周末猎手策略

/*backtest
start: 2024-09-24 00:00:00
end: 2025-09-22 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":500000}]
*/

//@version=6
strategy("Weekend Hunter Ultimate v6.2 [PRODUCTION READY]", 
         overlay=true, 
         pyramiding=0,
         calc_bars_count=5000,
         default_qty_type=strategy.percent_of_equity, 
         default_qty_value=10,
         commission_type=strategy.commission.percent,
         commission_value=0.075,
         slippage=3,
         initial_capital=500)

// ========================================
// WEEKEND-ONLY CONFIGURATION
// ========================================

enable_weekend_only = input.bool(true, "WEEKEND TRADING ONLY", tooltip="Saturday-Sunday when institutions are offline")
weekend_start_day = input.string("Saturday", "Weekend Start", options=["Friday", "Saturday"])
weekend_end_day = input.string("Sunday", "Weekend End", options=["Sunday", "Monday"])

// Optimal Weekend Windows (Research-Based)
optimal_saturday_start = input.int(0, "Saturday Start Hour (UTC)", minval=0, maxval=23)
optimal_sunday_end = input.int(23, "Sunday End Hour (UTC)", minval=0, maxval=23)
prime_sunday_window = input.bool(true, "Enable Prime Sunday Window (0-8 UTC)")

// Weekend Detection Logic
is_saturday = dayofweek == dayofweek.saturday
is_sunday = dayofweek == dayofweek.sunday
is_weekend = is_saturday or is_sunday
current_hour = hour(time)

// Prime Weekend Window
in_prime_window = is_sunday and current_hour >= 0 and current_hour <= 8
in_weekend_hours = (is_saturday and current_hour >= optimal_saturday_start) or 
                  (is_sunday and current_hour <= optimal_sunday_end)

weekend_trading_active = enable_weekend_only ? (is_weekend and in_weekend_hours) : true

// ========================================
// POSITION & CAPITAL MANAGEMENT
// ========================================

var float daily_pnl = 0.0
var float weekend_pnl = 0.0
var int last_day = 0
var int consecutive_losses = 0

// Maximum concurrent positions with $500
max_concurrent_positions = 4
current_positions = strategy.opentrades

// Smart Capital Management
available_capital = strategy.equity - (strategy.position_size * close)
min_capital_per_trade = 120.0
safety_buffer = 50.0
can_afford_position = available_capital > (min_capital_per_trade + safety_buffer)
position_available = current_positions < max_concurrent_positions

// ========================================
// AGGRESSIVE 65% WIN RATE CONFIGURATION
// ========================================

historical_win_rate = input.float(65.0, "Target Win Rate %", minval=60.0, maxval=70.0) / 100
avg_win_percent = input.float(5.5, "Average Win %", minval=4.0, maxval=7.0) / 100
avg_loss_percent = input.float(1.8, "Average Loss %", minval=1.5, maxval=2.5) / 100

// Loss Limits
max_daily_loss = input.float(5.0, "Max Daily Loss %", minval=3.0, maxval=8.0)
max_weekend_loss = input.float(15.0, "Max Weekend Loss %", minval=10.0, maxval=20.0)
max_consecutive_losses_allowed = 4

// ========================================
// DYNAMIC LEVERAGE SYSTEM 5-20x
// ========================================

min_leverage = input.float(5.0, "Minimum Leverage", minval=5.0, maxval=10.0)
max_leverage = input.float(20.0, "Maximum Leverage", minval=15.0, maxval=25.0)

// EXACT COIN-SPECIFIC RISK PROFILES
symbol_risk_profile = syminfo.ticker == "BTCUSDT" ? 0.9 : 
                      syminfo.ticker == "ETHUSDT" ? 0.85 : 
                      syminfo.ticker == "LINKUSDT" ? 0.75 :
                      syminfo.ticker == "XRPUSDT" ? 0.75 :
                      syminfo.ticker == "DOGEUSDT" ? 0.6 :
                      syminfo.ticker == "SOLUSDT" ? 0.7 :
                      syminfo.ticker == "AVAXUSDT" ? 0.7 :
                      syminfo.ticker == "1000PEPEUSDT" ? 0.5 :
                      syminfo.ticker == "TONUSDT" ? 0.65 :
                      syminfo.ticker == "POLUSDT" ? 0.7 : 0.5

// ========================================
// PROFIT PROTECTION SYSTEM
// ========================================

use_trailing = input.bool(true, "Enable Smart Trailing", tooltip="Protects profits when approaching target")
trailing_activation_percent = input.float(2.5, "Trailing Activation %", minval=2.0, maxval=3.5)
trailing_distance_percent = input.float(1.5, "Trail Distance %", minval=1.0, maxval=2.0)

// ========================================
// MULTI-TIMEFRAME CONFLUENCE
// ========================================

// 4H Trend Bias
htf_4h_close = request.security(syminfo.tickerid, "240", close, lookahead=barmerge.lookahead_off)
htf_4h_ema50 = request.security(syminfo.tickerid, "240", ta.ema(close, 50), lookahead=barmerge.lookahead_off)

// 1H Momentum Confirmation - Fixed MACD
[htf_1h_macd, htf_1h_signal, htf_1h_hist] = request.security(syminfo.tickerid, "60", ta.macd(close, 12, 26, 9), lookahead=barmerge.lookahead_off)
htf_1h_rsi = request.security(syminfo.tickerid, "60", ta.rsi(close, 14), lookahead=barmerge.lookahead_off)

// Trend Alignment Scoring
htf_4h_trend = htf_4h_close > htf_4h_ema50 ? 1 : -1
htf_1h_momentum = htf_1h_macd > htf_1h_signal ? 1 : -1
current_trend = close > ta.ema(close, 20) ? 1 : -1

trend_alignment = (htf_4h_trend + htf_1h_momentum + current_trend) / 3.0

// ========================================
// VOLATILITY & MARKET REGIME
// ========================================

atr_period = 14
atr_value = ta.atr(atr_period)
atr_percentage = (atr_value / close) * 100

volatility_regime = atr_percentage < 2.0 ? "Low" : atr_percentage < 5.0 ? "Medium" : "High"

// Weekend Liquidity Adjustment
volume_sma = ta.sma(volume, 20)
current_liquidity_ratio = volume / volume_sma
weekend_liquidity_adjustment = is_weekend ? math.min(current_liquidity_ratio * 0.8, 1.0) : 1.0

// ========================================
// CVD DIVERGENCE DETECTION
// ========================================

var float cvd = 0.0
bull_volume = close > open ? volume : 0
bear_volume = close < open ? volume : 0
volume_delta = bull_volume - bear_volume
cvd := cvd + volume_delta

// Divergence Detection
price_higher = close > close[10]
cvd_lower = cvd < cvd[10]
bearish_divergence = price_higher and cvd_lower

price_lower = close < close[10]
cvd_higher = cvd > cvd[10]
bullish_divergence = price_lower and cvd_higher

// ========================================
// SIGNAL GENERATION SYSTEM
// ========================================

// Primary Indicators
rsi = ta.rsi(close, 8)

// Fixed MACD unpacking
[macd_line, signal_line, histogram] = ta.macd(close, 8, 17, 9)

// Fixed Bollinger Bands unpacking
[bb_upper, bb_middle, bb_lower] = ta.bb(close, 20, 2.5)

// Volume Confirmation
volume_surge = volume > (volume_sma * 1.5)
min_volume_threshold = ta.sma(volume, 100) * 0.1
valid_volume = volume > min_volume_threshold
volume_confirmation = volume_surge and current_liquidity_ratio > 0.7 and valid_volume

// Signal Strength Calculation
var float signal_strength = 0.0

// Trend Component (40% weight)
trend_score = trend_alignment * 40

// Momentum Component (30% weight)
momentum_bullish = rsi < 30 and rsi > rsi[1]
momentum_bearish = rsi > 70 and rsi < rsi[1]
momentum_score = momentum_bullish ? 30 : momentum_bearish ? -30 : 0

// Volume Component (20% weight)
volume_score = volume_confirmation ? 20 : 0
volume_score := volume_score + (bullish_divergence ? 10 : bearish_divergence ? -10 : 0)

// Weekend Component (10% weight) - Fixed type
weekend_score = is_weekend ? 10.0 : 0.0
if in_prime_window
    weekend_score := weekend_score * 1.5

signal_strength := trend_score + momentum_score + volume_score + weekend_score

// Weekend Signal Boost
if is_weekend
    signal_strength := signal_strength * 1.2
if in_prime_window
    signal_strength := signal_strength * 1.3

// ========================================
// DYNAMIC LEVERAGE CALCULATION
// ========================================

// Safety Score Components
volatility_safety = volatility_regime == "Low" ? 1.0 : volatility_regime == "Medium" ? 0.7 : 0.4
signal_confidence = math.abs(signal_strength) / 100
overall_safety = (volatility_safety + signal_confidence) / 2 * symbol_risk_profile

// Calculate Dynamic Leverage
leverage_range = max_leverage - min_leverage
dynamic_leverage = min_leverage + (leverage_range * overall_safety)
final_leverage = math.round(math.max(min_leverage, math.min(max_leverage, dynamic_leverage)), 1)

// ========================================
// POSITION SIZING WITH CAPITAL CHECK
// ========================================

// Signal Thresholds
min_signal_strength = input.float(55.0, "Minimum Signal Strength", minval=45.0, maxval=65.0)
high_confidence_threshold = input.float(75.0, "High Confidence Threshold", minval=70.0, maxval=85.0)

high_confidence = math.abs(signal_strength) > high_confidence_threshold
position_multiplier = high_confidence ? 1.3 : 1.0

// Calculate Position Size
base_position_usd = 120.0
desired_position_usd = base_position_usd * position_multiplier

// Pair-specific adjustment
pair_multiplier = syminfo.ticker == "1000PEPEUSDT" ? 0.5 : syminfo.ticker == "BTCUSDT" ? 1.0 : syminfo.ticker == "ETHUSDT" ? 1.0 : 0.8

final_position_usd = desired_position_usd * pair_multiplier
contracts = can_afford_position ? final_position_usd / close : 0

// ========================================
// ENTRY CONDITIONS WITH ALL SAFETY CHECKS
// ========================================

// Signal Conditions
strong_bullish_signal = signal_strength > min_signal_strength and trend_alignment > 0
strong_bearish_signal = signal_strength < -min_signal_strength and trend_alignment < 0

// Flash Crash Protection (8%)
flash_crash_detected = math.abs((close - close[4]) / close[4]) > 0.08

// Loss Tracking
if dayofmonth != last_day
    daily_pnl := 0.0
    if dayofweek == dayofweek.monday
        weekend_pnl := 0.0
    last_day := dayofmonth

daily_loss_pct = (daily_pnl / strategy.equity) * 100
weekend_loss_pct = (weekend_pnl / strategy.equity) * 100
loss_limits_active = daily_loss_pct <= -max_daily_loss or weekend_loss_pct <= -max_weekend_loss or consecutive_losses >= max_consecutive_losses_allowed

// Emergency Stop at -30% Account Level
account_emergency_stop = strategy.equity < (strategy.initial_capital * 0.7)

// Final Entry Conditions (fixed line continuation)
can_enter_long = strong_bullish_signal and weekend_trading_active and not loss_limits_active and position_available and can_afford_position and strategy.position_size == 0 and not flash_crash_detected and not account_emergency_stop

can_enter_short = strong_bearish_signal and weekend_trading_active and not loss_limits_active and position_available and can_afford_position and strategy.position_size == 0 and not flash_crash_detected and not account_emergency_stop

// ========================================
// DYNAMIC STOP LOSS & TAKE PROFIT
// ========================================

// ATR-Based with Leverage Adjustment  
base_atr_mult_sl = input.float(1.5, "Base ATR Multiplier SL", minval=1.0, maxval=2.0)
base_atr_mult_tp = input.float(4.5, "Base ATR Multiplier TP", minval=3.5, maxval=6.0)

leverage_adjustment = 1.0 + (final_leverage - 5) / 50
atr_mult_sl = base_atr_mult_sl / leverage_adjustment
atr_mult_tp = base_atr_mult_tp * (1.0 + signal_confidence * 0.2)

stop_distance = atr_value * atr_mult_sl
tp_distance = atr_value * atr_mult_tp

long_stop = close - stop_distance
long_tp = close + tp_distance
short_stop = close + stop_distance
short_tp = close - tp_distance

// ========================================
// STRATEGY EXECUTION WITH ALERTS
// ========================================

// Long Entry with alert
if can_enter_long
    alert_message = '{"action":"open_long","ticker":"' + syminfo.ticker + '","price":"' + str.tostring(close) + '","leverage":"' + str.tostring(final_leverage) + '","stop_loss":"' + str.tostring(long_stop) + '","take_profit":"' + str.tostring(long_tp) + '"}'
    strategy.entry("Long", strategy.long, qty=contracts, comment="L " + str.tostring(final_leverage, "#.#") + "x S:" + str.tostring(signal_strength, "#"))
    alert(alert_message, alert.freq_once_per_bar)
    
    if use_trailing
        strategy.exit("Long Exit", "Long", stop=long_stop, limit=long_tp, trail_points=close * trailing_activation_percent / 100, trail_offset=close * trailing_distance_percent / 100)
    else
        strategy.exit("Long Exit", "Long", stop=long_stop, limit=long_tp)

// Short Entry with alert
if can_enter_short  
    alert_message = '{"action":"open_short","ticker":"' + syminfo.ticker + '","price":"' + str.tostring(close) + '","leverage":"' + str.tostring(final_leverage) + '","stop_loss":"' + str.tostring(short_stop) + '","take_profit":"' + str.tostring(short_tp) + '"}'
    strategy.entry("Short", strategy.short, qty=contracts, comment="S " + str.tostring(final_leverage, "#.#") + "x S:" + str.tostring(signal_strength, "#"))
    alert(alert_message, alert.freq_once_per_bar)
    
    if use_trailing
        strategy.exit("Short Exit", "Short", stop=short_stop, limit=short_tp, trail_points=close * trailing_activation_percent / 100, trail_offset=close * trailing_distance_percent / 100)
    else
        strategy.exit("Short Exit", "Short", stop=short_stop, limit=short_tp)

// Emergency Exits with alert
if strategy.position_size != 0
    entry_price = strategy.position_avg_price
    current_profit_pct = strategy.position_size > 0 ? ((close - entry_price) / entry_price * 100) : ((entry_price - close) / entry_price * 100)
    
    // Liquidation Protection
    liq_distance = 100 / final_leverage * 0.8
    approaching_liquidation = math.abs(current_profit_pct) > liq_distance
    
    if approaching_liquidation or flash_crash_detected or account_emergency_stop
        alert('{"action":"close_all","ticker":"' + syminfo.ticker + '"}', alert.freq_once_per_bar)
        strategy.close_all(comment="EMERGENCY")

// Weekend End Exit
if dayofweek == dayofweek.monday and hour == 0 and strategy.position_size != 0
    alert('{"action":"close_all","ticker":"' + syminfo.ticker + '"}', alert.freq_once_per_bar)
    strategy.close_all(comment="Weekend End")


// Weekend Background
bgcolor(is_weekend ? color.new(color.blue, 95) : na, title="Weekend")
bgcolor(in_prime_window ? color.new(color.purple, 90) : na, title="Prime")

// Signal Strength
plot(signal_strength, "Signal", signal_strength > 0 ? color.lime : color.red, 2)
hline(min_signal_strength, "Min Signal", color.green, hline.style_dashed)
hline(-min_signal_strength, "Min Signal", color.red, hline.style_dashed)

// Entry Signals
plotshape(can_enter_long, "Long", shape.triangleup, location.belowbar, high_confidence ? color.lime : color.green, size=size.small)
plotshape(can_enter_short, "Short", shape.triangledown, location.abovebar, high_confidence ? color.red : color.maroon, size=size.small)

// Warnings
bgcolor(loss_limits_active ? color.new(color.red, 80) : na, title="Loss Limit")
bgcolor(account_emergency_stop ? color.new(color.purple, 80) : na, title="Emergency")

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