アンカーローリングCVDVWAPに基づくシグナル戦略

/*backtest
start: 2022-12-28 00:00:00
end: 2023-12-28 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy('Anchored Rolling CVDVWAP Signal Strategy', overlay=true)

// User-defined settings
vwapAnchorPeriod = input.int(20, title="Rolling VWAP Anchor Period", group="Settings")
stdDevMult = input.float(2.0, title="Standard Deviation Multiplier for Envelope", group="Settings")
analysis_period = input.int(7, minval=1, maxval=100, title="Analysis Period", group="Settings")
useVwapFilter = input.bool(true, title="Use Anchored VWAP Filter", group="Filters")
useCvdFilter = input.bool(true, title="Use CVD Filter", group="Filters")
cvdLength = input.int(20, title="CVD Length", group="Filters")
tpPercent = input.float(200.0, title="Take Profit % of SL Distance", group="Trade Settings")
slPeriods = input.int(200, title="Stop Loss Lookback Period", group="Trade Settings")
toggleSignals = input.bool(false, title="Toggle Signals", group="Settings")

// Finding the anchor bar
highestVol = ta.highest(volume, vwapAnchorPeriod)
var int anchorBar = na
if volume == highestVol
    anchorBar := bar_index

// Initializing variables for anchored VWAP and envelope calculation
var float avwapNumerator = na
var float avwapDenominator = na
var float anchoredVwap = na
var float sum = 0.0
var int count = 0
var float sumDev = 0.0

// Calculating Anchored VWAP and envelope
if not na(anchorBar)
    if bar_index == anchorBar
        avwapNumerator := high * volume + low * volume + close * volume
        avwapDenominator := volume * 3
        sum := 0.0
        count := 0
        sumDev := 0.0
    else if bar_index > anchorBar
        avwapNumerator := avwapNumerator[1] + high * volume + low * volume + close * volume
        avwapDenominator := avwapDenominator[1] + volume * 3
        sum := sum[1] + close
        count := count[1] + 1
        sumDev := sumDev[1] + math.pow(close - (sum / count), 2)
    anchoredVwap := avwapNumerator / avwapDenominator

// Standard deviation envelope calculation
float mean = sum / math.max(count, 1)
float stDev = math.sqrt(sumDev / math.max(count, 1))
float upperBand = anchoredVwap + stdDevMult * stDev
float lowerBand = anchoredVwap - stdDevMult * stDev

// CVD calculation and filter application
cvd = ta.cum(volume - ta.sma(volume, cvdLength))
bool cvdCondition = useCvdFilter ? (cvd[1] < cvd and cvd > cvd[1]) : true

// Dip and Rip pattern detection
roc = ta.roc(close, analysis_period)
dip_move_value = input.float(-8, title="Down (%)", step=0.50, minval=-100, maxval=-0.01, group="Settings")
rip_move_value = input.float(8, title="Up (%)", step=0.50, minval=0.01, maxval=100.00, group="Settings")
dip = roc <= dip_move_value and cvdCondition and (not useVwapFilter or close < anchoredVwap)
rip = roc >= rip_move_value and cvdCondition and (not useVwapFilter or close > anchoredVwap)

// State variables for signals and TP/SL execution
var bool inTrade = false // If we are currently in a trade
var bool takeLong = false // If the last signal was a buy
var bool takeShort = false // If the last signal was a sell
var float tradeEntryPrice = na // The trade entry price
var float tradeSL = na // The current trade's Stop Loss level
var float tradeTP = na // The current trade's Take Profit level

// Setting SL and TP levels for the trade
tradeSL := dip ? ta.highest(high, slPeriods) : (rip ? ta.lowest(low, slPeriods) : tradeSL)
tradeTP := dip ? tradeEntryPrice - (tradeSL - tradeEntryPrice) * tpPercent / 100 : (rip ? tradeEntryPrice + (tradeEntryPrice - tradeSL) * tpPercent / 100 : tradeTP)

// Trade entry logic
if (dip or rip) and not inTrade
    tradeEntryPrice := close
    inTrade := true
    takeLong := rip
    takeShort := dip

// Trade exit logic at TP or SL
if inTrade and ((takeLong and (low < tradeSL or high > tradeTP)) or (takeShort and (high > tradeSL or low < tradeTP)))
    inTrade := false // Exit the trade

// Display logic for signals based on the toggle
bool showLongSignal = rip and (not toggleSignals or not takeLong)
bool showShortSignal = dip and (not toggleSignals or not takeShort)

// Reset signals if toggle is active and trade is exited
if toggleSignals and not inTrade
    takeLong := true
    takeShort := true

// Strategy entry and exit logic
if showLongSignal
    strategy.entry("Long", strategy.long)

if showShortSignal
    strategy.close("Long")

if showShortSignal
    strategy.entry("Short", strategy.short)

if showLongSignal
    strategy.close("Short")

// Plotting of entry signals, anchored VWAP, and envelope
plot(upperBand, title="Upper Envelope", color=color.green)
plot(lowerBand, title="Lower Envelope", color=color.red)
plot(anchoredVwap, title="Anchored VWAP", color=color.blue)

// Coloring and shapes for Dip and Rip
barcolor(dip ? color.rgb(255, 0, 0) : na, title="Down Bar Color")
bgcolor(dip ? color.rgb(255, 0, 0, 80) : na, title="Down Background Color")
plotshape(dip, title="Dip - Down", location=location.top, color=color.rgb(255, 82, 82, 45), style=shape.square, size=size.tiny)
barcolor(rip ? color.rgb(0, 255, 0) : na, title="Up Bar Color")
bgcolor(rip ? color.rgb(0, 255, 0, 80) : na, title="Up Background Color")
plotshape(rip, title="Rip - Up", location=location.top, color=color.rgb(76, 175, 79, 55), style=shape.square, size=size.tiny)

// Strategy exit conditions for TP and SL
strategy.exit("Take Profit Long", from_entry = "Long", limit = tradeTP)
strategy.exit("Stop Loss Long", from_entry = "Long", stop = tradeSL)
strategy.exit("Take Profit Short", from_entry = "Short", limit = tradeTP)
strategy.exit("Stop Loss Short", from_entry = "Short", stop = tradeSL)