動的適応型マルチタイム期間トレンド追跡およびショック反転複合戦略

/*backtest
start: 2024-08-01 00:00:00
end: 2025-02-18 08:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/

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

//@version=6
strategy("Refined Ichimoku with MACD and RSI Strategy", overlay=true)

// Inputs for Ichimoku Cloud
conversionLength = input.int(9, title="Conversion Line Length", group="Ichimoku Settings")
baseLength = input.int(26, title="Base Line Length", group="Ichimoku Settings")
laggingSpanLength = input.int(52, title="Lagging Span Length", group="Ichimoku Settings")
displacement = input.int(26, title="Displacement", group="Ichimoku Settings")

// Inputs for MACD
macdFastLength = input.int(12, title="MACD Fast Length", group="MACD Settings")
macdSlowLength = input.int(26, title="MACD Slow Length", group="MACD Settings")
macdSignalLength = input.int(9, title="MACD Signal Length", group="MACD Settings")

// Inputs for RSI/Stochastic RSI
rsiLength = input.int(14, title="RSI Length", group="Momentum Indicators")
stochRsiLength = input.int(14, title="Stochastic RSI Length", group="Momentum Indicators")
stochRsiK = input.int(3, title="%K Smoothing", group="Momentum Indicators")
stochRsiD = input.int(3, title="%D Smoothing", group="Momentum Indicators")

// Inputs for ATR
atrLength = input.int(14, title="ATR Length", group="Risk Management")
atrMultiplier = input.float(2.0, title="ATR Multiplier", group="Risk Management")

// Ichimoku Cloud Calculation
conversionLine = (ta.highest(high, conversionLength) + ta.lowest(low, conversionLength)) / 2
baseLine = (ta.highest(high, baseLength) + ta.lowest(low, baseLength)) / 2
leadingSpanA = (conversionLine + baseLine) / 2
leadingSpanB = (ta.highest(high, laggingSpanLength) + ta.lowest(low, laggingSpanLength)) / 2

// Market Regime Detection Using Ichimoku Cloud
priceAboveCloud = close >= leadingSpanA and close >= leadingSpanB
priceBelowCloud = close <= leadingSpanA and close <= leadingSpanB
priceNearCloud = close > leadingSpanB and close < leadingSpanA

trendingMarket = priceAboveCloud or priceBelowCloud
rangeBoundMarket = priceNearCloud

// MACD Calculation
macdLine = ta.ema(close, macdFastLength) - ta.ema(close, macdSlowLength)
macdSignalLine = ta.sma(macdLine, macdSignalLength)
macdHistogram = macdLine - macdSignalLine

// RSI Calculation
rsiValue = ta.rsi(close, rsiLength)

// Stochastic RSI Calculation
stochRsiKValue = ta.sma(ta.stoch(close, high, low, stochRsiLength), stochRsiK)
stochRsiDValue = ta.sma(stochRsiKValue, stochRsiD)

// Entry Conditions with Tightened Filters
trendLongCondition = trendingMarket and priceAboveCloud and rsiValue > 55 and macdHistogram > 0 and stochRsiKValue > stochRsiDValue
trendShortCondition = trendingMarket and priceBelowCloud and rsiValue < 45 and macdHistogram < 0 and stochRsiKValue < stochRsiDValue

rangeLongCondition = rangeBoundMarket and rsiValue < 30 and stochRsiKValue < 20
rangeShortCondition = rangeBoundMarket and rsiValue > 70 and stochRsiKValue > 80

// Risk Management: Stop-Loss Based on ATR
atrValue = ta.atr(atrLength)
longStopLoss = low - atrMultiplier * atrValue
shortStopLoss = high + atrMultiplier * atrValue

// Strategy Execution: Entries and Exits
if trendLongCondition
    strategy.entry("Trend Long", strategy.long)
    strategy.exit("Exit Trend Long", from_entry="Trend Long", stop=longStopLoss)

if trendShortCondition
    strategy.entry("Trend Short", strategy.short)
    strategy.exit("Exit Trend Short", from_entry="Trend Short", stop=shortStopLoss)

if rangeLongCondition
    strategy.entry("Range Long", strategy.long)
    strategy.exit("Exit Range Long", from_entry="Range Long", stop=longStopLoss)

if rangeShortCondition
    strategy.entry("Range Short", strategy.short)
    strategy.exit("Exit Range Short", from_entry="Range Short", stop=shortStopLoss)

// Visualization: Highlight Market Regimes on Chart Background
bgcolor(trendingMarket ? color.new(color.green, 90) : na)
bgcolor(rangeBoundMarket ? color.new(color.red, 90) : na)

// Plot Ichimoku Cloud for Visualization
plot(leadingSpanA, color=color.new(color.green, 80), title="Leading Span A")
plot(leadingSpanB, color=color.new(color.red, 80), title="Leading Span B")