Стратегия поглощения диапазона скользящей средней

/*backtest
start: 2024-01-10 00:00:00
end: 2024-01-17 00:00:00
period: 45m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

// This is a simple crossover Moving Average strategy, good for long term crypto trades. 
// It buys when the MA "X" crosses up the MA "Y", viceversa for shorts. 
// Both MAs are selectable from the Inputs section in the front panel. 
// There is also a Position Management option thats 
// sizes positions to have the same USD risk (using leverage) on each trade,
// based on the percentage distance to the stop loss level.
// If you turn this option on you will see how the profit 
// grows exponentially while the drawdown percentage almost remains the same.

strategy("4 MA Strat", overlay=true, pyramiding=1, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100, 
     commission_value = 0.04, 
     initial_capital=100, 
     process_orders_on_close=false)

direction = input(0, title = "Strategy Direction", type=input.integer, minval=-1, maxval=1)
strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long))

//Inputs
PSMGMT=input(defval=false, title="Position Management")
risk_per_trade=input(defval=5, title="Risk Per Trade % (for PSMGMT)", step=0.5)*.01

//SL & TP Inputs
i_SL=input(true, title="Use Swing Lo/Hi Stop Loss & Take Profit")
i_SwingLookback=input(10, title="Swing Lo/Hi Lookback")
i_SLExpander=input(defval=0, step=1, title="SL Expander")

i_MAFilter=input(false, title="Use MA4 as Bull / Bear filter")

//MA Type Selector
MAtype = input(false, title="----------------MA Selector-----------------")
MA1Period = input(9, title="MA1 Period")
MA1Type = input(title="MA1 Type", defval="EMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "ALMA"])
MA2Period = input(21, title="MA2 Period")
MA2Type = input(title="MA2 Type", defval="EMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "ALMA"])
MA3Period = input(50, title="MA3 Period")
MA3Type = input(title="MA3 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "ALMA"])
MA4Period = input(100, title="MA4 Period")
MA4Type = input(title="MA4 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "ALMA"])

//MA Selector 
MA1 = if MA1Type == "SMA"
    sma(close, MA1Period)
else
    if MA1Type == "EMA"
        ema(close, MA1Period)
    else
        if MA1Type == "WMA"
            wma(close, MA1Period)
        else
            if MA1Type == "RMA"
                rma(close, MA1Period)
            else
                if MA1Type == "HMA"
                    hma(close, MA1Period)
                else
                    if MA1Type == "ALMA"
                        alma(close, MA1Period, 0.85, 6)
                    
MA2 = if MA2Type == "SMA"
    sma(close, MA2Period)
else
    if MA2Type == "EMA"
        ema(close, MA2Period)
    else
        if MA2Type == "WMA"
            wma(close, MA2Period)
        else
            if MA2Type == "RMA"
                rma(close, MA2Period)
            else
                if MA2Type == "HMA"
                    hma(close, MA2Period)
                else
                    if MA2Type == "ALMA"
                        alma(close, MA2Period, 0.85, 6)
                            
MA3 = if MA3Type == "SMA"
    sma(close, MA3Period)
else
    if MA3Type == "EMA"
        ema(close, MA3Period)
    else
        if MA3Type == "WMA"
            wma(close, MA3Period)
        else
            if MA3Type == "RMA"
                rma(close, MA3Period)
            else
                if MA3Type == "HMA"
                    hma(close, MA3Period)
                else
                    if MA3Type == "ALMA"
                        alma(close, MA3Period, 0.85, 6)
                    
MA4 = if MA4Type == "SMA"
    sma(close, MA4Period)
else
    if MA4Type == "EMA"
        ema(close, MA4Period)
    else
        if MA4Type == "WMA"
            wma(close, MA4Period)
        else
            if MA4Type == "RMA"
                rma(close, MA4Period)
            else
                if MA4Type == "HMA"
                    hma(close, MA4Period)
                else
                    if MA4Type == "ALMA"
                        alma(close, MA4Period, 0.85, 6)
                    
// X Y Logic
x=input(title="x", defval="close", options=["MA1", "MA2", "MA3", "MA4", "close"])
y=input(title="y", defval="MA1", options=["MA1", "MA2", "MA3", "MA4", "close"])

X = if x == "MA1"
    MA1
else
    if x == "MA2"
        MA2
    else
        if x == "MA3"
            MA3
        else
            if x == "MA4"
                MA4
            else
                if x == "close"
                    close
                    
Y = if y == "MA1"
    MA1
else
    if y == "MA2"
        MA2
    else
        if y == "MA3"
            MA3
        else
            if y == "MA4"
                MA4
            else
                if y == "close"
                    close

//SL & TP Calculations
SwingLow=lowest(i_SwingLookback)
SwingHigh=highest(i_SwingLookback)
bought=strategy.position_size != strategy.position_size[1]
LSL=valuewhen(bought, SwingLow, 0)-((valuewhen(bought, atr(14), 0)/5)*i_SLExpander)
SSL=valuewhen(bought, SwingHigh, 0)+((valuewhen(bought, atr(14), 0)/5)*i_SLExpander)
islong=strategy.position_size > 0
isshort=strategy.position_size < 0
SL= islong ? LSL : isshort ? SSL : na

//Position Management Calculations
capital=strategy.equity
distance_to_long_stop_loss=1-(LSL/strategy.position_avg_price)
distance_to_short_stop_loss=(SSL/strategy.position_avg_price)-1
PS=(capital*risk_per_trade)/distance_to_long_stop_loss
SPS=(capital*risk_per_trade)/distance_to_short_stop_loss
PSqty=PS/close
SPSqty=SPS/close

//Strategy Calculations
MAFilter=close > MA4
BUY = crossover(X , Y) 
SELL = crossunder(X , Y) 
BUY2 = crossover(X , Y) and MAFilter
SELL2 = crossunder(X , Y) and not MAFilter

//Entries
strategy.entry("long", true, qty=PSMGMT ? PSqty : na, when=not i_MAFilter ? BUY : BUY2)
strategy.entry("short", false, qty=PSMGMT ? SPSqty : na, when=not i_MAFilter ? SELL : SELL2)

//Exits
if i_SL //and SL != na
    strategy.exit("longexit", "long", stop=LSL)
    strategy.exit("shortexit", "short", stop=SSL)
if i_MAFilter
    strategy.close("long", when=SELL)
    strategy.close("short", when=BUY)


//Plots
plot(i_SL ? SL : na, color=color.red, style=plot.style_cross, title="SL")
plot(MA1, color=color.green, linewidth=1, title="MA1")
plot(MA2, color=color.yellow, linewidth=2, title="MA2")
plot(MA3, color=color.red, linewidth=3, title="MA3")
plot(MA4, color=color.white, linewidth=3, title="MA4")
plotshape(BUY ? 1 : na, style=shape.triangleup, location=location.belowbar, color=color.green, title="Bullish Setup")
plotshape(SELL ? 1 : na, style=shape.triangledown, location=location.abovebar, color=color.red, title="Bearish Setup")


//Debugging Plots
plot(LSL, transp=100, title="SwingLow")
plot(bought ? 1:0, transp=100, title="bought")
plot(PSqty, title="PSqty", transp=100)
plot(SPSqty, title="SPSqty", transp=100)
plot(PS, title="PS", transp=100)
plot(SPS, title="SPS", transp=100)
plot(distance_to_long_stop_loss, title="distance to LSL", transp=100)
plot(distance_to_short_stop_loss, title="distance to SSL", transp=100)
plot(capital, title="equity", transp=100)