動的トレンド追跡とボラティリティフィルタリング戦略：ADXとCIの二重確認に基づく移動平均クロスオーバーシステム

/*backtest
start: 2024-02-22 00:00:00
end: 2024-12-06 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("MA9/MA21 Cross with ADX & CHOP Filter", overlay=true, initial_capital=10000, currency=currency.USD)

// ─── CUSTOM FUNCTIONS ──────────────────────────────────────────────────────
// Custom function to compute the sum over the last 'len' bars.
f_sum(src, len) =>
    s = 0.0
    for i = 0 to len - 1
        s += src[i]
    s

// Custom function to compute the highest value over the last 'len' bars.
f_highest(src, len) =>
    h = src[0]
    for i = 1 to len - 1
        h := math.max(h, src[i])
    h

// Custom function to compute the lowest value over the last 'len' bars.
f_lowest(src, len) =>
    l = src[0]
    for i = 1 to len - 1
        l := math.min(l, src[i])
    l

// ─── INPUTS ──────────────────────────────────────────────────────────────
ma9Period   = input.int(9, title="MA 9 Period", minval=1)
ma21Period  = input.int(21, title="MA 21 Period", minval=1)
adxLength   = input.int(7, title="ADX Smoothing / DI Length", minval=1)
adxThresh   = input.float(20.0, title="ADX Threshold", step=0.1)
chopLen     = input.int(7, title="CHOP Length", minval=1)
chopOff     = input.int(0, title="CHOP Offset", minval=0)  // Not applied in calculation
chopThresh  = input.float(50.0, title="CHOP Maximum (do not trade if above)", step=0.1)

// ─── CALCULATE INDICATORS ────────────────────────────────────────────────────
// Moving Averages
ma9  = ta.sma(close, ma9Period)
ma21 = ta.sma(close, ma21Period)

// --- True Range Calculation ---
// Manual implementation of true range (tr)
tr = math.max(math.max(high - low, math.abs(high - nz(close[1]))), math.abs(low - nz(close[1])))

// --- ADX Calculation (Manual Implementation) ---
// Calculate directional movements
upMove   = high - nz(high[1])
downMove = nz(low[1]) - low
plusDM   = (upMove > downMove and upMove > 0) ? upMove : 0.0
minusDM  = (downMove > upMove and downMove > 0) ? downMove : 0.0

// Smooth the values using the built-in rma function
atr      = ta.rma(tr, adxLength)
plusDI   = 100 * ta.rma(plusDM, adxLength) / atr
minusDI  = 100 * ta.rma(minusDM, adxLength) / atr
dx       = 100 * math.abs(plusDI - minusDI) / (plusDI + minusDI)
adxValue = ta.rma(dx, adxLength)

// --- Choppiness Index Calculation ---
// Compute the sum of true range over chopLen periods
atrSum      = f_sum(tr, chopLen)
// Compute highest high and lowest low over chopLen periods using custom functions
highestHigh = f_highest(high, chopLen)
lowestLow   = f_lowest(low, chopLen)
priceRange  = highestHigh - lowestLow
chop        = priceRange != 0 ? 100 * math.log(atrSum / priceRange) / math.log(chopLen) : 0

// ─── STRATEGY CONDITIONS ─────────────────────────────────────────────────────
// MA Crossover Signals
longCond  = ta.crossover(ma9, ma21)
shortCond = ta.crossunder(ma9, ma21)

// Filter: Only trade if ADX > threshold and CHOP ≤ threshold.
filterCond = (adxValue > adxThresh) and (chop <= chopThresh)

// Entries and Exits
if longCond and filterCond
    strategy.entry("Long", strategy.long)
if shortCond and filterCond
    strategy.entry("Short", strategy.short)
if shortCond
    strategy.close("Long")
if longCond
    strategy.close("Short")

// ─── PLOTTING ──────────────────────────────────────────────────────────────
plot(ma9, color=color.red, title="MA 9")
plot(ma21, color=color.blue, title="MA 21")
plot(adxValue, title="ADX", color=color.purple)
hline(adxThresh, title="ADX Threshold", color=color.purple, linestyle=hline.style_dotted)
plot(chop, title="CHOP", color=color.orange)
hline(chopThresh, title="CHOP Threshold", color=color.orange, linestyle=hline.style_dotted)