SRSIとMACDのインテリジェントリスク管理システムと組み合わせた動的適応型マルチインジケータークロスオーバー戦略

/*backtest
start: 2024-09-01 00:00:00
end: 2025-02-18 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy(title="SRSI + MACD Strategy with Dynamic Stop-Loss and Take-Profit", shorttitle="SRSI + MACD Strategy", overlay=false, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// User Inputs
smoothK = input.int(3, "K", minval=1) 
smoothD = input.int(3, "D", minval=1) 
lengthRSI = input.int(16, "RSI Length", minval=1) 
lengthStoch = input.int(16, "Stochastic Length", minval=1) 
src = input(close, title="RSI Source") 
enableStopLoss = input.bool(true, "Enable Stop-Loss")  
enableTakeProfit = input.bool(true, "Enable Take-Profit")  
riskFactor = input.float(2.5, "Risk Factor", minval=0.1, step=1)  

// Calculate K and D lines
rsi1 = ta.rsi(src, lengthRSI) 
k = ta.sma(ta.stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK) 
d = ta.sma(k, smoothD) 
differenceKD = k - d 

// Calculate MACD and normalization
[macdLine, signalLine, _] = ta.macd(close, 12, 26, 9) 
lowestK = ta.lowest(k, lengthRSI) 
highestK = ta.highest(k, lengthRSI) 
normalizedMacd = (macdLine - ta.lowest(macdLine, lengthRSI)) / (ta.highest(macdLine, lengthRSI) - ta.lowest(macdLine, lengthRSI)) * (highestK - lowestK) + lowestK 
differenceKMacd = k - normalizedMacd 

// Sum both differences for a unique display
differenceTotal = (differenceKD + differenceKMacd) / 2

// Check if MACD is falling or rising
isMacdFalling = ta.falling(macdLine, 1)  
isMacdRising = ta.rising(macdLine, 1)  

// Check if K is falling or rising
isKFalling = ta.falling(k, 1)  
isKdRising = ta.rising(k, 1)  

// Calculate ATR and dynamic levels
atrValue = ta.atr(14)  
stopLossDistance = atrValue * riskFactor  
takeProfitDistance = atrValue * riskFactor  

// Variables for stop-loss and take-profit levels
var float longStopPrice = na
var float longTakeProfitPrice = na

// Buy and sell conditions with differenceKD added
buyCondition = ((differenceTotal > 0 or differenceKD > 0) and (isKdRising or isMacdRising) and k < 20 )  
sellCondition = ((differenceTotal <= 0 or differenceKD <= 0) and (isKFalling or isMacdFalling) and k > 80)  

// Execute strategy orders with conditional stop-loss and take-profit
if buyCondition and strategy.position_size == 0
    strategy.entry("Buy", strategy.long)

if strategy.position_size > 0
    longStopPrice := strategy.position_avg_price - stopLossDistance  
    longTakeProfitPrice := strategy.position_avg_price + takeProfitDistance  

    if enableStopLoss or enableTakeProfit
        strategy.exit("Sell/Exit", "Buy", stop=(enableStopLoss ? longStopPrice : na), limit=(enableTakeProfit ? longTakeProfitPrice : na))

if sellCondition
    strategy.close("Buy")  

// Hide lines when position is closed
stopLossToPlot = strategy.position_size > 0 ? longStopPrice : na
takeProfitToPlot = strategy.position_size > 0 ? longTakeProfitPrice : na

// Plot stop-loss and take-profit lines only when long positions are active
plot(enableStopLoss ? stopLossToPlot : na, title="Stop-Loss", color=color.yellow, linewidth=1, style=plot.style_linebr, offset=0, force_overlay=true) 
plot(enableTakeProfit ? takeProfitToPlot : na, title="Take-Profit", color=color.yellow, linewidth=1, style=plot.style_linebr, offset=0, force_overlay=true)

// Plot the MACD and candles

plot(normalizedMacd, "Normalized MACD", color=color.new(color.purple, 0), linewidth=1, display=display.all)

h0 = hline(80, "Upper Band", color=#787B86) 
hline(50, "Middle Band", color=color.new(#787B86, 50)) 
h1 = hline(20, "Lower Band", color=#787B86) 
fill(h0, h1, color=color.rgb(33, 150, 243, 90), title="Background")

// New candle based on the sum of differences
plotcandle(open=0, high=differenceTotal, low=0, close=differenceTotal, color=(differenceTotal > 0 ? color.new(color.green, 60) : color.new(color.red, 60)), title="K-D + MACD Candles")