クロスオーバー モメンタム トレンドフォロー戦略: SMA-RSI クロスオーバー モメンタム システム

/*backtest
start: 2024-07-05 00:00:00
end: 2025-02-23 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy("STOCKS TO BUY", overlay=true, fill_orders_on_standard_ohlc=true)

// Define 20-period SMA
sma20 = ta.sma(close, 20)

// RSI Calculation (8-period)
rsiValue = ta.rsi(close, 8)

// Buy Condition: Close crosses above 20-SMA and RSI > 60
buyCondition = ta.crossover(close, sma20) and rsiValue > 60

// Sell Condition: Close crosses below 20-SMA and RSI < 40
sellCondition = ta.crossunder(close, sma20) and rsiValue < 40

// Tracking Performance Metrics
var int totalSignals = 0  // Total number of 'B' signals
var int successCount = 0  // Times price rose >2% from 'B' candle close
var int failureCount = 0  // Times price fell below 'B' candle low within 7 bars

// Store entry price and low when signal occurs
var float entryPrice = na
var float entryLow = na
var int barCounter = na  // Bar counter for tracking 7-candle window

if buyCondition
    strategy.entry("Buy", strategy.long)
    totalSignals := totalSignals + 1  // Increment 'B' count
    entryPrice := close
    entryLow := low
    barCounter := 0  // Reset counter when new 'B' signal appears

if sellCondition
    strategy.close("Buy")  // Close the buy position on sell signal

// Monitor for 7 candles only
if not na(barCounter)
    barCounter := barCounter + 1

    // Check for Success (Price rises >2%)
    success = high >= entryPrice * 1.02
    if success
        successCount := successCount + 1
        entryPrice := na  // Reset entry price after success

    // Check for Failure (Price falls below entryLow within 7 candles)
    failure = low < entryLow and barCounter <= 7
    if failure
        failureCount := failureCount + 1
        entryLow := na  // Reset entry low after failure

    // Stop tracking after 7 candles
    if barCounter > 7
        barCounter := na

// Plot 'B' on chart when buy condition is met
plotshape(series=buyCondition, location=location.belowbar, color=color.green, style=shape.labelup, text="B")

// Plot 'S' on chart when sell condition is met
plotshape(series=sellCondition, location=location.abovebar, color=color.red, style=shape.labeldown, text="S")

// Display Performance Metrics Table
var table performanceTable = table.new(position=position.top_right, columns=2, rows=4, bgcolor=color.gray, border_width=1)

if bar_index % 10 == 0  // Update table every 10 bars for efficiency
    table.cell(performanceTable, 0, 0, "Metric", text_color=color.white, bgcolor=color.blue)
    table.cell(performanceTable, 1, 0, "Value", text_color=color.white, bgcolor=color.blue)
    
    table.cell(performanceTable, 0, 1, "Total 'B' Signals", text_color=color.white)
    table.cell(performanceTable, 1, 1, str.tostring(totalSignals), text_color=color.white)

    table.cell(performanceTable, 0, 2, "Price Rose >2%", text_color=color.white)
    table.cell(performanceTable, 1, 2, str.tostring(successCount), text_color=color.green)

    table.cell(performanceTable, 0, 3, "Price Fell Below 'B' Low (7 bars)", text_color=color.white)
    table.cell(performanceTable, 1, 3, str.tostring(failureCount), text_color=color.red)