Chiến lược theo xu hướng được thúc đẩy bởi chỉ báo động kết hợp với hệ thống quản lý rủi ro

/*backtest
start: 2024-02-10 00:00:00
end: 2025-02-08 08:00:00
period: 4h
basePeriod: 4h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("High Win-Rate Crypto Strategy with Drawdown Limit", overlay=true, initial_capital=10000, default_qty_type=strategy.fixed, process_orders_on_close=true)

// Moving Averages
ema8 = ta.ema(close, 8)
ema21 = ta.ema(close, 21)
ema50 = ta.ema(close, 50)

// RSI settings
rsi = ta.rsi(close, 14)
rsi_ma = ta.sma(rsi, 5)

// Momentum and Volume
mom = ta.mom(close, 8)
vol_ma = ta.sma(volume, 15)
high_vol = volume > vol_ma * 1

// Trend Strength
[diplus, diminus, _] = ta.dmi(14, 14)
strong_trend = diplus > 20 or diminus > 20

// Price channels
highest_15 = ta.highest(high, 15)
lowest_15 = ta.lowest(low, 15)
mid_channel = (highest_15 + lowest_15) / 2

// Trend Conditions
uptrend = ema8 > ema21 and close > mid_channel
downtrend = ema8 < ema21 and close < mid_channel

// Entry Conditions
longCondition = uptrend and ta.crossover(ema8, ema21) and rsi_ma > 35 and rsi_ma < 65 and mom > 0 and high_vol and diplus > diminus
shortCondition = downtrend and ta.crossunder(ema8, ema21) and rsi_ma > 35 and rsi_ma < 65 and mom < 0 and high_vol and diminus > diplus

// Dynamic Stop Loss based on ATR
atr = ta.atr(14)
stopSize = atr * 1.3

// Calculate position size based on fixed risk
riskAmount = strategy.initial_capital * 0.05

getLongPosSize(riskAmount, stopSize) => riskAmount / stopSize    
getShortPosSize(riskAmount, stopSize) => riskAmount / stopSize

// Monthly drawdown tracking
var float peakEquity = na
var int currentMonth = na
var float monthlyDrawdown = na
maxDrawdownPercent = 10

// Variables for SL and TP
var float stopLoss = na
var float takeProfit = na
var bool inTrade = false
var string tradeType = na

// Reset monthly metrics
monthNow = month(time)
if na(currentMonth) or currentMonth != monthNow
    currentMonth := monthNow
    peakEquity := strategy.equity
    monthlyDrawdown := 0.0

// Update drawdown metrics
peakEquity := math.max(peakEquity, strategy.equity)
monthlyDrawdown := math.max(monthlyDrawdown, (peakEquity - strategy.equity) / peakEquity * 100)

// Trading condition
canTrade = monthlyDrawdown < maxDrawdownPercent

// Entry and Exit Logic
if strategy.position_size == 0
    inTrade := false
    if longCondition and canTrade
        stopLoss := low - stopSize
        takeProfit := close + (stopSize * 2)
        posSize = getLongPosSize(riskAmount, stopSize)
        strategy.entry("Long", strategy.long, qty=posSize)
        strategy.exit("Long Exit", "Long", stop=stopLoss, limit=takeProfit)
        inTrade := true
        tradeType := "long"
    if shortCondition and canTrade
        stopLoss := high + stopSize
        takeProfit := close - (stopSize * 2)
        posSize = getShortPosSize(riskAmount, stopSize)
        strategy.entry("Short", strategy.short, qty=posSize)
        strategy.exit("Short Exit", "Short", stop=stopLoss, limit=takeProfit)
        inTrade := true
        tradeType := "short"

// Plot variables
plotSL = inTrade ? stopLoss : na
plotTP = inTrade ? takeProfit : na

// EMA Plots
plot(ema8, "EMA 8", color=color.blue, linewidth=1)
plot(ema21, "EMA 21", color=color.yellow, linewidth=1)
plot(ema50, "EMA 50", color=color.white, linewidth=1)

// SL and TP Plots
plot(plotSL, "Stop Loss", color=color.red, style=plot.style_linebr, linewidth=1)
plot(plotTP, "Take Profit", color=color.green, style=plot.style_linebr, linewidth=1)

// Signal Plots
plotshape(longCondition and canTrade, "Buy Signal", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small)
plotshape(shortCondition and canTrade, "Sell Signal", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)

// SL/TP Markers with correct y parameter syntax
plot(inTrade ? stopLoss : na, "Stop Loss Level", style=plot.style_circles, color=color.red, linewidth=2)
plot(inTrade ? takeProfit : na, "Take Profit Level", style=plot.style_circles, color=color.green, linewidth=2)

// Background Color
noTradingMonth = monthlyDrawdown >= maxDrawdownPercent
bgcolor(noTradingMonth ? color.new(color.gray, 80) : uptrend ? color.new(color.green, 95) : downtrend ? color.new(color.red, 95) : na)

// Drawdown Label
var label drawdownLabel = na
label.delete(drawdownLabel)
drawdownLabel := label.new(bar_index, high, "Monthly Drawdown: " + str.tostring(monthlyDrawdown, "#.##") + "%\n" + (noTradingMonth ? "NO TRADING" : "TRADING ALLOWED"), style=label.style_label_down, color=noTradingMonth ? color.red : color.green, textcolor=color.white, size=size.small)