デュアル移動平均トレンド追跡取引システムと適応型動的フィルタリング戦略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-01-31 23:59:59
period: 30m
basePeriod: 30m
exchanges: [{"eid":"Binance","currency":"TRB_USDT"}]
*/

//@version=5
strategy(title="EMA & MA Crossover Strategy", shorttitle="EMA & MA Crossover Strategy", overlay=true)

// Inputs
LengthMA = input.int(100, minval=1, title="MA Length")
LengthEMA = input.int(200, minval=1, title="EMA Length")
swingLookback = input.int(20, title="Swing Lookback")
Lengthhmaribbon = input.int(70, minval=1, title="HMA Ribbon")
// Input for ignoring the first `n` candles of the day
ignore_n_candles = input.int(1, "Ignore First N Candles", minval=0)
// Input for percentage threshold to ignore high run-up candles
run_up_threshold = input.float(0.5, "Run-up Threshold (%)", minval=0.0)

//====================================================================
hmacondition = ta.hma(close,Lengthhmaribbon)> ta.hma(close,Lengthhmaribbon)[1]

//====================================================================
// Function to drop the first `n` candles
dropn(src, n) =>
    na(src[n]) ? na : src

// Request data with the first `n` candles dropped
valid_candle = not na(dropn(close, ignore_n_candles))
// Check for run-up condition on the previous candle
prev_run_up = (high[1] - low[1]) / low[1] * 100

// Combine conditions: exclude invalid candles and ignore high run-up candles
valid_entry_condition = valid_candle and prev_run_up <= run_up_threshold

//======================================================
// Define the start of a new day based on time
var is_first = false
var float day_high = na
var float day_low = na

// Use time() to detect the start of a new day
t = time("1440") // 1440 = 60 * 24 (one full day in minutes)
is_first := na(t[1]) and not na(t) or t[1] < t

if is_first and barstate.isnew
    day_high := high
    day_low := low
else
    day_high := nz(day_high[1], high)
    day_low := nz(day_low[1], low)

// Update daily high and low
if high > day_high
    day_high := high

if low < day_low
    day_low := low

//====================================================
previousdayclose = request.security(syminfo.tickerid, "D", close)

day_highrange = previousdayclose*.018
//======================================================
length = input(title="Length", defval=14)
src = input(close, "Source")
_pr(length) =>
	max = ta.highest(length)
	min = ta.lowest(length)
	100 * (src - max) / (max - min)
percentR = _pr(length)

//======================================================
higherline = close* 1+((100-(percentR*-1))/100)
lowerline = close* 1-((100-(percentR*-1))/100)
//======================================================
// Moving Averages
xMA = ta.sma(close, LengthMA)
xEMA = ta.sma(xMA, LengthEMA)

// Plot the MA and EMA lines
plot(xMA, color=color.red, title="MA")
plot(xEMA, color=color.blue, title="EMA")

// Find recent swing high and low
recentHigh = ta.highest(high, swingLookback)
recentLow = ta.lowest(low, swingLookback)
//===============================================
emacondition = ta.ema(close,20)>ta.ema(close,30) and ta.ema(close,30)>ta.ema(close,40) and ta.ema(close,40)>ta.ema(close,50) and close >ta.ema(close,20)
// Define Buy Condition
buyCondition1 = (percentR>percentR[1] and percentR[1]>percentR[2] and percentR[2]>percentR[3]) and percentR>-20 and percentR[1]>-20
buyCondition = (close> xMA and close> xEMA) and (close > open and close > close[1]) or xMA>xEMA and close<day_highrange and hmacondition and emacondition

// Define Sell Conditions
sellCondition = (close < xMA and close < xEMA) or xMA<xEMA or percentR<-80

// Strategy Execution
if (buyCondition and buyCondition1 and valid_entry_condition)
    strategy.entry("Buy", strategy.long)

if (sellCondition)
    strategy.close("Buy")  // Close the long position

// Candle coloring for buy/sell indication
barcolor(buyCondition ? color.green : sellCondition ? color.red : na)
plot(higherline, color=color.olive, title="EMA")
plot(higherline, color=color.black, title="EMA")