複数の移動平均トレンドとATRダイナミックストッププロフィットとストップロスに基づく暗号通貨取引戦略

/*backtest
start: 2015-02-22 00:00:00
end: 2025-02-18 17:23:25
period: 1h
basePeriod: 1h
*/

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

//@version=6
strategy("Backtest Last 2880 Baars Filers and Exits", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=2, backtest_fill_limits_assumption=0)

// Define EMAs
shortEMA = ta.ema(close, 9)
longEMA = ta.ema(close, 20)
refEMA = ta.ema(close, 50)

// **Force Strategy to Trade on Historical Bars**
barLimit = bar_index > 10  // Allow trading on past bars
allowTrade = strategy.opentrades == 0 or barLimit  // Enable first trade on history

// **Define ATR for Stop-Loss & Take-Profit**
atrLength = 14
atrValue = ta.atr(atrLength)
atr50 = ta.sma(atrValue, 50)  // 50-period ATR average

// **Relaxed RSI Filters (More Trades Allowed)**
rsi = ta.rsi(close, 14)
rsiFilterBuy = rsi > 45 and rsi < 70  
rsiFilterSell = rsi < 55 and rsi > 30  

// **Reduce Trend Filter - Allow Smaller Price Movement**
minDistance = atrValue * 1.1  
isTrending = math.abs(close - refEMA) > minDistance  

// **Allow Trading in All Conditions (No ATR Filter)**
atrFilter = true  

// **Allow Flat EMA Slopes - Increase Trade Frequency**
emaSlope = ta.linreg(refEMA, 5, 0) > -0.2  
emaSlopeSell = ta.linreg(refEMA, 5, 0) < 0.2  

// **Trade Counter: Allow 1 Trade Per Day**
var int dailyTradeCount = 0
if dayofweek != dayofweek[1]  
    dailyTradeCount := 0  

// **ATR-Based Stop-Loss & Take-Profit Per Pair**
atrSL = switch syminfo.ticker
    "EURUSD" => 3.0 * atrValue,  
    "USDJPY" => 2.5 * atrValue,  
    "GBPUSD" => 3.0 * atrValue,  
    "AUDUSD" => 3.2 * atrValue,  
    "GBPJPY" => 3.0 * atrValue,  
    => 2.5 * atrValue  

atrTP = switch syminfo.ticker
    "EURUSD" => 3.8 * atrValue,  
    "USDJPY" => 3.5 * atrValue,  
    "GBPUSD" => 4.0 * atrValue,  
    "AUDUSD" => 4.0 * atrValue,  
    "GBPJPY" => 5.0 * atrValue,  
    => 3.5 * atrValue  

// **Ensure Trade Size is Not Zero**
riskPerTrade = 2  
accountSize = strategy.equity
tradeSize = (accountSize * (riskPerTrade / 100)) / atrSL
tradeSize := tradeSize < 1 ? 1 : tradeSize  // Minimum lot size of 1

// **Buy/Sell Conditions (Now More Trades Will Trigger)**
buyCondition = ta.crossover(shortEMA, longEMA) and rsiFilterBuy and close > refEMA and close > longEMA and isTrending and emaSlope and allowTrade and dailyTradeCount < 1
sellCondition = ta.crossunder(shortEMA, longEMA) and rsiFilterSell and close < refEMA and close < longEMA and isTrending and emaSlopeSell and allowTrade and dailyTradeCount < 1

// **Execute Trades**
if buyCondition
    strategy.entry("Buy", strategy.long, qty=tradeSize)
    strategy.exit("Take Profit/Stop Loss", from_entry="Buy", limit=close + atrTP, stop=close - atrSL)
    label.new(x=bar_index, y=low, text="BUY", color=color.green, textcolor=color.white, size=size.small, style=label.style_label_down)
    alert("BUY", alert.freq_once_per_bar_close)  
    dailyTradeCount := dailyTradeCount + 1  

if sellCondition
    strategy.entry("Sell", strategy.short, qty=tradeSize)
    strategy.exit("Take Profit/Stop Loss", from_entry="Sell", limit=close - atrTP, stop=close + atrSL)
    label.new(x=bar_index, y=high, text="SELL", color=color.red, textcolor=color.white, size=size.small, style=label.style_label_up)
    alert("SELL", alert.freq_once_per_bar_close)  
    dailyTradeCount := dailyTradeCount + 1  

// **Plot Indicators**
plot(shortEMA, color=color.yellow, title="9 EMA")
plot(longEMA, color=color.fuchsia, title="20 EMA")
plot(refEMA, color=color.blue, title="50 EMA")