マルチタイムフレームのトレンドフォローとモメンタム確認定量取引戦略

/*backtest
start: 2025-02-20 00:00:00
end: 2025-02-27 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("JolurocePro v2.0", overlay=true, margin_long=100, margin_short=100, pyramiding=1)

// 1. Configuración Principal
capitalMaximo      = input(20000, "Capital Maximo (USD)")
lotajeBase         = input.float(0.1, "Lotes por 1000 USD", minval=0.01)
paresPermitidos    = input.string("XAUUSD,EURUSD,GBPUSD,GBPNZD,EURCAD,USDCAD,USDJPY", "Pares Permitidos")

// 2. Indicadores Multitemporales
[mediaRapidaH1, mediaLentaH1] = request.security(syminfo.tickerid, "60", [ta.sma(close, 50), ta.sma(close, 200)])
[mediaRapidaH4, mediaLentaH4] = request.security(syminfo.tickerid, "240", [ta.sma(close, 50), ta.sma(close, 200)])
[mediaRapidaD, mediaLentaD]   = request.security(syminfo.tickerid, "D", [ta.sma(close, 50), ta.sma(close, 200)])

// 3. Calculo del Score
currentScore = (mediaRapidaH1 > mediaLentaH1 ? 1 : -1) + (mediaRapidaH4 > mediaLentaH4 ? 2 : -2) + (mediaRapidaD > mediaLentaD ? 3 : -3)

// 4. Panel de Control
var table panel = table.new(position.top_right, 4, 6, bgcolor=color.new(#2C3E50, 90))

if barstate.islast
    // Encabezado
    table.cell(panel, 0, 0, " JolurocePro ", width=4, text_color=color.white, text_size=size.large)
    
    // Temporalidad H1
    table.cell(panel, 0, 1, "H1", text_color=color.white)
    table.cell(panel, 1, 1, str.tostring(math.round(mediaRapidaH1, 4)), text_color=mediaRapidaH1 > mediaLentaH1 ? #2ECC71 : #E74C3C)
    table.cell(panel, 2, 1, str.tostring(math.round(mediaLentaH1, 4)), text_color=mediaRapidaH1 > mediaLentaH1 ? #2ECC71 : #E74C3C)
    table.cell(panel, 3, 1, mediaRapidaH1 > mediaLentaH1 ? "▲" : "▼", text_color=mediaRapidaH1 > mediaLentaH1 ? #2ECC71 : #E74C3C)
    
    // Temporalidad H4
    table.cell(panel, 0, 2, "H4", text_color=color.white)
    table.cell(panel, 1, 2, str.tostring(math.round(mediaRapidaH4, 4)), text_color=mediaRapidaH4 > mediaLentaH4 ? #2ECC71 : #E74C3C)
    table.cell(panel, 2, 2, str.tostring(math.round(mediaLentaH4, 4)), text_color=mediaRapidaH4 > mediaLentaH4 ? #2ECC71 : #E74C3C)
    table.cell(panel, 3, 2, mediaRapidaH4 > mediaLentaH4 ? "▲" : "▼", text_color=mediaRapidaH4 > mediaLentaH4 ? #2ECC71 : #E74C3C)
    
    // Temporalidad Diaria
    table.cell(panel, 0, 3, "Diario", text_color=color.white)
    table.cell(panel, 1, 3, str.tostring(math.round(mediaRapidaD, 4)), text_color=mediaRapidaD > mediaLentaD ? #2ECC71 : #E74C3C)
    table.cell(panel, 2, 3, str.tostring(math.round(mediaLentaD, 4)), text_color=mediaRapidaD > mediaLentaD ? #2ECC71 : #E74C3C)
    table.cell(panel, 3, 3, mediaRapidaD > mediaLentaD ? "▲" : "▼", text_color=mediaRapidaD > mediaLentaD ? #2ECC71 : #E74C3C)
    
    // Recomendacion
    table.cell(panel, 0, 4, "Score Actual:", text_color=color.white)
    table.cell(panel, 1, 4, str.tostring(currentScore), text_color=currentScore >= 3 ? #2ECC71 : currentScore <= -3 ? #E74C3C : #F1C40F, width=3)
    table.cell(panel, 0, 5, "Senal:", text_color=color.white)
    table.cell(panel, 1, 5, currentScore >= 3 ? "COMPRA" : currentScore <= -3 ? "VENTA" : "NEUTRO", text_color=currentScore >= 3 ? #2ECC71 : currentScore <= -3 ? #E74C3C : #F1C40F, width=3)

// 5. Indicadores Tecnicos
atrValor = ta.atr(14)
rsi = ta.rsi(close, 14)
macdLine = ta.ema(close, 12) - ta.ema(close, 26)
macdSignal = ta.ema(macdLine, 9)

// 6. Condiciones de Entrada
condicionLong = currentScore >= 3 and close > mediaRapidaH1 and rsi > 50 and macdLine > macdSignal
condicionShort = currentScore <= -3 and close < mediaRapidaH1 and rsi < 50 and macdLine < macdSignal

// 7. Gestion de Riesgo
posicionSize = math.min((strategy.equity / 1000) * lotajeBase, strategy.equity * 0.02)
slLong = close - (atrValor * 2)
tp1Long = close + (atrValor * 1)
tp2Long = close + (atrValor * 3)

slShort = close + (atrValor * 2)
tp1Short = close - (atrValor * 1)
tp2Short = close - (atrValor * 3)

// 8. Ejecucion de Ordenes
if condicionLong
    strategy.entry("Long", strategy.long, qty=posicionSize)
    strategy.exit("TP1", "Long", stop=slLong, limit=tp1Long, qty_percent=50)
    strategy.exit("TP2", "Long", limit=tp2Long, trail_points=atrValor*10)

if condicionShort
    strategy.entry("Short", strategy.short, qty=posicionSize)
    strategy.exit("TP1", "Short", stop=slShort, limit=tp1Short, qty_percent=50)
    strategy.exit("TP2", "Short", limit=tp2Short, trail_points=atrValor*10)

// 9. Senales Visuales
plotshape(condicionLong, "Compra", shape.triangleup, location.belowbar, color=#2ECC71, size=size.small)
plotshape(condicionShort, "Venta", shape.triangledown, location.abovebar, color=#E74C3C, size=size.small)