マルチインジケーターコンセンサス取引戦略: 流動性加重トレンドシグナルシステム

/*backtest
start: 2024-03-25 00:00:00
end: 2025-03-24 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Multi-Indicator Consensus Strategy", overlay=true, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// =================== Input Parameters ===================
// Liquidity Weighted Supertrend
lwst_period      = input.int(10, "LWST Period", minval=1, tooltip="Period for ATR calculation")
lwst_multiplier  = input.float(3.0, "LWST Multiplier", minval=0.1, tooltip="Multiplier for ATR bands")
lwst_length      = input.int(20, "Volume SMA Length", minval=1, tooltip="Length for volume SMA")

// Trend Signals
trend_length     = input.int(14, "Trend Length", minval=1, tooltip="Length for EMA calculation")
trend_threshold  = input.float(0.5, "Trend Threshold", minval=0.1, tooltip="Percentage threshold for trend signals")

// Enhanced Wavetrend
wt_channel_length = input.int(9, "WT Channel Length", minval=1, tooltip="Smoothing period for initial calculations")
wt_average_length = input.int(12, "WT Average Length", minval=1, tooltip="Smoothing period for final signal")
wt_ma_length      = input.int(3, "WT MA Length", minval=1, tooltip="Moving average length for signal line")
wt_overbought     = input.float(53, "WT Overbought", minval=0, tooltip="Level to identify overbought conditions")
wt_oversold       = input.float(-53, "WT Oversold", minval=-100, tooltip="Level to identify oversold conditions")

// Risk Management
sl_percent       = input.float(2.0, "Stop Loss %", minval=0.1, tooltip="Stop loss percentage from entry")
tp_percent       = input.float(4.0, "Take Profit %", minval=0.1, tooltip="Take profit percentage from entry")

// =================== Indicator 1: Liquidity Weighted Supertrend ===================
// Volume-weighted component for dynamic sensitivity
vol_sma    = ta.sma(volume, lwst_length)
vol_weight = volume / vol_sma

// ATR-based bands with volume weighting
atr        = ta.atr(lwst_period)
upperBand  = hl2 + lwst_multiplier * atr * vol_weight
lowerBand  = hl2 - lwst_multiplier * atr * vol_weight

// Trend determination based on price action
var float lwst_trend = 0.0
lwst_trend := close > lwst_trend[1] ? 1 : close < lwst_trend[1] ? -1 : lwst_trend[1]

// =================== Indicator 2: Trend Signals ===================
// Dual EMA system for trend detection
fast_ema    = ta.ema(close, trend_length)
slow_ema    = ta.ema(close, trend_length * 2)
trend_diff  = (fast_ema - slow_ema) / slow_ema * 100
trend_signal = trend_diff > trend_threshold ? 1 : trend_diff < -trend_threshold ? -1 : 0

// =================== Indicator 3: Enhanced Wavetrend ===================
// Calculate Wavetrend components
ap  = hlc3  // Typical price
esa = ta.ema(ap, wt_channel_length)  // Smoothed price
d   = ta.ema(math.abs(ap - esa), wt_channel_length)  // Average volatility
ci  = (ap - esa) / (0.015 * d)  // Base oscillator
tci = ta.ema(ci, wt_average_length)  // Smoothed oscillator

// Generate main and signal lines
wt1 = tci
wt2 = ta.sma(wt1, wt_ma_length)

// Generate Wavetrend Signal based on overbought/oversold conditions
wt_signal = 0
wt_signal := wt1 > wt_overbought and wt2 > wt_overbought ? -1 : 
             wt1 < wt_oversold and wt2 < wt_oversold ? 1 : 
             wt_signal[1]

// =================== Consensus Signal Generation ===================
// Count bullish signals (1 point for each bullish indicator)
var int consensus_count = 0
consensus_count := (lwst_trend == 1 ? 1 : 0) + 
                   (trend_signal == 1 ? 1 : 0) + 
                   (wt_signal == 1 ? 1 : 0)

// Generate trading signals when majority (2+ indicators) agree
bool buy_signal  = consensus_count >= 2
bool sell_signal = consensus_count <= -2

// =================== Trade Execution ===================
// Long position entry and exit with risk management
if (buy_signal and strategy.position_size <= 0)
    strategy.entry("Long", strategy.long)
    strategy.exit("Long TP/SL", "Long", 
                 profit = close * tp_percent / 100, 
                 loss = close * sl_percent / 100)

// Short position entry and exit with risk management
if (sell_signal and strategy.position_size >= 0)
    strategy.entry("Short", strategy.short)
    strategy.exit("Short TP/SL", "Short", 
                 profit = close * tp_percent / 100, 
                 loss = close * sl_percent / 100)

// =================== Visualization ===================
// Signal markers for entry points
plotshape(buy_signal ? low : na, "Buy Signal", shape.triangleup, location.belowbar, color.green, size=size.small)
plotshape(sell_signal ? high : na, "Sell Signal", shape.triangledown, location.abovebar, color.red, size=size.small)

// Indicator lines
plot(wt1, "Wavetrend 1", color.blue, linewidth=1)
plot(wt2, "Wavetrend 2", color.orange, linewidth=1)
plot(wt_overbought, "Overbought", color.red, linewidth=1)
plot(wt_oversold, "Oversold", color.green, linewidth=1)
plot(fast_ema, "Fast EMA", color.yellow, linewidth=1)
plot(slow_ema, "Slow EMA", color.white, linewidth=1)
plot(lwst_trend == 1 ? upperBand : na, "Upper Band", color.green, linewidth=2)
plot(lwst_trend == -1 ? lowerBand : na, "Lower Band", color.red, linewidth=2)

// =================== Information Table ===================
// Real-time display of indicator signals
var table info = table.new(position.top_right, 2, 4)
table.cell(info, 0, 0, "Indicator", bgcolor=color.gray, text_color=color.white)
table.cell(info, 1, 0, "Signal", bgcolor=color.gray, text_color=color.white)
table.cell(info, 0, 1, "LWST", text_color=color.white)
table.cell(info, 1, 1, str.tostring(lwst_trend), text_color=lwst_trend == 1 ? color.green : color.red)
table.cell(info, 0, 2, "Trend", text_color=color.white)
table.cell(info, 1, 2, str.tostring(trend_signal), text_color=trend_signal == 1 ? color.green : color.red)
table.cell(info, 0, 3, "Wavetrend", text_color=color.white)
table.cell(info, 1, 3, str.tostring(wt_signal), text_color=wt_signal == 1 ? color.green : color.red)