ダイナミック・マネー・マネジメント・スーパートレンド・トレンドフォロー5倍リスクリワード戦略

/*backtest
start: 2024-03-31 00:00:00
end: 2025-03-29 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Grouped SuperTrend Strategy 5x – All Signals", overlay=true, initial_capital=100000, default_qty_type=strategy.fixed, default_qty_value=0, pyramiding=500, calc_on_order_fills=true)

// INPUTS
atrPeriod     = input.int(10, title="ATR Period")
atrMultiplier = input.float(3.0, title="ATR Multiplier")

// CALCULATE ATR & BASIC BANDS
atrValue    = ta.atr(atrPeriod)
hl2         = (high + low) / 2
upperBasic  = hl2 + atrMultiplier * atrValue
lowerBasic  = hl2 - atrMultiplier * atrValue

// CALCULATE FINAL BANDS (recursive smoothing)
var float finalUpperBand = na
var float finalLowerBand = na
finalUpperBand := na(finalUpperBand[1]) ? upperBasic : (upperBasic < finalUpperBand[1] or close[1] > finalUpperBand[1] ? upperBasic : finalUpperBand[1])
finalLowerBand := na(finalLowerBand[1]) ? lowerBasic : (lowerBasic > finalLowerBand[1] or close[1] < finalLowerBand[1] ? lowerBasic : finalLowerBand[1])

// DETERMINE TREND
var int trend = 1
trend := nz(trend[1], 1)
if close > finalUpperBand[1]
    trend := 1
else if close < finalLowerBand[1]
    trend := -1
else
    trend := nz(trend[1], 1)
    
// SUPER TREND VALUE: For an uptrend use finalLowerBand, for a downtrend use finalUpperBand.
superTrend = trend == 1 ? finalLowerBand : finalUpperBand

// SIGNALS: A change in trend generates a signal.
buySignal  = (trend == 1 and nz(trend[1], 1) == -1)
sellSignal = (trend == -1 and nz(trend[1], 1) == 1)

// Plot SuperTrend
plot(superTrend, color = trend == 1 ? color.green : color.red, title="SuperTrend")

// POSITION SIZING FUNCTION: Risk 1% of equity per signal based on the stop distance.
calc_qty(stopDistance) =>
    stopDistance > 0 ? math.floor(strategy.equity * 0.01 / stopDistance) : 0

// ─── GROUPING VARIABLES ─────────────────────────────
// When a new group trade is initiated (position goes from flat to non‑zero),
// record the SuperTrend value as the group’s initial stop.
var float groupInitialStop = na
if strategy.position_size == 0
    groupInitialStop := na
if strategy.position_size != 0 and strategy.position_size[1] == 0
    groupInitialStop := superTrend

// Declare groupStopDistance and groupProfitTarget with explicit type.
var float groupStopDistance = na
var float groupProfitTarget = na
if strategy.position_size > 0
    groupStopDistance := strategy.position_avg_price - groupInitialStop
    groupProfitTarget := strategy.position_avg_price + 5 * groupStopDistance
else if strategy.position_size < 0
    groupStopDistance := groupInitialStop - strategy.position_avg_price
    groupProfitTarget := strategy.position_avg_price - 5 * groupStopDistance

// ─── ENTRY LOGIC ─────────────────────────────
// Every SuperTrend signal is taken.
// For same‑direction signals (or when flat), add to the group.
// For reversal signals, exit the existing group per our conditions and then enter the new direction.

// LONG ENTRIES
if buySignal
    // Reversal: if currently short, exit short first.
    if strategy.position_size < 0
        // For shorts, a loss is when close > avg entry.
        if close > strategy.position_avg_price
            strategy.close("Short", comment="Short Reversal Loss Exit")
        // For shorts, profit when price is below the profit target.
        else if close <= groupProfitTarget
            strategy.close("Short", comment="Short Reversal Profit Target Exit")
        else
            // Otherwise, update exit to break-even.
            strategy.exit("Short_BE", from_entry="Short", stop=strategy.position_avg_price, comment="Short BE Trailing")
        // Enter new long trade.
        stopDist = close - superTrend
        qty = calc_qty(stopDist)
        if qty > 0
            strategy.entry("Long", strategy.long, qty=qty, comment="Long Entry on Reversal")
        // Reset group initial stop for new group.
        groupInitialStop := superTrend
    else
        // Flat or already long – add to the long group.
        stopDist = close - superTrend
        qty = calc_qty(stopDist)
        if qty > 0
            strategy.entry("Long", strategy.long, qty=qty, comment="Long Add Entry")

// SHORT ENTRIES
if sellSignal
    if strategy.position_size > 0
        // Reversal: if currently long, exit long first.
        if close < strategy.position_avg_price
            strategy.close("Long", comment="Long Reversal Loss Exit")
        else if close >= groupProfitTarget
            strategy.close("Long", comment="Long Reversal Profit Target Exit")
        else
            strategy.exit("Long_BE", from_entry="Long", stop=strategy.position_avg_price, comment="Long BE Trailing")
        // Enter new short trade.
        stopDist = superTrend - close
        qty = calc_qty(stopDist)
        if qty > 0
            strategy.entry("Short", strategy.short, qty=qty, comment="Short Entry on Reversal")
        groupInitialStop := superTrend
    else
        // Flat or already short – add to the short group.
        stopDist = superTrend - close
        qty = calc_qty(stopDist)
        if qty > 0
            strategy.entry("Short", strategy.short, qty=qty, comment="Short Add Entry")

// ─── EXIT ORDERS ─────────────────────────────
// Set default aggregated exit orders based on the group’s initial stop and profit target.
if strategy.position_size > 0
    strategy.exit("LongExit", from_entry="Long", stop=groupInitialStop, limit=groupProfitTarget)
if strategy.position_size < 0
    strategy.exit("ShortExit", from_entry="Short", stop=groupInitialStop, limit=groupProfitTarget)