定量取引のブレークスルー戦略：第1期のATRストップロスとEMAスロープ最適化戦略

/*backtest
start: 2024-02-29 00:00:00
end: 2025-02-26 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("FnO Intraday Strategy with ATR SL, EMA Slope & Signals", overlay=true, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// INPUTS
atrPeriod      = input.int(14, "ATR Period")
atrMultiplier  = input.float(1.0, "ATR Stop Loss Multiplier", step=0.1)
targetPercent  = input.float(1.0, "Profit Target (%)", step=0.1) * 0.01

// Define session start and first candle period (for Indian market, session starts at 09:15)
sessionStartHour   = input.int(9, "Session Start Hour", minval=0, maxval=23)
sessionStartMinute = input.int(15, "Session Start Minute", minval=0, maxval=59)
firstCandleMins    = 60  // First candle duration in minutes

// Compute today's session start and first candle end timestamps
currYear  = year(time)
currMonth = month(time)
currDay   = dayofmonth(time)
sessionStartTS = timestamp(currYear, currMonth, currDay, sessionStartHour, sessionStartMinute)
sessionEndTS   = sessionStartTS + firstCandleMins * 60 * 1000  // PineScript time is in ms

// INITIALIZE first-hour high/low (reset at the start of each day)
var float firstHourHigh = na
var float firstHourLow  = na
if (ta.change(time("D")))
    firstHourHigh := na, firstHourLow := na

// Update first-hour high/low while within the first candle period
if (time >= sessionStartTS and time <= sessionEndTS)
    firstHourHigh := na(firstHourHigh) ? high : math.max(firstHourHigh, high)
    firstHourLow  := na(firstHourLow)  ? low  : math.min(firstHourLow, low)

// Plot the first-hour high and low once the first candle period is over
plot(time > sessionEndTS ? firstHourHigh : na, title="First Hour High", color=color.green, style=plot.style_linebr)
plot(time > sessionEndTS ? firstHourLow  : na, title="First Hour Low",  color=color.red,   style=plot.style_linebr)

// Calculate indicators: 9 EMA, VWAP, and EMA slope
ema9    = ta.ema(close, 9)
vwapVal = ta.vwap(hlc3)  // Using typical price for VWAP calculation
emaSlope = ema9 - ema9[1]

// Define "first hour complete" flag so entries only occur after the first candle period
firstHourComplete = time > sessionEndTS

// ENTRY CONDITIONS
// Long: Price breaks above first-hour high, and 9 EMA crosses above VWAP with a positive slope.
longBreakout       = ta.crossover(close, firstHourHigh)
longEMAConfirmation = ta.crossover(ema9, vwapVal) and (emaSlope > 0)
longCondition      = firstHourComplete and longBreakout and longEMAConfirmation

// Short: Price breaks below first-hour low, and 9 EMA crosses below VWAP with a negative slope.
shortBreakout       = ta.crossunder(close, firstHourLow)
shortEMAConfirmation = ta.crossunder(ema9, vwapVal) and (emaSlope < 0)
shortCondition      = firstHourComplete and shortBreakout and shortEMAConfirmation

// Generate entries
if (longCondition)
    strategy.entry("Long", strategy.long)
if (shortCondition)
    strategy.entry("Short", strategy.short)

// Add buy and sell signals on the chart
plotshape(longCondition, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="BUY")
plotshape(shortCondition, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="SELL")

// Calculate ATR for dynamic stop loss
atrValue = ta.atr(atrPeriod)

// Set exits using ATR-based stop loss and fixed profit target (1% gain)
if (strategy.position_size > 0)
    longStop   = strategy.position_avg_price - atrValue * atrMultiplier
    longTarget = strategy.position_avg_price * (1 + targetPercent)
    strategy.exit("Long Exit", from_entry="Long", stop=longStop, limit=longTarget)
if (strategy.position_size < 0)
    shortStop   = strategy.position_avg_price + atrValue * atrMultiplier
    shortTarget = strategy.position_avg_price * (1 - targetPercent)
    strategy.exit("Short Exit", from_entry="Short", stop=shortStop, limit=shortTarget)

// Plot EMA and VWAP for visual confirmation
plot(ema9, title="9 EMA", color=color.blue)
plot(vwapVal, title="VWAP", color=color.orange)