EMAクロスオーバーとボリンジャーバンドのデュアルエントリー戦略：トレンド追跡とボラティリティのブレイクスルーを組み合わせた定量取引システム

/*backtest
start: 2023-07-23 00:00:00
end: 2024-07-28 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("EMA Crossover with BB Double Entry", overlay=true, initial_capital=1000, default_qty_type=strategy.cash, default_qty_value=100)

// Input parameters
fastLength = input.int(12, "Fast EMA Length")
slowLength = input.int(26, "Slow EMA Length")
atrPeriod = input.int(14, "ATR Period")
atrMultiplier = input.float(1.0, "ATR Multiplier")
useATRStopLoss = input.bool(true, "Use ATR Stop Loss")
stopLossDays = input.int(5, "Number of days for stop loss", minval=1, maxval=50)
riskPerTrade = input.float(3.0, "Risk per trade (%)", minval=0.1, maxval=5, step=0.1)
bbRiskPerTrade = input.float(1.5, "Risk for BB breakout trade (%)", minval=0.1, maxval=5, step=0.1)

// Bollinger Bands parameters
bbLength = input.int(55, "BB Length")
bbMult = input.float(0.9, "BB Standard Deviation")
useBBPauseResume = input.bool(false, "Use BB for Pause/Resume trading")

// Backtesting dates
startDate = input(timestamp("2020-01-01"), "Start Date")
endDate = input(timestamp("9999-12-31"), "End Date")

// Calculate EMAs
fastEMA = ta.ema(close, fastLength)
slowEMA = ta.ema(close, slowLength)

// Calculate ATR
atr = ta.atr(atrPeriod)

// Calculate Bollinger Bands
bbBasis = ta.sma(close, bbLength)
bbDev = bbMult * ta.stdev(close, bbLength)
bbUpper = bbBasis + bbDev
bbLower = bbBasis - bbDev

// Define trading conditions
longCondition = ta.crossover(fastEMA, slowEMA)
shortCondition = ta.crossunder(fastEMA, slowEMA)
bullish = fastEMA > slowEMA
bearish = fastEMA < slowEMA

// Bollinger Bands breakout
bbBreakout = close > bbUpper and close[1] <= bbUpper[1]

// Calculate lowest low for stop loss
lowestLow = ta.lowest(low, stopLossDays)

// Variables to store entry price and stop loss
var float entryPrice = na
var float stopLoss = na
var bool inPosition = false
var bool pauseTrading = false

// Entry logic
entryConditions = (longCondition or (bbBreakout and bullish)) and
                  (not useBBPauseResume or close > bbBasis) and
                  not pauseTrading

if entryConditions and not inPosition
    entryPrice := close
    atrStopLoss = close - (atr * atrMultiplier)
    lowStopLoss = lowestLow
    stopLoss := useATRStopLoss ? atrStopLoss : lowStopLoss
    
    riskAmount = strategy.equity * (riskPerTrade / 100)
    positionSize = riskAmount / (close - stopLoss)
    
    strategy.entry("Long", strategy.long, qty=positionSize)
    inPosition := true
    pauseTrading := false
    
    alert("BUY," + syminfo.ticker + ",EntryPrice=" + str.tostring(close) + ",StopLoss=" + str.tostring(stopLoss) + ",PositionSize=" + str.tostring(positionSize), alert.freq_once_per_bar_close)

// Additional entry on BB breakout
if inPosition and bbBreakout and bullish and (not useBBPauseResume or close > bbBasis)
    bbRiskAmount = strategy.equity * (bbRiskPerTrade / 100)
    bbPositionSize = bbRiskAmount / (close - stopLoss)
    
    strategy.entry("Long_BB", strategy.long, qty=bbPositionSize)
    
    alert("ADD," + syminfo.ticker + ",EntryPrice=" + str.tostring(close) + ",StopLoss=" + str.tostring(stopLoss) + ",PositionSize=" + str.tostring(bbPositionSize), alert.freq_once_per_bar_close)

// Exit logic
if shortCondition or (useBBPauseResume and inPosition and close < bbBasis)
    if shortCondition
        strategy.close_all(comment="EMA Crossdown")
        inPosition := false
        pauseTrading := false
        alert("SELL," + syminfo.ticker + ",Reason=EMA_Crossdown", alert.freq_once_per_bar_close)
    else if useBBPauseResume
        strategy.close_all(comment="Close under BB basic")
        pauseTrading := true
        alert("SELL," + syminfo.ticker + ",Reason=Below_BB_Basic", alert.freq_once_per_bar_close)
    
    entryPrice := na
    stopLoss := na

// Resume trading if price closes above BB basic
if useBBPauseResume and pauseTrading and close > bbBasis
    pauseTrading := false
    alert("RESUME," + syminfo.ticker, alert.freq_once_per_bar_close)

// Stop loss
if strategy.position_size > 0
    strategy.exit("Stop Loss", "Long", stop=stopLoss)
    strategy.exit("Stop Loss", "Long_BB", stop=stopLoss)
    if close <= stopLoss
        alert("SELL," + syminfo.ticker + ",Reason=Stop_Loss", alert.freq_once_per_bar_close)

// Plotting
plot(fastEMA, color=color.new(color.blue, 0), title="Fast EMA")
plot(slowEMA, color=color.new(color.red, 0), title="Slow EMA")
plot(bbUpper, color=color.new(color.green, 50), title="BB Upper")
plot(bbLower, color=color.new(color.green, 50), title="BB Lower")
plot(bbBasis, color=color.new(color.yellow, 50), title="BB Basic")
plot(strategy.position_size > 0 ? stopLoss : na, color=color.red, style=plot.style_cross, linewidth=2, title="Stop Loss")

// Alert conditions
alertcondition(entryConditions, title="Buy Alert", message="Buy {{ticker}}")
alertcondition(bbBreakout and inPosition and bullish and (not useBBPauseResume or close > bbBasis), title="Add Position Alert", message="Add Position {{ticker}}")
alertcondition(shortCondition, title="Sell Alert (EMA)", message="Sell {{ticker}} (EMA crossdown)")
alertcondition(useBBPauseResume and inPosition and close < bbBasis, title="Pause Alert", message="Pause trading {{ticker}} (Close under BB basic)")
alertcondition(useBBPauseResume and pauseTrading and close > bbBasis, title="Resume Alert", message="Resume trading {{ticker}} (Close above BB basic)")