定量的モメンタムに基づくマイクロリトレースメントブレークスルー戦略

/*backtest
start: 2024-02-19 00:00:00
end: 2025-02-17 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"BNB_USDT"}]
*/

//@version=6
strategy(title="Micropullback Detector w/ Stop Buy & Exits", shorttitle="MicroPB Det+Exits", overlay=true)

// USER INPUTS
volLookback = input.int(20, "Volume SMA Period", minval=1)
volMultiplier = input.float(1.5, "Volume Multiplier for High Volume", minval=1.0)
largeCandleATR = input.float(0.5, "Fraction of ATR to define 'Large Candle'", minval=0.1)
maxRedPullback = input.int(3, "Max Consecutive Red Candles in Pullback")
maxRetracementPc = input.float(50, "Max Retracement % for pullback", minval=1.0, maxval=100.0)

// CALCULATIONS
fastAtr = ta.atr(14)
avgVolume = ta.sma(volume, volLookback)
isLargeGreenCandle = (close > open) and ((close - open) > fastAtr * largeCandleATR) and (volume > avgVolume * volMultiplier) and (volume > 200000)

// HELPER FLAGS
isGreen = close >= open
isRed   = close < open

// STATE VARIABLES
var int   state = 0
var float waveStartPrice   = na
var float waveHighestPrice = na
var float largestGreenVol  = na
var int   consecutiveRedPulls = 0
var bool  triggerSignal    = false
var float wavePullbackLow  = na

if barstate.isnew
    triggerSignal:=false
    if state==0
        wavePullbackLow:=na
        if isLargeGreenCandle
            state:=1
            waveStartPrice:=open
            waveHighestPrice:=high
            largestGreenVol:=volume
            consecutiveRedPulls:=0
    else if state==1
        if isGreen
            waveHighestPrice:=math.max(waveHighestPrice,high)
            if volume>largestGreenVol
                largestGreenVol:=volume
        else
            state:=2
            consecutiveRedPulls:=1
            wavePullbackLow:=low
    else if state==2
        if isRed
            if volume>largestGreenVol
                state:=0
            consecutiveRedPulls+=1
            if consecutiveRedPulls>=maxRedPullback+1
                state:=0
            retracementLevel=waveStartPrice+(maxRetracementPc/100.0)*(waveHighestPrice-waveStartPrice)
            wavePullbackLow:=math.min(wavePullbackLow,low)
            if close<retracementLevel
                state:=0
        else
            consecutiveRedPulls:=0
            if high>high[1]
                triggerSignal:=true
                state:=3
    else if state==3
        state:=0

// Plot shapes for signals (last 1440 bars ~ 1 day at 1-min TF)
plotshape(isLargeGreenCandle, title="Large Green Candle", style=shape.diamond, location=location.belowbar, color=color.new(color.blue, 0), offset=0, size=size.small, show_last=1440)
plotshape(triggerSignal, title="MicroPB Entry", style=shape.arrowdown, location=location.abovebar, color=color.new(color.green, 0), offset=0, size=size.large, show_last=1440)

// ENTRY & EXITS
if triggerSignal
    // Stop Buy above the previous bar's high
    entryPrice = high[1]
    strategy.order("MicroPullback Long", strategy.long, limit=entryPrice, oca_name="MicroPullback")

    // Stoploss slightly below pullback low
    stopPrice = wavePullbackLow - 2*syminfo.mintick

    // Risk & take-profit calculations
    risk = entryPrice - stopPrice
    tpPrice = entryPrice + 2 * risk

    // Exit: stop or TP
    strategy.exit("SL+TP", "MicroPullback Long", stop=stopPrice, limit=tpPrice, qty_percent=100)

// ALERT
alertcondition(triggerSignal, title="MicroPullback LONG", message="Micropullback Long Signal Detected!")