早期取引範囲の突破定量取引戦略

/*backtest
start: 2025-03-20 00:00:00
end: 2025-03-27 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Morning Range Breakout Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// Input parameters
var useStrategy = input.bool(true, title="Enable Strategy Execution")
var debugMode = input.bool(true, title="Debug Mode")

// Variables to store specific candle data
var float high915 = na
var float low915 = na
var float high916 = na
var float low916 = na
var float high917 = na
var float low917 = na
var float high918 = na
var float low918 = na
var float high919 = na
var float low919 = na

// Final range variables
var float highestHigh = na
var float lowestLow = na
var bool rangeEstablished = false

// Get current bar time components
t = time("1", "0930-1600:1234567")
timeHour = hour(t)
timeMinute = minute(t)

// Debug variables
var string timeString = na
var int barNum = 0
barNum := barNum + 1

// Record exact timestamp for debugging
timeString := str.tostring(timeHour) + ":" + str.tostring(timeMinute)

// Capture each specific minute's high and low
if timeHour == 9 and timeMinute == 15
    high915 := high
    low915 := low
    if debugMode
        label.new(bar_index, high, "9:15 H:" + str.tostring(high, "#.##") + " L:" + str.tostring(low, "#.##"), 
                 color=color.new(color.blue, 50), style=label.style_label_down, textcolor=color.white)

if timeHour == 9 and timeMinute == 16
    high916 := high
    low916 := low

if timeHour == 9 and timeMinute == 17
    high917 := high
    low917 := low

if timeHour == 9 and timeMinute == 18
    high918 := high
    low918 := low

if timeHour == 9 and timeMinute == 19
    high919 := high
    low919 := low

// At 9:20, calculate the highest high and lowest low from all values
if timeHour == 9 and timeMinute == 20 and not rangeEstablished
    // Initialize with first non-NA value
    if not na(high915)
        highestHigh := high915
    else if not na(high916)
        highestHigh := high916
    else if not na(high917)
        highestHigh := high917
    else if not na(high918)
        highestHigh := high918
    else if not na(high919)
        highestHigh := high919
    
    if not na(low915)
        lowestLow := low915
    else if not na(low916)
        lowestLow := low916
    else if not na(low917)
        lowestLow := low917
    else if not na(low918)
        lowestLow := low918
    else if not na(low919)
        lowestLow := low919
    
    // Now find the highest high and lowest low across all minutes
    if not na(high915) and high915 > highestHigh
        highestHigh := high915
    if not na(high916) and high916 > highestHigh
        highestHigh := high916
    if not na(high917) and high917 > highestHigh
        highestHigh := high917
    if not na(high918) and high918 > highestHigh
        highestHigh := high918
    if not na(high919) and high919 > highestHigh
        highestHigh := high919
    
    if not na(low915) and low915 < lowestLow
        lowestLow := low915
    if not na(low916) and low916 < lowestLow
        lowestLow := low916
    if not na(low917) and low917 < lowestLow
        lowestLow := low917
    if not na(low918) and low918 < lowestLow
        lowestLow := low918
    if not na(low919) and low919 < lowestLow
        lowestLow := low919
    
    rangeEstablished := true
    
    if debugMode
        label.new(bar_index, high, "Range Set\nHigh:" + str.tostring(highestHigh, "#.##") + 
                 "\nLow:" + str.tostring(lowestLow, "#.##") + 
                 "\n9:15 values included: " + str.tostring(not na(high915)), 
                 color=color.new(color.purple, 0), style=label.style_label_down, textcolor=color.white)

// Reset values for the next day
if dayofweek != dayofweek[1]
    high915 := na
    low915 := na
    high916 := na
    low916 := na
    high917 := na
    low917 := na
    high918 := na
    low918 := na
    high919 := na
    low919 := na
    highestHigh := na
    lowestLow := na
    rangeEstablished := false

// Generate buy/sell signals
longCondition = rangeEstablished and ta.crossover(close, highestHigh)
shortCondition = rangeEstablished and ta.crossunder(close, lowestLow)

// Execute strategy if enabled
if useStrategy and rangeEstablished
    if longCondition
        strategy.entry("Long", strategy.long)
    if shortCondition
        strategy.entry("Short", strategy.short)

// Plotting
plot(rangeEstablished ? highestHigh : na, color=color.green, linewidth=2, title="Highest High")
plot(rangeEstablished ? lowestLow : na, color=color.red, linewidth=2, title="Lowest Low")

// Plot buy/sell signals
plotshape(longCondition, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(shortCondition, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

// Display range information
if barstate.islast and rangeEstablished
    label.new(bar_index, highestHigh, text="High: " + str.tostring(highestHigh, "#.##") + " (9:15-9:19)", color=color.green, textcolor=color.white, style=label.style_label_down)
    label.new(bar_index, lowestLow, text="Low: " + str.tostring(lowestLow, "#.##") + " (9:15-9:19)", color=color.red, textcolor=color.white, style=label.style_label_up)

// Debug information
if debugMode and barstate.islast
    label.new(bar_index, high + (high * 0.05), 
              "9:15 recorded: " + str.tostring(not na(high915)) + 
              "\n9:15 High: " + str.tostring(high915, "#.##") + 
              "\n9:15 Low: " + str.tostring(low915, "#.##") +
              "\nTime seen: " + timeString, 
              color=color.blue, textcolor=color.white, style=label.style_label_down)