マルボローソク足セグメント均衡戦略

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

strategy(title="Marubozu", shorttitle="Marubozu", overlay=true, initial_capital = 1000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent , commission_value=0 )

C_Len = 14 // ema depth for bodyAvg
C_ShadowPercent = 5.0 // size of shadows
C_ShadowEqualsPercent = 100.0
C_DojiBodyPercent = 5.0
C_Factor = 2.0 // shows the number of times the shadow dominates the candlestick body

C_BodyHi = max(close, open)
C_BodyLo = min(close, open)
C_Body = C_BodyHi - C_BodyLo
C_BodyAvg = ema(C_Body, C_Len)
C_SmallBody = C_Body < C_BodyAvg
C_LongBody = C_Body > C_BodyAvg
C_UpShadow = high - C_BodyHi
C_DnShadow = C_BodyLo - low
C_HasUpShadow = C_UpShadow > C_ShadowPercent / 100 * C_Body
C_HasDnShadow = C_DnShadow > C_ShadowPercent / 100 * C_Body
C_WhiteBody = open < close
C_BlackBody = open > close
C_Range = high-low
C_IsInsideBar = C_BodyHi[1] > C_BodyHi and C_BodyLo[1] < C_BodyLo
C_BodyMiddle = C_Body / 2 + C_BodyLo
C_ShadowEquals = C_UpShadow == C_DnShadow or (abs(C_UpShadow - C_DnShadow) / C_DnShadow * 100) < C_ShadowEqualsPercent and (abs(C_DnShadow - C_UpShadow) / C_UpShadow * 100) < C_ShadowEqualsPercent
C_IsDojiBody = C_Range > 0 and C_Body <= C_Range * C_DojiBodyPercent / 100
C_Doji = C_IsDojiBody and C_ShadowEquals

patternLabelPosLow = low - (atr(30) * 0.6)
patternLabelPosHigh = high + (atr(30) * 0.6)

C_MarubozuWhiteBullishNumberOfCandles = 1
C_MarubozuShadowPercentWhite = 5.0
C_MarubozuWhiteBullish = C_WhiteBody and C_LongBody and C_UpShadow <= C_MarubozuShadowPercentWhite/100*C_Body and C_DnShadow <= C_MarubozuShadowPercentWhite/100*C_Body and C_WhiteBody
alertcondition(C_MarubozuWhiteBullish, title = "Marubozu White", message = "New Marubozu White - Bullish pattern detected.")
if C_MarubozuWhiteBullish
    var ttBullishMarubozuWhite = "Marubozu White\nA Marubozu White Candle is a candlestick that does not have a shadow that extends from its candle body at either the open or the close. Marubozu is Japanese for “close-cropped” or “close-cut.” Other sources may call it a Bald or Shaven Head Candle."
    label.new(bar_index, patternLabelPosLow, text="MW", style=label.style_label_up, color = color.blue, textcolor=color.white, tooltip = ttBullishMarubozuWhite)
bgcolor(highest(C_MarubozuWhiteBullish?1:0, C_MarubozuWhiteBullishNumberOfCandles)!=0 ? color.blue : na, offset=-(C_MarubozuWhiteBullishNumberOfCandles-1))

C_MarubozuBlackBearishNumberOfCandles = 1
C_MarubozuShadowPercentBearish = 5.0
C_MarubozuBlackBearish = C_BlackBody and C_LongBody and C_UpShadow <= C_MarubozuShadowPercentBearish/100*C_Body and C_DnShadow <= C_MarubozuShadowPercentBearish/100*C_Body and C_BlackBody
alertcondition(C_MarubozuBlackBearish, title = "Marubozu Black", message = "New Marubozu Black - Bearish pattern detected.")
if C_MarubozuBlackBearish
    var ttBearishMarubozuBlack = "Marubozu Black\nThis is a candlestick that has no shadow, which extends from the red-bodied candle at the open, the close, or even at both. In Japanese, the name means “close-cropped” or “close-cut.” The candlestick can also be referred to as Bald or Shaven Head."
    label.new(bar_index, patternLabelPosHigh, text="MB", style=label.style_label_down, color = color.red, textcolor=color.white, tooltip = ttBearishMarubozuBlack)
bgcolor(highest(C_MarubozuBlackBearish?1:0, C_MarubozuBlackBearishNumberOfCandles)!=0 ? color.red : na, offset=-(C_MarubozuBlackBearishNumberOfCandles-1))

strategy.entry("short",1,when= C_MarubozuBlackBearish)

strategy.entry("long",0,when=C_MarubozuWhiteBullish)

strategy.close("long",when= close[1] < open[1]and close[2] < open[2] and close > open)
strategy.close("short",when= close[1] > open[1]and close[2] > open[2] and close < open)