ADR移動平均クロスオーバー戦略 - 多次元のテクニカル指標と厳格なストッププロフィットとストップロスを組み合わせた取引方法

/*backtest
start: 2024-02-26 00:00:00
end: 2024-03-27 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Sameh_Hussein

//@version=5
strategy('EMA Cross ADR Strategy with Stats', overlay=true)

// Adjustable Parameters
shortEmaLength = input(10, title='Short EMA Length')
longEmaLength = input(50, title='Long EMA Length')
adrLength = input(14, title='ADR Length')
riskRewardRatio = input(2.0, title='Risk/Reward Ratio')
lookbackCandles = input(10, title='Lookback Candles for Stop Loss')
startTime = input(0900, title='Start Time')
endTime = input(1600, title='End Time')
minAdrValue = input(10, title='Minimum ADR Value for Entry')
breakEvenProfit = input.float(1.0, title='Break-Even Profit', minval=0.0)
breakEvenRR = input.float(1.0, title='Break-Even Risk-Reward Ratio', minval=0.0)
dailyLossLimit = input(-2000.0, title='Daily Loss Limit')

// Exponential Moving Averages
shortEma = ta.ema(close, shortEmaLength)
longEma = ta.ema(close, longEmaLength)

// Average Daily Range
adr = ta.sma(ta.tr, adrLength)

// Time Filter Function
timeFilter() => true

// Entry Conditions with ADR filter
longCondition = ta.crossover(shortEma, longEma) and timeFilter() and adr > minAdrValue
shortCondition = ta.crossunder(shortEma, longEma) and timeFilter() and adr > minAdrValue

// Calculate the average low and average high of the previous 'lookbackCandles' candles
averageLow = ta.sma(low, lookbackCandles)
averageHigh = ta.sma(high, lookbackCandles)

// Risk and Reward Calculation
stopLossLong = averageLow
takeProfitLong = close + (close - averageLow) * riskRewardRatio
stopLossShort = averageHigh
takeProfitShort = close - (averageHigh - close) * riskRewardRatio

// Entry Control Variables
var longEntryAllowed = true
var shortEntryAllowed = true

// Update entry price on trade execution
var float entryPriceLong = na
var float entryPriceShort = na

if (strategy.position_size > 0)
    if (strategy.position_size[1] <= 0)
        entryPriceLong := strategy.opentrades.entry_price(strategy.opentrades - 1)
    else
        entryPriceLong := entryPriceLong
else
    entryPriceLong := na

if (strategy.position_size < 0)
    if (strategy.position_size[1] >= 0)
        entryPriceShort := strategy.opentrades.entry_price(strategy.opentrades - 1)
    else
        entryPriceShort := entryPriceShort
else
    entryPriceShort := na

// Adjust stop loss to break-even plus the defined profit when the specified risk-reward ratio is reached
breakEvenTriggerLong = entryPriceLong + (entryPriceLong - stopLossLong) * breakEvenRR
breakEvenTriggerShort = entryPriceShort - (stopLossShort - entryPriceShort) * breakEvenRR

if (longEntryAllowed and close >= breakEvenTriggerLong)
    stopLossLong := entryPriceLong + breakEvenProfit

if (shortEntryAllowed and close <= breakEvenTriggerShort)
    stopLossShort := entryPriceShort - breakEvenProfit

// Close all trades at 1600
if (hour == 15 and minute == 59)
    strategy.close_all(comment='Close at 1600')

// Define the daily loss variable and last trade day
var float[] dailyLossArray = array.new_float(1, 0.0)
var int[] lastTradeDayArray = array.new_int(1, na)

// Function to update the daily loss
updateDailyLoss() =>
    _dailyLoss = array.get(dailyLossArray, 0)
    _lastTradeDay = array.get(lastTradeDayArray, 0)
    if na(_lastTradeDay) or dayofmonth != _lastTradeDay
        _dailyLoss := 0.0
        array.set(lastTradeDayArray, 0, dayofmonth)
    if not na(strategy.closedtrades.entry_bar_index(strategy.closedtrades - 1))
        _dailyLoss += strategy.closedtrades.profit(strategy.closedtrades - 1)
    array.set(dailyLossArray, 0, _dailyLoss)

// Call the function to update the daily loss
updateDailyLoss()

// Execute Strategy
if longCondition and longEntryAllowed
    strategy.entry('Long', strategy.long)
    strategy.exit('Take Profit/Stop Loss', 'Long', stop=stopLossLong, limit=takeProfitLong)
    longEntryAllowed := false

if shortCondition and shortEntryAllowed
    strategy.entry('Short', strategy.short)
    strategy.exit('Take Profit/Stop Loss', 'Short', stop=stopLossShort, limit=takeProfitShort)
    shortEntryAllowed := false

// Reset entry control variables on position close
if strategy.position_size == 0
    longEntryAllowed := true
    shortEntryAllowed := true

// // Statistics
// winRate = strategy.wintrades / strategy.closedtrades * 100
// totalTrades = strategy.closedtrades
// averageProfit = strategy.grossprofit / strategy.wintrades
// averageLoss = strategy.grossloss / strategy.losstrades

// // Plotting
// plot(shortEma, color=color.new(color.red, 0), title='Short EMA')
// plot(longEma, color=color.new(color.blue, 0), title='Long EMA')

// // Display Table
// table statsTable = table.new(position=position.top_right, columns=2, rows=4, bgcolor=color.gray, border_width=1)
// table.cell(statsTable, column=0, row=0, text='Win Rate (%)', bgcolor=color.blue)
// table.cell(statsTable, column=1, row=0, text=str.tostring(winRate), bgcolor=color.blue)
// table.cell(statsTable, column=0, row=1, text='Total Trades', bgcolor=color.blue)
// table.cell(statsTable, column=1, row=1, text=str.tostring(totalTrades), bgcolor=color.blue)
// table.cell(statsTable, column=0, row=2, text='Average Profit', bgcolor=color.blue)
// table.cell(statsTable, column=1, row=2, text=str.tostring(averageProfit), bgcolor=color.blue)
// table.cell(statsTable, column=0, row=3, text='Average Loss', bgcolor=color.blue)
// table.cell(statsTable, column=1, row=3, text=str.tostring(averageLoss), bgcolor=color.blue)