標準偏差と移動平均に基づくエルダーのパワーインデックス定量取引戦略

/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-27 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Elder's Force Index Strategy with ATR-Based SL and TP", overlay=true)

// Input parameters for fast and long EFI
efi_fast_length = input.int(13, "Fast EFI Length", minval=1)
efi_long_length = input.int(50, "Long EFI Length", minval=1)
stdev_length = input.int(50, "Standard Deviation Length", minval=2, maxval=300)
numdev = input.float(2, "Number of Deviations", minval=1, maxval=20, step=0.1)
atr_length = input.int(14, "ATR Length", minval=1)
atr_multiplier_sl = input.float(1.5, "ATR Multiplier for Stop Loss", step=0.1)
trailing_tp_multiplier = input.float(0.5, "Multiplier for Trailing Take Profit", step=0.1)

// Elder's Force Index Calculation for Fast and Long EFI
efi_fast = ta.ema((close - close[1]) * volume, efi_fast_length)
efi_long = ta.ema((close - close[1]) * volume, efi_long_length)

// Calculate Standard Deviation for Fast EFI
efi_fast_average = ta.sma(efi_fast, stdev_length)
efi_fast_stdev = ta.stdev(efi_fast, stdev_length)
efi_fast_diff = efi_fast - efi_fast_average
efi_fast_result = efi_fast_diff / efi_fast_stdev

// Calculate Standard Deviation for Long EFI
efi_long_average = ta.sma(efi_long, stdev_length)
efi_long_stdev = ta.stdev(efi_long, stdev_length)
efi_long_diff = efi_long - efi_long_average
efi_long_result = efi_long_diff / efi_long_stdev

// Define upper and lower standard deviation levels
upper_sd = numdev
lower_sd = -numdev

// Define entry conditions based on crossing upper and lower standard deviations
long_condition = efi_fast_result > upper_sd and efi_long_result > upper_sd
short_condition = efi_fast_result < lower_sd and efi_long_result < lower_sd

// Check if a position is already open
is_position_open = strategy.position_size != 0

// Calculate ATR for stop loss and take profit
atr = ta.atr(atr_length)

// Initialize stop loss and take profit variables
var float stop_loss = na
var float take_profit = na

// Execute trades based on conditions, ensuring only one trade at a time
if (long_condition and not is_position_open)
    strategy.entry("Long", strategy.long)
    stop_loss := close - atr * atr_multiplier_sl  // Set initial stop loss based on ATR
    take_profit := close + atr * trailing_tp_multiplier  // Set initial take profit based on ATR

if (short_condition and not is_position_open)
    strategy.entry("Short", strategy.short)
    stop_loss := close + atr * atr_multiplier_sl  // Set initial stop loss based on ATR
    take_profit := close - atr * trailing_tp_multiplier  // Set initial take profit based on ATR

// Update exit conditions
if (is_position_open)
    // Update stop loss for trailing
    if (strategy.position_size > 0)  // For long positions
        stop_loss := math.max(stop_loss, close - atr * atr_multiplier_sl)
        
        // Adjust take profit based on price movement
        take_profit := math.max(take_profit, close + atr * trailing_tp_multiplier)

    else if (strategy.position_size < 0)  // For short positions
        stop_loss := math.min(stop_loss, close + atr * atr_multiplier_sl)
        
        // Adjust take profit based on price movement
        take_profit := math.min(take_profit, close - atr * trailing_tp_multiplier)

    // Set exit conditions
    strategy.exit("Long Exit", from_entry="Long", stop=stop_loss, limit=take_profit)
    strategy.exit("Short Exit", from_entry="Short", stop=stop_loss, limit=take_profit)