ボリンジャーバンドリスク管理のための強気エングルフィング戦略定量取引システム

/*backtest
start: 2024-02-26 00:00:00
end: 2025-02-23 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy("Bullish Engulfing Strategy with BB Risk", overlay=true)

// Input parameters for customization (optional, can be adjusted in Strategy Tester)
minVolume = input.int(1000000, "Minimum Volume", minval=1)  // Optional filter for liquidity

// Calculate Bollinger Bands (length=40, StdDev=2.5) for R
length = 40
mult = 2.5
basis = ta.sma(close, length)  // Middle Band (40-period SMA of close)
dev = mult * ta.stdev(close, length)  // Standard deviation multiplied by 2.5
upperBB = basis + dev  // Upper Bollinger Band
lowerBB = basis - dev  // Lower Bollinger Band

// Define R as 0.4 times the Bollinger Bands spread: R = 0.4 * ((1 - (lowerBB / upperBB)) * 100)
R = 0.4 * (1 - (lowerBB / upperBB))  // Percentage value, scaled by 0.4

// Define Bullish Engulfing pattern with optional volume filter
isBullishEngulfing() => close > open and close[1] < open[1] and close > open[1] and open < close[1] and close[1] < open[1] and close > open and volume > minVolume

bullishEngulfing = isBullishEngulfing()

// Track position and entry details
var bool inPosition = false
var float entryPrice = 0.0
var int entryBar = 0
var int exitBar = 0  // Track exit bar (added here to fix undeclared variable)
var float exitPrice = 0.0  // Track exit price

// Enter long position on the next bar after Bullish Engulfing, with position size risking 0.75% of portfolio
if (bullishEngulfing and not inPosition)
    // Calculate position size to risk 0.75% of portfolio
    portfolioValue = strategy.equity  // Current portfolio equity
    riskPerTrade = portfolioValue * 0.0075  // 0.75% of portfolio
    stopLossDistance = R  // R% of entry price (stop-loss distance)
    entryPrice := close
    positionSize = riskPerTrade / stopLossDistance / entryPrice  // Position size in units (contracts/shares)
    
    // Ensure positionSize is rounded to a practical number (e.g., whole shares)
    positionSize := math.round(positionSize)
    
    // Enter long position with calculated size
    strategy.entry("Long", strategy.long, limit = entryPrice, qty=positionSize)
    inPosition := true
    entryBar := bar_index

// Exit logic: Stop-loss or Take-profit
if (inPosition)
    // Stop-loss: Exit if price drops below entryPrice - R%
    stopLossLevel = entryPrice * (1 - R)
    if (low <= stopLossLevel)
        strategy.close("Long")
        inPosition := false
        exitBar := bar_index
        exitPrice := close
    
    // Take-profit: Exit if price rises above entryPrice + 4R%
    takeProfitLevel = entryPrice * (1 + 4 * R)
    if (high >= takeProfitLevel)
        strategy.close("Long")
        inPosition := false
        exitBar := bar_index
        exitPrice := close

// Optional: Plot signals and R for visualization
if (bullishEngulfing)
    label.new(bar_index, high, "Bullish Engulfing", yloc=yloc.abovebar, color=color.green, style=label.style_label_down, textcolor=color.white)

plot(R, title="R (BB Spread %)", color=color.blue, style=plot.style_histogram)