marker = short_condition and short_condition_fib_break ? high + atr * 1.5 : na

plotshape(long_touch_marker, style=shape.circle, color=color.green, size=size.normal, title="Long Touch Marker", location=location.absolute)
plotshape(long_break_marker, style=shape.xcross, color=color.green, size=size.normal, title="Long Break Marker", location=location.absolute)
plotshape(short_touch_marker, style=shape.circle, color=color.red, size=size.normal, title="Short Touch Marker", location=location.absolute)
plotshape(short_break_marker, style=shape.xcross, color=color.red, size=size.normal, title="Short Break Marker", location=location.absolute)

plotshape(stat_bear_signal, style=shape.triangledown, color=color.red, size=size.tiny, title="Statistical Bear Signal", location=location.abovebar)

if barstate.islast
    var table info = table.new(position.top_right, 4, 5, color.black, color.white, 2, color.gray, 2)
    
    table.clear(info, 0, 0, 3, 4)
    
    table.cell(info, 0, 0, "Fibonacci-Pattern with Stats", bgcolor=color.blue, text_color=color.white)
    table.cell(info, 0, 1, "Fib Status", bgcolor=color.blue, text_color=color.white)
    
    fib_status = "NEUTRAL"
    fib_color = color.gray
    
    if long_condition_fib_touch or long_condition_fib_break
        fib_status := "LONG"
        fib_color := color.green
    else if short_condition_fib_touch or short_condition_fib_break
        fib_status := "SHORT"
        fib_color := color.red
        
    table.cell(info, 1, 1, fib_status, bgcolor=fib_color, text_color=color.white)
    
    table.cell(info, 0, 2, "Pattern", bgcolor=color.blue, text_color=color.white)
    
    pattern_status = "NEUTRAL"
    pattern_color = color.gray
    
    if pattern_direction == 1
        pattern_status := "LONG"
        pattern_color := color.green
    else if pattern_direction == -1
        pattern_status := "SHORT"
        pattern_color := color.red
        
    table.cell(info, 1, 2, pattern_status, bgcolor=pattern_color, text_color=color.white)
    table.cell(info, 2, 2, pattern_direction != 0 ? str.tostring(math.round(latest_pattern_sim * 100)) + "%" : "N/A", bgcolor=color.gray, text_color=color.white)
    
    table.cell(info, 0, 3, "Statistics", bgcolor=color.blue, text_color=color.white)
    
    stat_status = "NEUTRAL"
    stat_color = color.gray
    
    if stat_bull_weight > 0
        stat_status := "BULL"
        stat_color := color.green
    else if stat_bear_weight > 0
        stat_status := "BEAR"
        stat_color := color.red
        
    table.cell(info, 1, 3, stat_status, bgcolor=stat_color, text_color=color.white)
    table.cell(info, 2, 3, stat_bull_weight > 0 ? str.tostring(math.round(stat_bull_weight * 100)) + "%" : 
                          stat_bear_weight > 0 ? str.tostring(math.round(stat_bear_weight * 100)) + "%" : "0%", 
                          bgcolor=color.gray, text_color=color.white)
    
    table.cell(info, 0, 4, "Combined", bgcolor=color.blue, text_color=color.white)
    
    combined_status = "NEUTRAL"
    combined_color = color.gray
    
    if long_condition
        combined_status := "LONG"
        combined_color := color.green
    else if short_condition
        combined_status := "SHORT"
        combined_color := color.red
        
    table.cell(info, 1, 4, combined_status, bgcolor=combined_color, text_color=color.white)

var label_id = label.new(na, na, "", color=color.gray, style=label.style_label_down, textcolor=color.white)

if long_condition and barstate.isconfirmed
    label.set_xy(label_id, bar_index, high)
    label.set_text(label_id, "LONG\n" + 
                           (long_condition_fib_touch ? "Touch" : "Break") + 
                           (pattern_direction == 1 ? " + Pattern " + str.tostring(math.round(latest_pattern_sim * 100)) + "%" : "") +
                           "\nStat: " + str.tostring(math.round(stat_bull_weight * 100)) + "%")
    label.set_color(label_id, color.green)
    label.set_style(label_id, label.style_label_down)

if short_condition and barstate.isconfirmed
    label.set_xy(label_id, bar_index, low)
    label.set_text(label_id, "SHORT\n" + 
                           (short_condition_fib_touch ? "Touch" : "Break") + 
                           (pattern_direction == -1 ? " + Pattern " + str.tostring(math.round(latest_pattern_sim * 100)) + "%" : "") +
                           "\nStat: " + str.tostring(math.round(stat_bear_weight * 100)) + "%")
    label.set_color(label_id, color.red)
    label.set_style(label_id, label.style_label_up)

alertcondition(long_condition, title="Long Entry", message="Long entry signal detected")
alertcondition(short_condition, title="Short Entry", message="Short entry signal detected")