5분봉 자동매매 전략 (최적화: 안정화)

٣٠ ديسمبر ٢٠٢٤

//version=5
strategy("5분봉 자동매매 전략 (최적화: 안정화)", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === PARAMETERS ===
// RSI
rsiPeriod = input.int(14, title="RSI Period", minval=1)
overbought = input.float(70.0, title="RSI Overbought Level", step=0.1)
oversold = input.float(30.0, title="RSI Oversold Level", step=0.1)

// 이동평균선
smaShort = input.int(50, title="Short SMA Length", minval=1)
smaLong = input.int(200, title="Long SMA Length", minval=1)

// 거래량 필터
volumeThreshold = input.float(1.2, title="Volume Multiplier", step=0.1)

// 리스크 관리
takeProfit = input.float(3.0, title="Take Profit %", step=0.1)
stopLoss = input.float(1.0, title="Stop Loss %", step=0.1)
trailOffset = input.float(0.5, title="Trailing Stop Offset (Points)", step=0.1)

// === INDICATORS ===
rsiValue = ta.rsi(close, rsiPeriod)
smaShortValue = ta.sma(close, smaShort)
smaLongValue = ta.sma(close, smaLong)
[macdLine, signalLine, _] = ta.macd(close, 12, 26, 9)
[upperBB, _, lowerBB] = ta.bb(close, 20, 2)
avgVolume = ta.sma(volume, 20)

// 상위 시간대 RSI 필터
higherRSI = request.security(syminfo.tickerid, "15", ta.rsi(close, rsiPeriod), lookahead=barmerge.lookahead_on)

// === LONG ENTRY CONDITION ===
longCondition = (rsiValue < oversold) and
(smaShortValue > smaLongValue) and
(macdLine > signalLine) and
(close <= lowerBB) and
(volume > avgVolume * volumeThreshold) and
(higherRSI < 50)

// === SHORT ENTRY CONDITION ===
shortCondition = (rsiValue > overbought) and
(smaShortValue < smaLongValue) and
(macdLine < signalLine) and
(close >= upperBB) and
(volume > avgVolume * volumeThreshold) and
(higherRSI > 50)

// === POSITIONS ===
if (longCondition and strategy.position_size == 0)
strategy.entry("Long", strategy.long)
strategy.exit("Long Exit", stop=strategy.position_avg_price * (1 - stopLoss / 100), limit=strategy.position_avg_price * (1 + takeProfit / 100), trail_points=trailOffset)

if (shortCondition and strategy.position_size == 0)
strategy.entry("Short", strategy.short)
strategy.exit("Short Exit", stop=strategy.position_avg_price * (1 + stopLoss / 100), limit=strategy.position_avg_price * (1 - takeProfit / 100), trail_points=trailOffset)

// === 손절 신호 표시 ===
var bool stopLongShown = false
var bool stopShortShown = false

if (strategy.position_size > 0 and close <= strategy.position_avg_price * (1 - stopLoss / 100) and not stopLongShown)
label.new(bar_index, close, text="STOP_LONG", color=color.red, style=label.style_label_down, textcolor=color.white)
stopLongShown := true

if (strategy.position_size < 0 and close >= strategy.position_avg_price * (1 + stopLoss / 100) and not stopShortShown)
label.new(bar_index, close, text="STOP_SHORT", color=color.red, style=label.style_label_up, textcolor=color.white)
stopShortShown := true

if (strategy.position_size == 0)
stopLongShown := false
stopShortShown := false

// === VISUAL INDICATORS ===
plot(smaShortValue, title="SMA 50", color=color.blue)
plot(smaLongValue, title="SMA 200", color=color.red)
plot(upperBB, title="Upper BB", color=color.green)
plot(lowerBB, title="Lower BB", color=color.red)
plot(rsiValue, title="RSI", color=color.purple)

plot(longCondition ? close : na, title="Long Signal", style=plot.style_cross, color=color.green, linewidth=2)
plot(shortCondition ? close : na, title="Short Signal", style=plot.style_cross, color=color.red, linewidth=2)