マルチファクタートレンド価格行動戦略と動的リスク管理システム

/*backtest
start: 2024-03-24 00:00:00
end: 2025-03-23 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/

//@version=6
strategy("Prism Confluence System", overlay=true, margin_long=100, margin_short=100)

// --- Input Parameters ---
lengthMA = input.int(20, "Short EMA Length")
emaLongLength = input.int(50, "Long EMA Length")
lengthSR = input.int(14, "Support/Resistance Length")
fvgLookback = input.int(10, "FVG Lookback")
atrLength = input.int(14, "ATR Length")
volumeSpikeMultiplier = input.float(1.5, "Volume Spike Threshold")
volumeSpikeThreshold = input.float(1.2, "Secondary Volume Threshold")
adxLength = input.int(14, "ADX Trend Filter Length")
slMultiplier = input.float(2, "ATR Stop-Loss Multiplier")
tpMultiplier = input.float(3, "ATR Take-Profit Multiplier")

// --- Anti-Repainting Support/Resistance ---
recentHigh = ta.highest(high, lengthSR)
recentLow = ta.lowest(low, lengthSR)
plot(recentHigh, "Resistance Zone", color.new(color.red, 70), 2, plot.style_circles)
plot(recentLow, "Support Zone", color.new(color.green, 70), 2, plot.style_circles)

// --- Multi-Timeframe Trend Confirmation ---
emaShort = ta.ema(close, lengthMA)
emaLong = ta.ema(close, emaLongLength)
plot(emaShort, "Short EMA", color.blue)
plot(emaLong, "Long EMA", color.purple)
trendBullish = emaShort > emaLong
trendBearish = emaShort < emaLong

// --- Enhanced Candlestick Patterns ---
engulfingBull = close > open and close[1] < open[1] and 
  close > open[1] and open < close[1] and 
  (close - open) > (open[1] - close[1])

engulfingBear = close < open and close[1] > open[1] and 
  close < open[1] and open > close[1] and 
  (open - close) > (close[1] - open[1])

hammer = low == ta.lowest(low, 10) and close > open and 
  (close - low) > (high - low) * 0.6 and trendBullish

invertedHammer = high == ta.highest(high, 10) and close < open and 
  (high - close) > (high - low) * 0.6 and trendBearish

// --- Improved FVG Logic ---
fvgBull = low[fvgLookback] > high[1] and high[1] < low
fvgBear = high[fvgLookback] < low[1] and low[1] > high
fvgBullFilled = ta.barssince(fvgBull) <= 5
fvgBearFilled = ta.barssince(fvgBear) <= 5

// --- Volume Validation ---
volumeMA = ta.sma(volume, lengthMA)
volumeSpike = volume > volumeMA * volumeSpikeMultiplier and 
  volume[1] > volumeMA[1] * volumeSpikeThreshold

// --- Market Context Filter ---
[_, _, adxValue] = ta.dmi(adxLength, adxLength)
trendingMarket = adxValue > 20

// --- Signal Logic with Priority System ---
strongBuy = (fvgBull and fvgBullFilled and engulfingBull) and 
  trendBullish and volumeSpike and trendingMarket

weakBuy = (engulfingBull or hammer) and close > recentLow and 
  volumeSpike and trendingMarket

strongSell = (fvgBear and fvgBearFilled and engulfingBear) and 
  trendBearish and volumeSpike and trendingMarket

weakSell = (engulfingBear or invertedHammer) and close < recentHigh and 
  volumeSpike and trendingMarket

// --- Risk Management ---
atrValue = ta.atr(atrLength)
var float longStop = na
var float longProfit = na
var float shortStop = na
var float shortProfit = na

if strongBuy or weakBuy
    longStop := close - (atrValue * slMultiplier)
    longProfit := close + (atrValue * tpMultiplier)
    strategy.entry("Long", strategy.long)
    strategy.exit("Exit Long", "Long", stop=longStop, limit=longProfit)
    
if strongSell or weakSell
    shortStop := close + (atrValue * slMultiplier)
    shortProfit := close - (atrValue * tpMultiplier)
    strategy.entry("Short", strategy.short)
    strategy.exit("Exit Short", "Short", stop=shortStop, limit=shortProfit)

// --- Visual SL/TP Levels ---
plot(strategy.position_size > 0 ? longStop : na, "Long Stop", color.red, 2, plot.style_linebr)
plot(strategy.position_size > 0 ? longProfit : na, "Long Target", color.green, 2, plot.style_linebr)
plot(strategy.position_size < 0 ? shortStop : na, "Short Stop", color.red, 2, plot.style_linebr)
plot(strategy.position_size < 0 ? shortProfit : na, "Short Target", color.green, 2, plot.style_linebr)

// --- Signal Visualization ---
plotshape(strongBuy, "Strong Buy", location=location.belowbar, 
  color=color.new(#00FF00, 0), style=shape.triangleup, size=size.large)

plotshape(weakBuy, "Weak Buy", location=location.belowbar, 
  color=color.new(#90EE90, 0), style=shape.triangleup, size=size.small)

plotshape(strongSell, "Strong Sell", location=location.abovebar, 
  color=color.new(#FF0000, 0), style=shape.triangledown, size=size.large)

plotshape(weakSell, "Weak Sell", location=location.abovebar, 
  color=color.new(#FFA07A, 0), style=shape.triangledown, size=size.small)

// --- Alerts ---
alertcondition(strongBuy, "Strong Buy Alert", "Prism Confluence System STRONG BUY")
alertcondition(strongSell, "Strong Sell Alert", "Prism Confluence System STRONG SELL")