AI駆動型ダイナミックボラティリティ適応型トレンドブレイクアウト取引戦略

/*backtest
start: 2024-03-31 00:00:00
end: 2025-03-29 08:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("AI-Enhanced NKD CME Trading Strategy", overlay=true)

// 🔹 Input Parameters
fastEMA = input(9, title="Fast EMA Length")
slowEMA = input(21, title="Slow EMA Length")
atrMultiplierSL = input(1.5, title="ATR Multiplier for Stop Loss")
atrMultiplierTP = input(3, title="ATR Multiplier for Take Profit")
atrLen = input(14, title="ATR Length")

// 🔹 AI-Based Risk Management Tool
// Adjusts position sizes dynamically based on volatility
riskFactor = ta.sma(ta.atr(14), 10) / ta.atr(14)
positionSize = 1 / riskFactor  // Smaller size in high volatility, larger in low volatility

// 🔹 AI-Powered Market Regime Detection
// Detects if the market is trending, ranging, or mean-reverting
trendStrength = ta.ema(close, 50) - ta.ema(close, 200)
rsiTrend = ta.rsi(close, 14)
marketRegime = trendStrength > 0 ? "Trending Up" : trendStrength < 0 ? "Trending Down" : "Range"

// 🔹 AI-Powered Volatility Forecasting
// Uses ATR spikes to detect upcoming high-impact moves
volatilitySpike = ta.change(ta.atr(atrLen)) > ta.atr(atrLen) * 0.5  // ATR jump > 50% indicates potential spike

// 🔹 Indicators Calculation
emaFast = ta.ema(close, fastEMA)
emaSlow = ta.ema(close, slowEMA)
vw = ta.vwap(close)
atr = ta.atr(atrLen)

// 📌 Gap Resolution Trade Logic
preMarketClose = request.security(syminfo.tickerid, "30", close[1])
gapSize = math.abs(close - preMarketClose)

// Long Entry: Gap Down Mean Reversion
longGapCondition = close > emaFast and gapSize > 50 and close < vw
shortGapCondition = close < emaFast and gapSize > 50 and close > vw

// 📌 VWAP Momentum Trade Logic
longVWAPCondition = ta.crossover(close, vw)
shortVWAPCondition = ta.crossunder(close, vw)

// 📌 Volatility Compression Squeeze
lowLiquidityCondition = ta.lowest(low, 10) == low and gapSize < 30
breakoutCondition = ta.highest(high, 10) == high and gapSize > 30

// 📌 Risk Management (AI-Driven)
longStopLoss = close - (atrMultiplierSL * atr)
longTakeProfit = close + (atrMultiplierTP * atr)

shortStopLoss = close + (atrMultiplierSL * atr)
shortTakeProfit = close - (atrMultiplierTP * atr)

// 📌 Strategy Execution with AI Risk Management
if longGapCondition and positionSize > 0
    strategy.entry("Long Gap", strategy.long, qty=positionSize)
    strategy.exit("Exit Long", from_entry="Long Gap", stop=longStopLoss, limit=longTakeProfit)

if shortGapCondition and positionSize > 0
    strategy.entry("Short Gap", strategy.short, qty=positionSize)
    strategy.exit("Exit Short", from_entry="Short Gap", stop=shortStopLoss, limit=shortTakeProfit)

if longVWAPCondition and positionSize > 0
    strategy.entry("Long VWAP", strategy.long, qty=positionSize)
    strategy.exit("Exit Long VWAP", from_entry="Long VWAP", stop=longStopLoss, limit=longTakeProfit)

if shortVWAPCondition and positionSize > 0
    strategy.entry("Short VWAP", strategy.short, qty=positionSize)
    strategy.exit("Exit Short VWAP", from_entry="Short VWAP", stop=shortStopLoss, limit=shortTakeProfit)

if breakoutCondition and positionSize > 0
    strategy.entry("Breakout Long", strategy.long, qty=positionSize)
    strategy.exit("Exit Breakout", from_entry="Breakout Long", stop=longStopLoss, limit=longTakeProfit)

// 🔹 Visualization (Fixed xloc.bar issue)
plot(emaFast, color=color.blue, title="9 EMA")
plot(emaSlow, color=color.red, title="21 EMA")
plot(vw, color=color.orange, title="VWAP")
hline(50, "RSI 50 Level", color=color.gray)

// ✅ Fix for xloc.bar Issue
// Pine Script does not allow labels or text to be drawn using xloc.bar, so we use a regular label with dynamic updates
var label marketLabel = label.new(x=bar_index, y=high, text="", color=color.white, textcolor=color.black, size=size.small)
label.set_text(marketLabel, "Market Regime: " + marketRegime)
label.set_x(marketLabel, bar_index)
label.set_y(marketLabel, high)