Chỉ báo chiến lược định lượng phân kỳ giá RSI giám sát động và hệ thống tối ưu hóa thích ứng

/*backtest
start: 2025-01-02 00:00:00
end: 2025-01-09 00:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":49999}]
*/

//FRACTALS
//@version=5

//last : 30m 70 68 22 25 0 0 4.7 11.5

//init
capital=1000
percent=100
fees=0//in percent for each entry and exit

//Inputs
start = input(timestamp("1 Feb 2002"), "Start Time", group = "Date")
end = input(timestamp("1 Feb 2052"), "End Time", group = "Date")

//Strategy
strategy("Divergence Finder (RSI/Price) Strategy with Options", overlay = true, initial_capital=capital, default_qty_value=percent, default_qty_type=strategy.percent_of_equity, commission_type=strategy.commission.percent, calc_on_order_fills=false,process_orders_on_close=true , commission_value=fees, currency=currency.EUR, calc_on_every_tick=true, use_bar_magnifier=false)
//indicator("Divergence Finder (RSI/Price) with Options", overlay=true, max_boxes_count=200, max_bars_back=500,max_labels_count=500)


srcUp=input.source(close, "Source for Price Buy Div", group="sources")
srcDn=input.source(close, "Source for Price Sell Div", group="sources")
srcRsi=input.source(close, "Source for RSI Div", group="sources")


HighRSILimit=input.int(70, "Min RSI for Sell divergence (p1:pre last)", group="signals", inline="1", step=1)
HighRSILimit2=input.int(68, "Min RSI for Sell divergence (p2):last", group="signals", inline="1", step=1)
LowRSILimit=input.int(22, "Min RSI for Buy divergence (p1:pre last)", group="signals", inline="2", step=1)
LowRSILimit2=input.int(25, "Min RSI for Buy divergence (p2:last)", group="signals", inline="2", step=1)


minMarginP=input.float(0, "Min margin between price for displaying divergence (%)", group="signals", step=0.01)
minMarginR=input.float(0, "Min margin between RSI for displaying divergence (%)", group="signals", step=1)

nb=input.int(2, "Sensivity: Determine how many candle will be used to determine last top or bot (too high cause lag, too low cause repaint)", group="Sensivity", inline="3", step=1)


stopPer= input.float(4.7, title='Stop %', group = "Per", inline="3", step=0.01)
tpPer = input.float(11.5, title='TP %', group = "Per", inline="4", step=0.01)

//nb=2
leftBars = nb
rightBars=nb


labels=input.bool(true, "Display Divergence labels", group="Display")
draw=input.bool(true, "Display tops/bottoms")



dnFractal = (close[nb-2] < close[nb]) and (close[nb-1] < close[nb]) and (close[nb+1] < close[nb]) and (close[nb+2] < close[nb])
upFractal = (close[nb-2] > close[nb]) and (close[nb-1] > close[nb]) and (close[nb+1] > close[nb]) and (close[nb+2] > close[nb])
ph=dnFractal
pl=upFractal

plot(dnFractal and draw ? close[nb] : na, style=plot.style_line,offset=-2, color=color.lime, title="tops")
plot(upFractal and draw ? close[nb] : na,  style=plot.style_line, offset=-2, color=color.red, title="botts")

plotchar(dnFractal ? high[nb] : na, char='⮝',location=location.absolute,offset=-2, color=color.rgb(236, 255, 63), title="Down Fractal")
plotchar(upFractal ? low[nb] : na, char='⮟', location=location.absolute, offset=-2, color=color.rgb(67, 227, 255), title="Up Fractal")


float myRSI=ta.rsi(srcRsi, 14)

bool divUp=false
bool divDn=false

//compare lasts bots
p2=ta.valuewhen( ph,srcDn[nb], 0 ) //last price
p1=ta.valuewhen( ph,srcDn[nb], 1 ) //pre last price

r2=ta.valuewhen( ph,myRSI[nb], 0 )  //last rsi
r1=ta.valuewhen( ph,myRSI[nb], 1 )  //pre last rsi


if ph
    if p1 < p2// - (p2 * minMarginP)/100
        if r1 > HighRSILimit and r2 > HighRSILimit2
            if r1 > r2 + (r2 * minMarginR)/100
                divDn:=true

plot(divDn ? close:na, style=plot.style_cross, linewidth=3, color= color.red, offset=-rightBars, title="Sell Div")
if labels and divDn and strategy.position_size >= 0
    label.new(bar_index-nb,high, "Sell Divergence "+str.tostring(p1)+"   "+str.tostring(math.round(r1, 2))+"  "+str.tostring(p2)+"   "+str.tostring(math.round(r2, 2)),xloc=xloc.bar_index,yloc=yloc.abovebar, color = color.red, style = label.style_label_down)
else if divDn and strategy.position_size >= 0
    label.new(bar_index-nb,high, "Sell Divergence",xloc=xloc.bar_index,yloc=yloc.abovebar, color = color.red, style = label.style_label_down)



p2:=ta.valuewhen( pl,srcUp[nb], 0 )
p1:=ta.valuewhen( pl,srcUp[nb], 1 )

r2:=ta.valuewhen( pl,myRSI[nb], 0 )
r1:=ta.valuewhen( pl,myRSI[nb], 1 )


if pl
    if p1 > p2 + (p2 * minMarginP)/100
        if r1 < LowRSILimit and r2 < LowRSILimit2
            if r1 < r2 - (r2 * minMarginR)/100
                divUp:=true
               
plot(divUp ? close:na, style=plot.style_cross, linewidth=3, color= color.green, offset=-rightBars, title="Buy Div")
if labels and divUp and strategy.position_size <= 0
    label.new(bar_index-nb,high, "Buy Divergence "+str.tostring(p1)+"   "+str.tostring(math.round(r1, 2))+"  "+str.tostring(p2)+"   "+str.tostring(math.round(r2, 2)),xloc=xloc.bar_index,yloc=yloc.belowbar, color = color.green, style = label.style_label_up)
else if divUp and strategy.position_size <= 0
    label.new(bar_index-nb,high, "Buy Divergence",xloc=xloc.bar_index,yloc=yloc.belowbar, color = color.green, style = label.style_label_up)


//strat LONG
longEntry = divUp//  and strategy.position_size == 0
longExit = divDn//  and strategy.position_size == 0

//strat SHORT
shortEntry = divDn
shortExit = divUp

LongActive=input(true, title='Activate Long', group = "Directions", inline="2")
ShortActive=input(true, title='Activate Short', group = "Directions", inline="2")
//StopActive=input(false, title='Activate Stop', group = "Directions", inline="2")


//tpActive =  input(false, title='Activate Take Profit', group = "TP", inline="4")
//RR=input(0.5, title='Risk Reward Multiplier', group = "TP")
//QuantityTP = input(100.0, title='Trade Ammount %', group = "TP")


//calc stop
//longStop = strategy.position_avg_price * (1 - stopPer)
//shortStop = strategy.position_avg_price * (1 + stopPer)

longStop = strategy.position_avg_price - (strategy.position_avg_price * stopPer/100)
shortStop = strategy.position_avg_price + (strategy.position_avg_price * stopPer/100)

longTP = strategy.position_avg_price + (strategy.position_avg_price * tpPer/100)
shortTP = strategy.position_avg_price - (strategy.position_avg_price * tpPer/100)

//Calc TP
//longTP = ((strategy.position_avg_price-longStop)*RR+strategy.position_avg_price)
//shortTP = (strategy.position_avg_price-((shortStop-strategy.position_avg_price)*RR))


//display stops
plot(strategy.position_size > 0 ? longStop : na, style=plot.style_linebr, color=color.red, linewidth=1, title="Long Fixed SL")
plot(strategy.position_size < 0 ? shortStop : na, style=plot.style_linebr, color=color.purple, linewidth=1, title="Short Fixed SL")


//display TP
plot(strategy.position_size > 0 ? longTP : na, style=plot.style_linebr, color=color.green, linewidth=1, title="Long Fixed TP")
plot(strategy.position_size < 0 ? shortTP : na, style=plot.style_linebr, color=color.green, linewidth=1, title="Short Fixed TP")

//do
if true
    //check money available
    if strategy.equity > 0
        //if tpActive //Need to put TP before Other exit
        strategy.exit("Close Long", from_entry="Long", limit=longTP,stop=longStop, comment="Close Long with : "+ str.tostring(math.round(strategy.equity)) +" $ ", qty_percent=100)
        strategy.exit("Close Short", from_entry="Short", limit=shortTP,stop=shortStop, comment="Close Short with : "+ str.tostring(math.round(strategy.equity)) +" $ ", qty_percent=100)
        //Set Stops
        //if StopActive
        //    strategy.exit("Stop Long", from_entry="Long", stop=longStop, comment="Stop Long with : "+ str.tostring(math.round(strategy.equity)) +" $ ")
        //    strategy.exit("Stop Short", from_entry="Short", stop=shortStop, comment="Stop Short with : "+ str.tostring(math.round(strategy.equity)) +" $ ")
        if longEntry
            if ShortActive
                strategy.close("Short",comment="Close Short with : "+ str.tostring(math.round(strategy.equity)) +" $ ")
                alert("Close Short")
            if LongActive
                strategy.entry("Long", strategy.long, comment="Open Long with : "+ str.tostring(math.round(strategy.equity)) +" $ ")
                alert("Open Long")
        if longExit
            if LongActive
                strategy.close("Long",comment="Close Long with : "+ str.tostring(math.round(strategy.equity)) +" $ ")
                alert("Close Long")
            if ShortActive
                strategy.entry("Short", strategy.short, comment="Open Short with : "+ str.tostring(math.round(strategy.equity)) +" $ ")
                alert("Open Short")


//alertcondition(longEntry and LongActive, title="Buy Divergence Open", message="Buy Divergence Long Opened!")
//alertcondition(longExit and ShortActive, title="Sell Divergence Open", message="Buy Divergence Short Opened!")

//alertcondition(longExit and LongActive, title="Buy Divergence Closed", message="Buy Divergence Long Closed!")
//alertcondition(longEntry and ShortActive, title="Sell Divergence Closed", message="Buy Divergence Short Closed!")