BTC Futures MACD

// BTC Futures MACD Strategy - Enhanced Visual Signals
// PROMINENT entry/exit markers for clear trading signals
// Optimized for Coinbase Nano Bitcoin Futures with fixed contract sizing (5/20/40)
// Educational strategy - requires backtesting and verification before live use
//
// License: MIT License
//
// Contributors:
// © TradingView Community - MACD indicator methodology
// © AI Assistant - Strategy implementation and enhanced visual signals
// © iamrichardD - Testing, validation & iterative improvement - https://github.com/iamrichardD
//
//@version=6
strategy("BTC Futures MACD [5M]", "BTC_MACD", overlay=false,
         default_qty_type=strategy.fixed, default_qty_value=5,
         commission_type=strategy.commission.percent, commission_value=0.05,
         slippage=1, calc_on_every_tick=true, calc_on_order_fills=false,
         max_bars_back=200, process_orders_on_close=true, scale=scale.right)

//=====================================================================================================================
// ENHANCED INPUT SETTINGS WITH CONTRACT SIZING OPTIONS
//=====================================================================================================================
grpMACD = "📊 MACD Settings"
fastLength = input.int(8, "Fast Length", minval=6, maxval=15, group=grpMACD)
slowLength = input.int(21, "Slow Length", minval=15, maxval=35, group=grpMACD)
signalLength = input.int(5, "Signal Length", minval=3, maxval=15, group=grpMACD)

grpSizing = "📏 Position Sizing Strategy"
positionSizeOptions = input.string("Conservative", "Position Size",
                                  options=["Conservative", "Moderate", "Aggressive", "Custom"], group=grpSizing,
                                  tooltip="Conservative=5 contracts, Moderate=20 contracts, Aggressive=40 contracts")
customContracts = input.int(5, "Custom Contracts", minval=1, maxval=100, group=grpSizing,
                           tooltip="Only used when Position Size is set to 'Custom'")

grpSignals = "🎯 Signal Settings"
useZeroCross = input.bool(true, "MACD Zero Line Cross", group=grpSignals)
useSignalCross = input.bool(true, "MACD Signal Line Cross", group=grpSignals)
useEarlySignals = input.bool(false, "Enable Early Momentum Signals", group=grpSignals)
momentumThreshold = input.float(0.25, "Momentum Threshold", minval=0.05, maxval=0.5, step=0.05, group=grpSignals)

grpRisk = "🛡️ Risk Management"
stopLossPercent = input.float(1.8, "Stop Loss %", minval=0.5, maxval=3.0, step=0.1, group=grpRisk)
takeProfitPercent = input.float(2.7, "Take Profit %", minval=1.0, maxval=4.0, step=0.1, group=grpRisk)
maxDailyTrades = input.int(12, "Max Daily Trades", minval=5, maxval=100, group=grpRisk)

grpFilters = "🔍 Signal Filters"
useVolumeFilter = input.bool(true, "Enable Volume Filter", group=grpFilters)
volumeThreshold = input.float(1.5, "Volume Threshold (x avg)", minval=1.0, maxval=3.0, step=0.1, group=grpFilters)
useTrendFilter = input.bool(true, "Enable Trend Filter", group=grpFilters)
trendLength = input.int(20, "Trend MA Length", minval=10, maxval=100, group=grpFilters)
useShortBias = input.bool(true, "Disable Short Trades", group=grpFilters)

//=====================================================================================================================
// SIMPLIFIED CONTRACT SIZE CALCULATION
//=====================================================================================================================
// Simple, fixed contract sizing based on trading strategy
getContractSize() =>
    switch positionSizeOptions
        "Conservative" => 5   // Safe position for testing/low volatility
        "Moderate" => 20      // Standard trading position
        "Aggressive" => 40    // High conviction trades
        "Custom" => customContracts
        => 5  // Default to conservative

// Get the contract size for current trade
contractSize = getContractSize()

//=====================================================================================================================
// MACD CALCULATION (SAME AS ORIGINAL)
//=====================================================================================================================
[macdLine, signalLine, histogramLine] = ta.macd(close, fastLength, slowLength, signalLength)

// Use previous bar data to avoid look-ahead bias
macdPrev = macdLine[1]
signalPrev = signalLine[1]
macdPrev2 = macdLine[2]
signalPrev2 = signalLine[2]

// Signal detection
macdZeroCrossUp = macdPrev > 0 and macdPrev2 <= 0
macdZeroCrossDown = macdPrev < 0 and macdPrev2 >= 0
macdSignalCrossUp = macdPrev > signalPrev and macdPrev2 <= signalPrev2
macdSignalCrossDown = macdPrev < signalPrev and macdPrev2 >= signalPrev2

//=====================================================================================================================
// TRADE TRACKING (SAME AS ORIGINAL)
//=====================================================================================================================
var int dailyTrades = 0
var float entryPrice = na
var string currentSignalType = ""

// Reset daily counter
newDay = ta.change(dayofweek) != 0
if newDay
    dailyTrades := 0

// Track trades
if strategy.closedtrades > strategy.closedtrades[1]
    dailyTrades := dailyTrades + 1

// Risk filter
riskOK = dailyTrades < maxDailyTrades

//=====================================================================================================================
// SIGNAL GENERATION WITH FILTERS (SAME AS ORIGINAL)
//=====================================================================================================================
// Volume and trend filters
avgVolume = ta.sma(volume, 20)
volumeCondition = not useVolumeFilter or volume > avgVolume * volumeThreshold

trendMA = ta.sma(close, trendLength)
bullishTrend = not useTrendFilter or close > trendMA
bearishTrend = not useTrendFilter or close < trendMA

// Raw signals
longZeroSignal = useZeroCross and macdZeroCrossUp
longSignalSignal = useSignalCross and macdSignalCrossUp
shortZeroSignal = useZeroCross and macdZeroCrossDown
shortSignalSignal = useSignalCross and macdSignalCrossDown

// Apply filters to signals
rawLongSignal = (longZeroSignal or longSignalSignal) and volumeCondition and bullishTrend
rawShortSignal = (shortZeroSignal or shortSignalSignal) and volumeCondition and bearishTrend and not useShortBias

// Enhanced final signals
finalLongSignal = rawLongSignal and riskOK and strategy.position_size == 0
finalShortSignal = rawShortSignal and riskOK and strategy.position_size == 0

//=====================================================================================================================
// STRATEGY EXECUTION WITH CORRECT CONTRACT SIZING
//=====================================================================================================================
// Enter positions with calculated contract size
if finalLongSignal
    strategy.entry("Long", strategy.long, qty=contractSize, comment="MACD Long (" + str.tostring(contractSize) + ")")

if finalShortSignal
    strategy.entry("Short", strategy.short, qty=contractSize, comment="MACD Short (" + str.tostring(contractSize) + ")")

// Calculate position levels
if strategy.position_size != 0
    entryPrice := strategy.position_avg_price
    stopLossPrice = strategy.position_size > 0 ? entryPrice * (1 - stopLossPercent / 100) : entryPrice * (1 + stopLossPercent / 100)
    takeProfitPrice = strategy.position_size > 0 ? entryPrice * (1 + takeProfitPercent / 100) : entryPrice * (1 - takeProfitPercent / 100)

    // Exit positions
    if strategy.position_size > 0
        strategy.exit("Long Exit", "Long", stop=stopLossPrice, limit=takeProfitPrice)
    if strategy.position_size < 0
        strategy.exit("Short Exit", "Short", stop=stopLossPrice, limit=takeProfitPrice)

//=====================================================================================================================
// ENHANCED VISUALIZATION WITH CONTRACT INFO
//=====================================================================================================================
// Plot MACD
macdPlot = plot(macdLine, "MACD Line", color.blue, 2)
signalPlot = plot(signalLine, "Signal Line", color.red, 2)
plot(histogramLine, "Histogram", color.gray, style=plot.style_histogram)
hline(0, "Zero Line", color.black)

// Entry signals with contract size info
plotshape(finalLongSignal, "LONG ENTRY", shape.triangleup, location.belowbar,
          color=color.lime, size=size.large, text="LONG")
plotshape(finalShortSignal, "SHORT ENTRY", shape.triangledown, location.abovebar,
          color=color.red, size=size.large, text="SHORT")

//=====================================================================================================================
// ENHANCED PERFORMANCE DASHBOARD
//=====================================================================================================================
if barstate.islast
    var table perfTable = table.new(position.top_right, 2, 13, bgcolor=color.white, border_width=2)

    // Headers
    table.cell(perfTable, 0, 0, "📊 BTC FUTURES MACD", text_color=color.white, bgcolor=color.navy)
    table.cell(perfTable, 1, 0, "STATUS", text_color=color.white, bgcolor=color.navy)

    // Performance metrics
    winRate = strategy.wintrades / math.max(strategy.closedtrades, 1) * 100
    currentNotional = strategy.position_size * close * 0.01

    table.cell(perfTable, 0, 1, "Account Balance", text_color=color.black)
    table.cell(perfTable, 1, 1, "$" + str.tostring(strategy.equity, "#,###"), text_color=color.green)

    table.cell(perfTable, 0, 2, "Total Trades", text_color=color.black)
    table.cell(perfTable, 1, 2, str.tostring(strategy.closedtrades), text_color=color.black)

    table.cell(perfTable, 0, 3, "Win Rate", text_color=color.black)
    table.cell(perfTable, 1, 3, str.tostring(winRate, "#.#") + "%",
               text_color=winRate > 50 ? color.green : color.red)

    table.cell(perfTable, 0, 4, "Net Profit", text_color=color.black)
    table.cell(perfTable, 1, 4, "$" + str.tostring(strategy.netprofit, "#,###"),
               text_color=strategy.netprofit > 0 ? color.green : color.red)

    table.cell(perfTable, 0, 5, "Position Size", text_color=color.black)
    table.cell(perfTable, 1, 5, str.tostring(math.abs(strategy.position_size)) + " contracts",
               text_color=strategy.position_size != 0 ? color.blue : color.gray)

    table.cell(perfTable, 0, 6, "Notional Value", text_color=color.black)
    table.cell(perfTable, 1, 6, "$" + str.tostring(math.abs(currentNotional), "#,###"),
               text_color=strategy.position_size != 0 ? color.blue : color.gray)

    table.cell(perfTable, 0, 7, "Next Trade Size", text_color=color.black)
    table.cell(perfTable, 1, 7, str.tostring(contractSize) + " contracts", text_color=color.orange)

    table.cell(perfTable, 0, 8, "Est. Notional", text_color=color.black)
    table.cell(perfTable, 1, 8, "$" + str.tostring(contractSize * close * 0.01, "#,###"), text_color=color.orange)

    table.cell(perfTable, 0, 9, "Daily Trades", text_color=color.black)
    table.cell(perfTable, 1, 9, str.tostring(dailyTrades) + "/" + str.tostring(maxDailyTrades),
               text_color=dailyTrades < maxDailyTrades ? color.green : color.red)

    table.cell(perfTable, 0, 10, "MACD Status", text_color=color.black)
    macdStatus = macdLine > 0 ? "BULLISH" : "BEARISH"
    table.cell(perfTable, 1, 10, macdStatus, text_color=macdLine > 0 ? color.green : color.red)

    table.cell(perfTable, 0, 12, "Position Sizing", text_color=color.black)
    table.cell(perfTable, 1, 12, "Per Contract: " + str.tostring(strategy.equity * 0.04616 / close / 0.01, "#.##") + "%", text_color=color.blue)

//=====================================================================================================================
// ALERTS WITH CONTRACT SIZE INFO
//=====================================================================================================================
if finalLongSignal
    alert("🚀 BTC LONG: " + str.tostring(contractSize) + " contracts (~$" + str.tostring(contractSize * close * 0.01, "#,###") + ")", alert.freq_once_per_bar)

if finalShortSignal
    alert("🎯 BTC SHORT: " + str.tostring(contractSize) + " contracts (~$" + str.tostring(contractSize * close * 0.01, "#,###") + ")", alert.freq_once_per_bar)