類似長方形の高さパターン定量化戦略

/*backtest
start: 2024-03-26 00:00:00
end: 2025-03-25 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Similar Rectangle Heights - Strategy", overlay=true)

// Strategy parameters
lookbackPeriod = input.int(45, "Analysis period", minval=10)
primaryHeightPercent = input.float(5.0, "Primary height (% of price)", minval=0.5, maxval=20.0, step=0.5)
correctionHeightPercent = input.float(2.2, "Correction height (% of price)", minval=0.5, maxval=10.0, step=0.5)
minPatternBars = input.int(5, "Minimum pattern width (candles)", minval=3)
maxPatternBars = input.int(14, "Maximum pattern width (candles)", minval=5)
useVolume = input.bool(false, "Include volume")
useRSI = input.bool(true, "Include RSI")
rsiPeriod = input.int(23, "RSI period", minval=5)
rsiOverbought = input.int(55, "RSI overbought level", minval=50, maxval=90)
rsiOversold = input.int(50, "RSI oversold level", minval=10, maxval=50)

// Calculate primary height and correction height in price points
avgPrice = ta.sma(close, lookbackPeriod)
primaryHeight = avgPrice * primaryHeightPercent / 100
correctionHeight = avgPrice * correctionHeightPercent / 100

// Calculate RSI
rsi = ta.rsi(close, rsiPeriod)

// Function to detect a bullish pattern
bullishPattern(idx) =>
    // Check if there is a low followed by a rise of a specified height
    lowestLow = ta.lowest(low, minPatternBars)[idx]
    highAfterLow = ta.highest(high, minPatternBars)[idx]
    patternHeight = highAfterLow - lowestLow
    
    // Check if pattern height matches the primary height
    heightMatch = math.abs(patternHeight - primaryHeight) <= primaryHeight * 0.2
    
    // Check if pattern width is within range
    patternWidth = 0
    for i = 0 to maxPatternBars - 1
        if idx + i < lookbackPeriod and low[idx + i] == lowestLow
            for j = i to maxPatternBars - 1
                if idx + j < lookbackPeriod and high[idx + j] == highAfterLow
                    patternWidth := j - i + 1
                    break
            break
    
    widthMatch = patternWidth >= minPatternBars and patternWidth <= maxPatternBars
    
    // Check volume and RSI conditions
    volumeCondition = not useVolume or volume > ta.sma(volume, lookbackPeriod)
    rsiCondition = not useRSI or rsi[idx] < rsiOversold
    
    // Return true if all conditions are met
    heightMatch and widthMatch and volumeCondition and rsiCondition

// Function to detect a bearish pattern
bearishPattern(idx) =>
    // Check if there is a high followed by a drop of a specified height
    highestHigh = ta.highest(high, minPatternBars)[idx]
    lowAfterHigh = ta.lowest(low, minPatternBars)[idx]
    patternHeight = highestHigh - lowAfterHigh
    
    // Check if pattern height matches the primary height
    heightMatch = math.abs(patternHeight - primaryHeight) <= primaryHeight * 0.2
    
    // Check if pattern width is within range
    patternWidth = 0
    for i = 0 to maxPatternBars - 1
        if idx + i < lookbackPeriod and high[idx + i] == highestHigh
            for j = i to maxPatternBars - 1
                if idx + j < lookbackPeriod and low[idx + j] == lowAfterHigh
                    patternWidth := j - i + 1
                    break
            break
    
    widthMatch = patternWidth >= minPatternBars and patternWidth <= maxPatternBars
    
    // Check volume and RSI conditions
    volumeCondition = not useVolume or volume > ta.sma(volume, lookbackPeriod)
    rsiCondition = not useRSI or rsi[idx] > rsiOverbought
    
    // Return true if all conditions are met
    heightMatch and widthMatch and volumeCondition and rsiCondition

// Function to detect a bullish correction in an uptrend
bullishCorrection(idx) =>
    // Check if there is a pullback of correction height after a rise
    highBeforeCorrection = ta.highest(high, minPatternBars)[idx]
    lowDuringCorrection = ta.lowest(low, minPatternBars)[idx]
    correctionSize = highBeforeCorrection - lowDuringCorrection
    
    // Check if correction height matches expected height
    heightMatch = math.abs(correctionSize - correctionHeight) <= correctionHeight * 0.2
    
    // Check if correction width is within range
    correctionWidth = 0
    for i = 0 to maxPatternBars - 1
        if idx + i < lookbackPeriod and high[idx + i] == highBeforeCorrection
            for j = i to maxPatternBars - 1
                if idx + j < lookbackPeriod and low[idx + j] == lowDuringCorrection
                    correctionWidth := j - i + 1
                    break
            break
    
    widthMatch = correctionWidth >= minPatternBars / 2 and correctionWidth <= maxPatternBars / 2
    
    // Check if we are in an uptrend
    uptrend = ta.sma(close, lookbackPeriod)[idx] > ta.sma(close, lookbackPeriod)[idx + minPatternBars]
    
    // Return true if all conditions are met
    heightMatch and widthMatch and uptrend

// Function to detect a bearish correction in a downtrend
bearishCorrection(idx) =>
    // Check if there is a pullback of correction height after a drop
    lowBeforeCorrection = ta.lowest(low, minPatternBars)[idx]
    highDuringCorrection = ta.highest(high, minPatternBars)[idx]
    correctionSize = highDuringCorrection - lowBeforeCorrection
    
    // Check if correction height matches expected height
    heightMatch = math.abs(correctionSize - correctionHeight) <= correctionHeight * 0.2
    
    // Check if correction width is within range
    correctionWidth = 0
    for i = 0 to maxPatternBars - 1
        if idx + i < lookbackPeriod and low[idx + i] == lowBeforeCorrection
            for j = i to maxPatternBars - 1
                if idx + j < lookbackPeriod and high[idx + j] == highDuringCorrection
                    correctionWidth := j - i + 1
                    break
            break
    
    widthMatch = correctionWidth >= minPatternBars / 2 and correctionWidth <= maxPatternBars / 2
    
    // Check if we are in a downtrend
    downtrend = ta.sma(close, lookbackPeriod)[idx] < ta.sma(close, lookbackPeriod)[idx + minPatternBars]
    
    // Return true if all conditions are met
    heightMatch and widthMatch and downtrend

// Detecting signals
var float entryPrice = na
var float stopLoss = na
var float takeProfit = na

// Buy signal
buySignal = false
for i = 0 to 3
    if bullishPattern(i) or (i > 0 and bullishCorrection(i))
        buySignal := true
        break

// Sell signal
sellSignal = false
for i = 0 to 3
    if bearishPattern(i) or (i > 0 and bearishCorrection(i))
        sellSignal := true
        break

// Execute strategy
if buySignal
    entryPrice := close
    stopLoss := close - correctionHeight
    takeProfit := close + primaryHeight
    strategy.entry("Long", strategy.long)
    strategy.exit("Exit Long", "Long", stop=stopLoss, limit=takeProfit)

if sellSignal
    entryPrice := close
    stopLoss := close + correctionHeight
    takeProfit := close - primaryHeight
    strategy.entry("Short", strategy.short)
    strategy.exit("Exit Short", "Short", stop=stopLoss, limit=takeProfit)