SSL チャネル デュアル トランシェ利益戦略

/*backtest
start: 2024-05-05 00:00:00
end: 2024-12-07 00:00:00
period: 1d
basePeriod: 1d
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/
// © AlanCaoShengJin

//@version=5
strategy("SSL Channel Strategy with Two-Tranche Exits", overlay=true)

// Inputs
len = input.int(10, title="Period")
atrPeriod = input.int(14, title="ATR Period")

// Calculate SMAs and ATR
smaHigh = ta.sma(high, len)
smaLow = ta.sma(low, len)
atrValue = ta.atr(atrPeriod)

// Trend state (Hlv)
var int Hlv = na
Hlv := close > smaHigh ? 1 : close < smaLow ? -1 : Hlv[1]

// SSL channel lines
sslDown = Hlv < 0 ? smaHigh : smaLow
sslUp   = Hlv < 0 ? smaLow : smaHigh

// Plot SSL lines
plot(sslDown, title="SSL Down", color=color.red, linewidth=2)
plot(sslUp, title="SSL Up", color=color.lime, linewidth=2)

// Trading signals
buySignal = Hlv[1] == -1 and Hlv == 1
sellSignal = Hlv[1] == 1 and Hlv == -1

// Plot signals for debugging
plotshape(buySignal, title="Buy Signal", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small)
plotshape(sellSignal, title="Sell Signal", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)

// Variables for long trade management
var float longEntryPrice = na
var float longAtrAtEntry = na
var float longEntryQty = na
var bool longFirstTrancheTaken = false
var float longTrailingStopPrice = na
var int longTrailingStartBar = na

// Variables for short trade management
var float shortEntryPrice = na
var float shortAtrAtEntry = na
var float shortEntryQty = na
var bool shortFirstTrancheTaken = false
var float shortTrailingStopPrice = na
var int shortTrailingStartBar = na

// Reset variables when no position is open
if strategy.position_size == 0
    longEntryPrice := na
    longAtrAtEntry := na
    longEntryQty := na
    longFirstTrancheTaken := false
    longTrailingStopPrice := na
    longTrailingStartBar := na
    shortEntryPrice := na
    shortAtrAtEntry := na
    shortEntryQty := na
    shortFirstTrancheTaken := false
    shortTrailingStopPrice := na
    shortTrailingStartBar := na

// **Long Trade Logic**

// Entry for long trades
if buySignal and strategy.position_size == 0
    strategy.entry("Long", strategy.long)
    longEntryPrice := close
    longAtrAtEntry := atrValue
    longEntryQty := strategy.position_size
    longFirstTrancheTaken := false
    longTrailingStartBar := na
    // Set take-profit for first tranche (50%) at 1x ATR
    strategy.exit("Long TP1", "Long", limit=longEntryPrice + longAtrAtEntry, qty=longEntryQty / 2)
    // Set initial stop-loss at 1.5x ATR below entry
    strategy.exit("Long SL", "Long", stop=longEntryPrice - 1.5 * longAtrAtEntry)

// Manage long trade
if strategy.position_size > 0
    // Detect if first tranche has been taken
    if not longFirstTrancheTaken and strategy.position_size < longEntryQty
        longFirstTrancheTaken := true
        // Move stop-loss to breakeven
        strategy.exit("Long SL", "Long", stop=longEntryPrice)
        // Add a label for debugging
        label.new(bar_index, high, "First Tranche Taken", color=color.blue, style=label.style_label_down)
    
    // After first tranche, manage the remaining 50%
    if longFirstTrancheTaken
        // Initiate trailing stop at 2x ATR
        if close >= longEntryPrice + 2 * longAtrAtEntry and na(longTrailingStartBar)
            longTrailingStartBar := bar_index
            // Add a label for debugging
            label.new(bar_index, high, "Trailing Stop Initiated", color=color.purple, style=label.style_label_down)
        // Update trailing stop
        if not na(longTrailingStartBar)
            highestCloseSinceTrail = ta.highest(close, bar_index - longTrailingStartBar + 1)
            longTrailingStopPrice := highestCloseSinceTrail - longAtrAtEntry
            strategy.exit("Long SL", "Long", stop=longTrailingStopPrice)
            

// Exit long trade on SSL channel flip
if strategy.position_size > 0 and sellSignal
    strategy.close("Long", comment="SSL Flip")

// **Short Trade Logic**

// Entry for short trades
if sellSignal and strategy.position_size == 0
    strategy.entry("Short", strategy.short)
    shortEntryPrice := close
    shortAtrAtEntry := atrValue
    shortEntryQty := strategy.position_size
    shortFirstTrancheTaken := false
    shortTrailingStartBar := na
    // Set take-profit for first tranche (50%) at 1x ATR below entry
    strategy.exit("Short TP1", "Short", limit=shortEntryPrice - shortAtrAtEntry, qty=math.abs(shortEntryQty) / 2)
    // Set initial stop-loss at 1.5x ATR above entry
    strategy.exit("Short SL", "Short", stop=shortEntryPrice + 1.5 * shortAtrAtEntry)

// Manage short trade
if strategy.position_size < 0
    // Detect if first tranche has been taken
    if not shortFirstTrancheTaken and strategy.position_size > shortEntryQty
        shortFirstTrancheTaken := true
        // Move stop-loss to breakeven
        strategy.exit("Short SL", "Short", stop=shortEntryPrice)
        // Add a label for debugging
        label.new(bar_index, low, "First Tranche Taken", color=color.blue, style=label.style_label_up)
    
    // After first tranche, manage the remaining 50%
    if shortFirstTrancheTaken
        // Initiate trailing stop at 2x ATR
        if close <= shortEntryPrice - 2 * shortAtrAtEntry and na(shortTrailingStartBar)
            shortTrailingStartBar := bar_index
            // Add a label for debugging
            label.new(bar_index, low, "Trailing Stop Initiated", color=color.purple, style=label.style_label_up)
        // Update trailing stop
        if not na(shortTrailingStartBar)
            lowestCloseSinceTrail = ta.lowest(close, bar_index - shortTrailingStartBar + 1)
            shortTrailingStopPrice := lowestCloseSinceTrail + shortAtrAtEntry
            strategy.exit("Short SL", "Short", stop=shortTrailingStopPrice)
        

// Exit short trade on SSL channel flip
if strategy.position_size < 0 and buySignal
    strategy.close("Short", comment="SSL Flip")