متعدد تکنیکی اشارے متحرک اسٹاپ نقصان فیوچر ٹریڈنگ حکمت عملی

/*backtest
start: 2024-04-02 00:00:00
end: 2025-04-01 00:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// @version=5
strategy("NQ Futures Trading Strategy", overlay=true, initial_capital=50000, default_qty_type=strategy.cash, default_qty_value=5000)

// ==========================================
// Parameters
// ==========================================

// Account Parameters
accountSize = 50000
profitGoal = 3000
trailingThreshold = 2500
stopsTrailing = 52650

// Trading Parameters
atrLength = input.int(14, "ATR Period", minval=1)
atrMultiplier = input.float(1.5, "ATR Multiplier for SL", minval=0.5, maxval=3.0, step=0.1)
timeoutPeriod = input.int(30, "Exit after X minutes if trade doesn't move favorably", minval=5, maxval=120)

// FVG (Fair Value Gap) Parameters
fvgLength = input.int(5, "FVG Look-back Period", minval=2, maxval=20)
fvgThreshold = input.float(0.1, "FVG Size Threshold (%)", minval=0.05, maxval=1.0, step=0.05) * 0.01

// Order Block Parameters
obLength = input.int(5, "Order Block Look-back Period", minval=2, maxval=20)
obThreshold = input.float(0.1, "Order Block Size Threshold (%)", minval=0.05, maxval=1.0, step=0.05) * 0.01

// Liquidity Sweep Parameters
sweepLength = input.int(5, "Liquidity Sweep Look-back Period", minval=2, maxval=20)
sweepThreshold = input.float(0.05, "Sweep Size Threshold (%)", minval=0.01, maxval=0.5, step=0.01) * 0.01

// Break of Structure Parameters
bosLength = input.int(5, "BOS Look-back Period", minval=2, maxval=20)
bosThreshold = input.float(0.05, "BOS Size Threshold (%)", minval=0.01, maxval=0.5, step=0.01) * 0.01

// Debug Mode
debugMode = input.bool(false, "Debug Mode (more signals)")

// Higher Timeframe Trend Parameters
htfPeriod1 = input.timeframe("15", "First Higher Timeframe")
htfPeriod2 = input.timeframe("60", "Second Higher Timeframe")

// ==========================================
// Indicators & Calculations
// ==========================================

// ATR Calculation
atr = ta.atr(atrLength)

// Higher Timeframe EMAs for Trend Determination
htf1_ema20 = request.security(syminfo.tickerid, htfPeriod1, ta.ema(close, 20), barmerge.gaps_off, barmerge.lookahead_off)
htf1_ema50 = request.security(syminfo.tickerid, htfPeriod1, ta.ema(close, 50), barmerge.gaps_off, barmerge.lookahead_off)
htf2_ema20 = request.security(syminfo.tickerid, htfPeriod2, ta.ema(close, 20), barmerge.gaps_off, barmerge.lookahead_off)
htf2_ema50 = request.security(syminfo.tickerid, htfPeriod2, ta.ema(close, 50), barmerge.gaps_off, barmerge.lookahead_off)

// Higher Timeframe Trend
htf1_bullish = htf1_ema20 > htf1_ema50
htf1_bearish = htf1_ema20 < htf1_ema50
htf2_bullish = htf2_ema20 > htf2_ema50
htf2_bearish = htf2_ema20 < htf2_ema50

// ==========================================
// Entry Conditions
// ==========================================

// 1. Fair Value Gap (FVG)
bullishFVG = false
bearishFVG = false

for i = 1 to fvgLength
    if low[i] > high[i+2] and (low[i] - high[i+2]) / high[i+2] > fvgThreshold
        bullishFVG := true
    if high[i] < low[i+2] and (low[i+2] - high[i]) / high[i] > fvgThreshold
        bearishFVG := true

// 2. Inverse Fair Value Gap
inverseBullishFVG = false
inverseBearishFVG = false

for i = 1 to fvgLength
    if high[i+1] < low[i+2] and close[i] > open[i] and close[i] > high[i+1]
        inverseBullishFVG := true
    if low[i+1] > high[i+2] and close[i] < open[i] and close[i] < low[i+1]
        inverseBearishFVG := true

// 3. Order Block / Breaker Block
bullishOrderBlock = false
bearishOrderBlock = false

for i = 1 to obLength
    if close[i+1] < open[i+1] and (open[i+1] - close[i+1]) / close[i+1] > obThreshold and close[i] > open[i]
        bullishOrderBlock := true
    if close[i+1] > open[i+1] and (close[i+1] - open[i+1]) / open[i+1] > obThreshold and close[i] < open[i]
        bearishOrderBlock := true

// 4. Liquidity Sweep
bullishSweep = false
bearishSweep = false

lowestLow = ta.lowest(low, sweepLength+1)
highestHigh = ta.highest(high, sweepLength+1)

if low[1] < lowestLow[2] and close > open
    bullishSweep := true
if high[1] > highestHigh[2] and close < open
    bearishSweep := true

// 5. Break of Structure (BOS)
bullishBOS = false
bearishBOS = false

prevHigh = high[2]
prevLow = low[2]

if high > prevHigh and low[1] < low[2]
    bullishBOS := true
if low < prevLow and high[1] > high[2]
    bearishBOS := true

// Simpler version for debug mode
if debugMode
    bullishBOS := close > open and close > close[1]
    bearishBOS := close < open and close < close[1]

// ==========================================
// Signal Generation
// ==========================================

// Count valid entry conditions
bullishConditions = bullishFVG ? 1 : 0
bullishConditions := bullishConditions + (inverseBullishFVG ? 1 : 0)
bullishConditions := bullishConditions + (bullishOrderBlock ? 1 : 0)
bullishConditions := bullishConditions + (bullishSweep ? 1 : 0)

bearishConditions = bearishFVG ? 1 : 0
bearishConditions := bearishConditions + (inverseBearishFVG ? 1 : 0)
bearishConditions := bearishConditions + (bearishOrderBlock ? 1 : 0)
bearishConditions := bearishConditions + (bearishSweep ? 1 : 0)

// Entry signals (need at least 2 conditions + BOS confirmation)
// In debug mode, require only 1 condition
minConditions = debugMode ? 1 : 2
longSignal = bullishConditions >= minConditions and bullishBOS and (htf1_bullish or htf2_bullish)
shortSignal = bearishConditions >= minConditions and bearishBOS and (htf1_bearish or htf2_bearish)

// Debug mode override for testing
if debugMode
    longSignal := longSignal or (bullishBOS and htf1_bullish)
    shortSignal := shortSignal or (bearishBOS and htf1_bearish)

// ==========================================
// Risk Management
// ==========================================

// Calculate dynamic stop loss based on ATR
longStopDistance = atr * atrMultiplier
shortStopDistance = atr * atrMultiplier

// Default fixed values for testing
if debugMode
    longStopDistance := close * 0.01  // 1% stop
    shortStopDistance := close * 0.01  // 1% stop

// Calculate position size based on risk
nqPointValue = 20  // Each point is $20 for NQ
longPositionSize = math.floor(2000 / (longStopDistance * nqPointValue))
shortPositionSize = math.floor(2000 / (shortStopDistance * nqPointValue))

// Ensure at least 1 contract
longPositionSize := math.max(longPositionSize, 1)
shortPositionSize := math.max(shortPositionSize, 1)

// Variables to track entry time
var int entryTime = 0
var float equityCurve = accountSize

// ==========================================
// Strategy Execution
// ==========================================

// Make sure we don't get multiple signals on the same bar
var longEnteredThisBar = false
var shortEnteredThisBar = false

longEnteredThisBar := false
shortEnteredThisBar := false

// Entry conditions
if longSignal and not longEnteredThisBar and strategy.position_size <= 0
    strategy.close_all()
    strategy.entry("Long", strategy.long, qty=longPositionSize)
    longEnteredThisBar := true
    entryTime := time

if shortSignal and not shortEnteredThisBar and strategy.position_size >= 0
    strategy.close_all()
    strategy.entry("Short", strategy.short, qty=shortPositionSize)
    shortEnteredThisBar := true
    entryTime := time

// Take profit and stop loss orders
if strategy.position_size > 0
    stopPrice = strategy.position_avg_price - longStopDistance
    takeProfitPrice1 = strategy.position_avg_price + longStopDistance
    strategy.exit("Long TP1", "Long", qty_percent=50, limit=takeProfitPrice1, stop=stopPrice)
    
    // Move stop to breakeven after 1R move
    if high >= takeProfitPrice1
        strategy.exit("Long BE", "Long", stop=strategy.position_avg_price)

if strategy.position_size < 0
    stopPrice = strategy.position_avg_price + shortStopDistance
    takeProfitPrice1 = strategy.position_avg_price - shortStopDistance
    strategy.exit("Short TP1", "Short", qty_percent=50, limit=takeProfitPrice1, stop=stopPrice)
    
    // Move stop to breakeven after 1R move
    if low <= takeProfitPrice1
        strategy.exit("Short BE", "Short", stop=strategy.position_avg_price)

// Time-based exit
if strategy.position_size != 0
    currentTime = time
    if (currentTime - entryTime) >= timeoutPeriod * 60000  // Convert minutes to milliseconds
        strategy.close_all(comment="Time Exit")

// ==========================================
// Trailing Stop for Account Management
// ==========================================

// Update equity curve
equityCurve := strategy.equity

// Check if profit target is reached or trailing stop is hit
if strategy.equity >= accountSize + profitGoal
    strategy.close_all(comment="Profit Goal")

if strategy.equity >= accountSize + trailingThreshold
    trailingStop = math.max(accountSize, strategy.equity - trailingThreshold)
    if strategy.equity <= trailingStop
        strategy.close_all(comment="Trailing Stop")

// Stop trailing if account reaches the stop trailing threshold
if strategy.equity >= stopsTrailing
    strategy.close_all(comment="Stop Trailing")

// ==========================================
// Plotting
// ==========================================

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

// Plot current position
bgcolor(strategy.position_size > 0 ? color.new(color.green, 90) : strategy.position_size < 0 ? color.new(color.red, 90) : na)

// Alert conditions
alertcondition(longSignal, title="Long Entry Signal", message="NQ LONG ENTRY: {{ticker}}, Price: {{close}}")
alertcondition(shortSignal, title="Short Entry Signal", message="NQ SHORT ENTRY: {{ticker}}, Price: {{close}}")
alertcondition(strategy.position_size > 0 and high >= strategy.position_avg_price + longStopDistance, title="Long Take Profit", message="NQ LONG TP: {{ticker}}, Price: {{close}}")
alertcondition(strategy.position_size < 0 and low <= strategy.position_avg_price - shortStopDistance, title="Short Take Profit", message="NQ SHORT TP: {{ticker}}, Price: {{close}}")
alertcondition(strategy.position_size > 0 and low <= strategy.position_avg_price - longStopDistance, title="Long Stop Loss", message="NQ LONG SL: {{ticker}}, Price: {{close}}")
alertcondition(strategy.position_size < 0 and high >= strategy.position_avg_price + shortStopDistance, title="Short Stop Loss", message="NQ SHORT SL: {{ticker}}, Price: {{close}}")