Chiến lược giao dịch hợp tác động lượng đa thời gian: hệ thống giao dịch định lượng tích hợp EMA/MA/RSI

/*backtest
start: 2024-03-25 00:00:00
end: 2025-03-24 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// Advanced Multi-Timeframe EMA/MA/RSI Strategy
// Uses 4h for confluence and 15m for entry
// Version 6

//@version=6
strategy("Forex Fire EMA/MA/RSI Strategy", overlay=true, 
         default_qty_type=strategy.percent_of_equity, default_qty_value=100, 
         initial_capital=10000, pyramiding=0, calc_on_every_tick=true)

// Input parameters with sections
// Timeframe inputs
tf_entry = input.string("15", title="Entry Timeframe", options=["1", "5", "15", "30", "60", "120"], group="Timeframes")
tf_confluence = input.string("240", title="Confluence Timeframe", options=["60", "240", "D", "W"], group="Timeframes")

// Indicator settings
ema_short_length = input.int(13, title="EMA Short Length", minval=5, maxval=50, group="EMAs")
ema_long_length = input.int(62, title="EMA Long Length", minval=20, maxval=200, group="EMAs")
ma_length = input.int(200, title="Moving Average Length", minval=50, maxval=500, group="Moving Average")
ma_type = input.string("SMA", title="MA Type", options=["SMA", "EMA", "WMA", "VWMA"], group="Moving Average")

// RSI settings
rsi_slow_length = input.int(28, title="RSI Slow Length", minval=14, maxval=50, group="RSI")
rsi_fast_length = input.int(7, title="RSI Fast Length", minval=3, maxval=14, group="RSI")
rsi_overbought = input.int(70, title="RSI Overbought Level", minval=60, maxval=90, group="RSI")
rsi_oversold = input.int(30, title="RSI Oversold Level", minval=10, maxval=40, group="RSI")

// Strategy parameters
use_atr_exits = input.bool(true, title="Use ATR for Exit Targets", group="Strategy Settings")
atr_multiplier = input.float(2.0, title="ATR Multiplier for Exits", minval=1.0, maxval=5.0, step=0.1, group="Strategy Settings")
atr_length = input.int(14, title="ATR Length", minval=5, maxval=30, group="Strategy Settings")
use_stop_loss = input.bool(true, title="Use Stop Loss", group="Risk Management")
stop_loss_percent = input.float(2.0, title="Stop Loss (%)", minval=0.5, maxval=10.0, step=0.5, group="Risk Management")
use_take_profit = input.bool(true, title="Use Take Profit", group="Risk Management")
take_profit_percent = input.float(4.0, title="Take Profit (%)", minval=1.0, maxval=20.0, step=1.0, group="Risk Management")
use_trailing_stop = input.bool(true, title="Use Trailing Stop", group="Risk Management")
trailing_percent = input.float(1.5, title="Trailing Stop (%)", minval=0.5, maxval=5.0, step=0.1, group="Risk Management")

// Visual settings
show_plot = input.bool(true, title="Show Indicator Plots", group="Visuals")
show_signals = input.bool(true, title="Show Entry/Exit Signals", group="Visuals")
show_table = input.bool(true, title="Show Info Table", group="Visuals")

// Helper function for MA type
f_ma(src, length, type) =>
    switch type
        "SMA" => ta.sma(src, length)
        "EMA" => ta.ema(src, length)
        "WMA" => ta.wma(src, length)
        "VWMA" => ta.vwma(src, length)
        => ta.sma(src, length)

// ATR for dynamic exits
atr_value = ta.atr(atr_length)

// Indicators for Entry timeframe
ema_short_entry = ta.ema(close, ema_short_length)
ema_long_entry = ta.ema(close, ema_long_length)
ma_entry = f_ma(close, ma_length, ma_type)
rsi_slow_entry = ta.rsi(close, rsi_slow_length)
rsi_fast_entry = ta.rsi(close, rsi_fast_length)

// Indicators for Confluence timeframe
ema_short_conf = request.security(syminfo.tickerid, tf_confluence, ta.ema(close, ema_short_length), barmerge.gaps_off, barmerge.lookahead_off)
ema_long_conf = request.security(syminfo.tickerid, tf_confluence, ta.ema(close, ema_long_length), barmerge.gaps_off, barmerge.lookahead_off)
ma_conf = request.security(syminfo.tickerid, tf_confluence, f_ma(close, ma_length, ma_type), barmerge.gaps_off, barmerge.lookahead_off)
rsi_slow_conf = request.security(syminfo.tickerid, tf_confluence, ta.rsi(close, rsi_slow_length), barmerge.gaps_off, barmerge.lookahead_off)
rsi_fast_conf = request.security(syminfo.tickerid, tf_confluence, ta.rsi(close, rsi_fast_length), barmerge.gaps_off, barmerge.lookahead_off)

// Volume confirmation
volume_increasing = volume > ta.sma(volume, 20)

// Plotting indicators - completely outside of conditional blocks
// We'll use the show_plot variable directly in the color transparency
ema_short_plot_color = show_plot ? color.new(color.green, 0) : color.new(color.green, 100)
ema_long_plot_color = show_plot ? color.new(color.red, 0) : color.new(color.red, 100)
ma_plot_color = show_plot ? color.new(color.blue, 0) : color.new(color.blue, 100)

plot(ema_short_entry, title="EMA Short (Entry)", color=ema_short_plot_color, linewidth=2)
plot(ema_long_entry, title="EMA Long (Entry)", color=ema_long_plot_color, linewidth=2)
plot(ma_entry, title="MA (Entry)", color=ma_plot_color, linewidth=2)

// Define entry conditions for Entry timeframe
long_entry_condition = ema_short_entry > ema_long_entry and close > ma_entry and rsi_fast_entry > rsi_slow_entry and rsi_fast_entry > 50 and volume_increasing
short_entry_condition = ema_short_entry < ema_long_entry and close < ma_entry and rsi_fast_entry < rsi_slow_entry and rsi_fast_entry < 50 and volume_increasing

// Define confluence conditions from Confluence timeframe
long_confluence = ema_short_conf > ema_long_conf and close > ma_conf and rsi_slow_conf > 40 and rsi_fast_conf > rsi_slow_conf
short_confluence = ema_short_conf < ema_long_conf and close < ma_conf and rsi_slow_conf < 60 and rsi_fast_conf < rsi_slow_conf

// Advanced entry conditions
ema_crossover = ta.crossover(ema_short_entry, ema_long_entry)
ema_crossunder = ta.crossunder(ema_short_entry, ema_long_entry)
price_crossover_ma = ta.crossover(close, ma_entry)
price_crossunder_ma = ta.crossunder(close, ma_entry)

// Enhanced strategy conditions combining both timeframes with crossovers
long_condition = (long_entry_condition and long_confluence) and (ema_crossover or price_crossover_ma)
short_condition = (short_entry_condition and short_confluence) and (ema_crossunder or price_crossunder_ma)

// Exit conditions
long_exit_technical = ema_short_entry < ema_long_entry or rsi_fast_entry > rsi_overbought
short_exit_technical = ema_short_entry > ema_long_entry or rsi_fast_entry < rsi_oversold

// Strategy execution
var float entry_price = 0.0
var float stop_loss_level = 0.0
var float take_profit_level = 0.0
var float trailing_stop_level = 0.0

if (long_condition)
    entry_price := close
    stop_loss_level := use_stop_loss ? close * (1 - stop_loss_percent / 100) : 0.0
    take_profit_level := use_take_profit ? close * (1 + take_profit_percent / 100) : 0.0
    trailing_stop_level := use_trailing_stop ? close * (1 - trailing_percent / 100) : 0.0
    strategy.entry("Long", strategy.long)

if (short_condition)
    entry_price := close
    stop_loss_level := use_stop_loss ? close * (1 + stop_loss_percent / 100) : 0.0
    take_profit_level := use_take_profit ? close * (1 - take_profit_percent / 100) : 0.0
    trailing_stop_level := use_trailing_stop ? close * (1 + trailing_percent / 100) : 0.0
    strategy.entry("Short", strategy.short)

// Handle stops and exits
if strategy.position_size > 0
    // Update trailing stop for longs
    if use_trailing_stop and close > entry_price
        trail_level = close * (1 - trailing_percent / 100)
        trailing_stop_level := math.max(trailing_stop_level, trail_level)
    
    // Exit conditions for longs
    if (use_stop_loss and low < stop_loss_level and stop_loss_level > 0) or 
       (use_take_profit and high > take_profit_level and take_profit_level > 0) or 
       (use_trailing_stop and low < trailing_stop_level and trailing_stop_level > 0) or
       (long_exit_technical)
        strategy.close("Long")

if strategy.position_size < 0
    // Update trailing stop for shorts
    if use_trailing_stop and close < entry_price
        trail_level = close * (1 + trailing_percent / 100)
        trailing_stop_level := math.min(trailing_stop_level, trail_level)
    
    // Exit conditions for shorts
    if (use_stop_loss and high > stop_loss_level and stop_loss_level > 0) or 
       (use_take_profit and low < take_profit_level and take_profit_level > 0) or 
       (use_trailing_stop and high > trailing_stop_level and trailing_stop_level > 0) or
       (short_exit_technical)
        strategy.close("Short")

// ATR-based exits
if use_atr_exits and strategy.position_size != 0
    atr_stop_long = strategy.position_size > 0 ? close - (atr_value * atr_multiplier) : 0.0
    atr_stop_short = strategy.position_size < 0 ? close + (atr_value * atr_multiplier) : 0.0
    
    if strategy.position_size > 0 and low <= atr_stop_long
        strategy.close("Long", comment="ATR Exit")
    
    if strategy.position_size < 0 and high >= atr_stop_short
        strategy.close("Short", comment="ATR Exit")

// Visual signals on chart - completely outside conditional blocks
// Define plot conditions with show_signals incorporated
longEntryPlot = long_condition and show_signals
shortEntryPlot = short_condition and show_signals
longExitPlot = strategy.position_size > 0 and (long_exit_technical or 
             (use_stop_loss and low < stop_loss_level and stop_loss_level > 0) or 
             (use_take_profit and high > take_profit_level and take_profit_level > 0) or 
             (use_trailing_stop and low < trailing_stop_level and trailing_stop_level > 0)) and show_signals
shortExitPlot = strategy.position_size < 0 and (short_exit_technical or 
             (use_stop_loss and high > stop_loss_level and stop_loss_level > 0) or 
             (use_take_profit and low < take_profit_level and take_profit_level > 0) or 
             (use_trailing_stop and high > trailing_stop_level and trailing_stop_level > 0)) and show_signals

// Move plotshape outside of any conditional block
plotshape(series=longEntryPlot, title="Long Entry", style=shape.triangleup, location=location.belowbar, 
         color=color.new(color.green, 0), size=size.small)
plotshape(series=shortEntryPlot, title="Short Entry", style=shape.triangledown, location=location.abovebar, 
         color=color.new(color.red, 0), size=size.small)
plotshape(series=longExitPlot, title="Long Exit", style=shape.circle, location=location.abovebar, 
         color=color.new(color.orange, 0), size=size.small)
plotshape(series=shortExitPlot, title="Short Exit", style=shape.circle, location=location.belowbar, 
         color=color.new(color.orange, 0), size=size.small)

// Info table
if show_table
    var table info = table.new(position.top_right, 3, 7, color.new(color.black, 0), color.new(color.white, 0), 2, color.new(color.gray, 0), 2)
    
    table.cell(info, 0, 0, "INDICATOR", bgcolor=color.new(color.blue, 10), text_color=color.white)
    table.cell(info, 1, 0, "ENTRY (" + tf_entry + ")", bgcolor=color.new(color.blue, 10), text_color=color.white)
    table.cell(info, 2, 0, "CONF (" + tf_confluence + ")", bgcolor=color.new(color.blue, 10), text_color=color.white)
    
    table.cell(info, 0, 1, "EMA Relation", bgcolor=color.new(color.gray, 10), text_color=color.white)
    table.cell(info, 1, 1, ema_short_entry > ema_long_entry ? "Bullish" : "Bearish", 
         bgcolor=ema_short_entry > ema_long_entry ? color.new(color.green, 20) : color.new(color.red, 20), 
         text_color=color.white)
    table.cell(info, 2, 1, ema_short_conf > ema_long_conf ? "Bullish" : "Bearish", 
         bgcolor=ema_short_conf > ema_long_conf ? color.new(color.green, 20) : color.new(color.red, 20), 
         text_color=color.white)
    
    table.cell(info, 0, 2, "Price vs MA", bgcolor=color.new(color.gray, 10), text_color=color.white)
    table.cell(info, 1, 2, close > ma_entry ? "Above" : "Below", 
         bgcolor=close > ma_entry ? color.new(color.green, 20) : color.new(color.red, 20), 
         text_color=color.white)
    table.cell(info, 2, 2, close > ma_conf ? "Above" : "Below", 
         bgcolor=close > ma_conf ? color.new(color.green, 20) : color.new(color.red, 20), 
         text_color=color.white)
    
    table.cell(info, 0, 3, "RSI Fast vs Slow", bgcolor=color.new(color.gray, 10), text_color=color.white)
    table.cell(info, 1, 3, rsi_fast_entry > rsi_slow_entry ? "Bullish" : "Bearish", 
         bgcolor=rsi_fast_entry > rsi_slow_entry ? color.new(color.green, 20) : color.new(color.red, 20), 
         text_color=color.white)
    table.cell(info, 2, 3, rsi_fast_conf > rsi_slow_conf ? "Bullish" : "Bearish", 
         bgcolor=rsi_fast_conf > rsi_slow_conf ? color.new(color.green, 20) : color.new(color.red, 20), 
         text_color=color.white)
         
    table.cell(info, 0, 4, "Volume", bgcolor=color.new(color.gray, 10), text_color=color.white)
    table.cell(info, 1, 4, volume_increasing ? "Increasing" : "Decreasing", 
         bgcolor=volume_increasing ? color.new(color.green, 20) : color.new(color.red, 20), 
         text_color=color.white)
    table.cell(info, 2, 4, "n/a", bgcolor=color.new(color.gray, 40), text_color=color.white)
    
    table.cell(info, 0, 5, "Entry Signal", bgcolor=color.new(color.gray, 10), text_color=color.white)
    table.cell(info, 1, 5, long_entry_condition ? "Long" : (short_entry_condition ? "Short" : "None"), 
         bgcolor=long_entry_condition ? color.new(color.green, 20) : (short_entry_condition ? color.new(color.red, 20) : color.new(color.gray, 40)), 
         text_color=color.white)
    table.cell(info, 2, 5, long_confluence ? "Long" : (short_confluence ? "Short" : "None"), 
         bgcolor=long_confluence ? color.new(color.green, 20) : (short_confluence ? color.new(color.red, 20) : color.new(color.gray, 40)), 
         text_color=color.white)
    
    table.cell(info, 0, 6, "Final Signal", bgcolor=color.new(color.blue, 10), text_color=color.white)
    table.cell(info, 1, 6, long_condition ? "LONG" : (short_condition ? "SHORT" : "NONE"), 
         bgcolor=long_condition ? color.new(color.green, 0) : (short_condition ? color.new(color.red, 0) : color.new(color.gray, 20)), 
         text_color=color.white)
    table.cell(info, 2, 6, strategy.position_size > 0 ? "In LONG" : (strategy.position_size < 0 ? "In SHORT" : "No Position"), 
         bgcolor=strategy.position_size > 0 ? color.new(color.green, 20) : (strategy.position_size < 0 ? color.new(color.red, 20) : color.new(color.gray, 40)), 
         text_color=color.white)