複数のテクニカル指標によるダイナミックストップロス先物取引戦略

/*backtest
start: 2024-04-02 00:00:00
end: 2025-04-01 00:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

// @version=5
strategy("NQ Futures Trading Strategy", overlay=true, initial_capital=50000, default_qty_type=strategy.cash, default_qty_value=5000)

// ==========================================
// Parameters
// ==========================================

// Account Parameters
accountSize = 50000
profitGoal = 3000
trailingThreshold = 2500
stopsTrailing = 52650

// Trading Parameters
atrLength = input.int(14, "ATR Period", minval=1)
atrMultiplier = input.float(1.5, "ATR Multiplier for SL", minval=0.5, maxval=3.0, step=0.1)
timeoutPeriod = input.int(30, "Exit after X minutes if trade doesn't move favorably", minval=5, maxval=120)

// FVG (Fair Value Gap) Parameters
fvgLength = input.int(5, "FVG Look-back Period", minval=2, maxval=20)
fvgThreshold = input.float(0.1, "FVG Size Threshold (%)", minval=0.05, maxval=1.0, step=0.05) * 0.01

// Order Block Parameters
obLength = input.int(5, "Order Block Look-back Period", minval=2, maxval=20)
obThreshold = input.float(0.1, "Order Block Size Threshold (%)", minval=0.05, maxval=1.0, step=0.05) * 0.01

// Liquidity Sweep Parameters
sweepLength = input.int(5, "Liquidity Sweep Look-back Period", minval=2, maxval=20)
sweepThreshold = input.float(0.05, "Sweep Size Threshold (%)", minval=0.01, maxval=0.5, step=0.01) * 0.01

// Break of Structure Parameters
bosLength = input.int(5, "BOS Look-back Period", minval=2, maxval=20)
bosThreshold = input.float(0.05, "BOS Size Threshold (%)", minval=0.01, maxval=0.5, step=0.01) * 0.01

// Debug Mode
debugMode = input.bool(false, "Debug Mode (more signals)")

// Higher Timeframe Trend Parameters
htfPeriod1 = input.timeframe("15", "First Higher Timeframe")
htfPeriod2 = input.timeframe("60", "Second Higher Timeframe")

// ==========================================
// Indicators & Calculations
// ==========================================

// ATR Calculation
atr = ta.atr(atrLength)

// Higher Timeframe EMAs for Trend Determination
htf1_ema20 = request.security(syminfo.tickerid, htfPeriod1, ta.ema(close, 20), barmerge.gaps_off, barmerge.lookahead_off)
htf1_ema50 = request.security(syminfo.tickerid, htfPeriod1, ta.ema(close, 50), barmerge.gaps_off, barmerge.lookahead_off)
htf2_ema20 = request.security(syminfo.tickerid, htfPeriod2, ta.ema(close, 20), barmerge.gaps_off, barmerge.lookahead_off)
htf2_ema50 = request.security(syminfo.tickerid, htfPeriod2, ta.ema(close, 50), barmerge.gaps_off, barmerge.lookahead_off)

// Higher Timeframe Trend
htf1_bullish = htf1_ema20 > htf1_ema50
htf1_bearish = htf1_ema20 < htf1_ema50
htf2_bullish = htf2_ema20 > htf2_ema50
htf2_bearish = htf2_ema20 < htf2_ema50

// ==========================================
// Entry Conditions
// ==========================================

// 1. Fair Value Gap (FVG)
bullishFVG = false
bearishFVG = false

for i = 1 to fvgLength
    if low[i] > high[i+2] and (low[i] - high[i+2]) / high[i+2] > fvgThreshold
        bullishFVG := true
    if high[i] < low[i+2] and (low[i+2] - high[i]) / high[i] > fvgThreshold
        bearishFVG := true

// 2. Inverse Fair Value Gap
inverseBullishFVG = false
inverseBearishFVG = false

for i = 1 to fvgLength
    if high[i+1] < low[i+2] and close[i] > open[i] and close[i] > high[i+1]
        inverseBullishFVG := true
    if low[i+1] > high[i+2] and close[i] < open[i] and close[i] < low[i+1]
        inverseBearishFVG := true

// 3. Order Block / Breaker Block
bullishOrderBlock = false
bearishOrderBlock = false

for i = 1 to obLength
    if close[i+1] < open[i+1] and (open[i+1] - close[i+1]) / close[i+1] > obThreshold and close[i] > open[i]
        bullishOrderBlock := true
    if close[i+1] > open[i+1] and (close[i+1] - open[i+1]) / open[i+1] > obThreshold and close[i] < open[i]
        bearishOrderBlock := true

// 4. Liquidity Sweep
bullishSweep = false
bearishSweep = false

lowestLow = ta.lowest(low, sweepLength+1)
highestHigh = ta.highest(high, sweepLength+1)

if low[1] < lowestLow[2] and close > open
    bullishSweep := true
if high[1] > highestHigh[2] and close < open
    bearishSweep := true

// 5. Break of Structure (BOS)
bullishBOS = false
bearishBOS = false

prevHigh = high[2]
prevLow = low[2]

if high > prevHigh and low[1] < low[2]
    bullishBOS := true
if low < prevLow and high[1] > high[2]
    bearishBOS := true

// Simpler version for debug mode
if debugMode
    bullishBOS := close > open and close > close[1]
    bearishBOS := close < open and close < close[1]

// ==========================================
// Signal Generation
// ==========================================

// Count valid entry conditions
bullishConditions = bullishFVG ? 1 : 0
bullishConditions := bullishConditions + (inverseBullishFVG ? 1 : 0)
bullishConditions := bullishConditions + (bullishOrderBlock ? 1 : 0)
bullishConditions := bullishConditions + (bullishSweep ? 1 : 0)

bearishConditions = bearishFVG ? 1 : 0
bearishConditions := bearishConditions + (inverseBearishFVG ? 1 : 0)
bearishConditions := bearishConditions + (bearishOrderBlock ? 1 : 0)
bearishConditions := bearishConditions + (bearishSweep ? 1 : 0)

// Entry signals (need at least 2 conditions + BOS confirmation)
// In debug mode, require only 1 condition
minConditions = debugMode ? 1 : 2
longSignal = bullishConditions >= minConditions and bullishBOS and (htf1_bullish or htf2_bullish)
shortSignal = bearishConditions >= minConditions and bearishBOS and (htf1_bearish or htf2_bearish)

// Debug mode override for testing
if debugMode
    longSignal := longSignal or (bullishBOS and htf1_bullish)
    shortSignal := shortSignal or (bearishBOS and htf1_bearish)

// ==========================================
// Risk Management
// ==========================================

// Calculate dynamic stop loss based on ATR
longStopDistance = atr * atrMultiplier
shortStopDistance = atr * atrMultiplier

// Default fixed values for testing
if debugMode
    longStopDistance := close * 0.01  // 1% stop
    shortStopDistance := close * 0.01  // 1% stop

// Calculate position size based on risk
nqPointValue = 20  // Each point is $20 for NQ
longPositionSize = math.floor(2000 / (longStopDistance * nqPointValue))
shortPositionSize = math.floor(2000 / (shortStopDistance * nqPointValue))

// Ensure at least 1 contract
longPositionSize := math.max(longPositionSize, 1)
shortPositionSize := math.max(shortPositionSize, 1)

// Variables to track entry time
var int entryTime = 0
var float equityCurve = accountSize

// ==========================================
// Strategy Execution
// ==========================================

// Make sure we don't get multiple signals on the same bar
var longEnteredThisBar = false
var shortEnteredThisBar = false

longEnteredThisBar := false
shortEnteredThisBar := false

// Entry conditions
if longSignal and not longEnteredThisBar and strategy.position_size <= 0
    strategy.close_all()
    strategy.entry("Long", strategy.long, qty=longPositionSize)
    longEnteredThisBar := true
    entryTime := time

if shortSignal and not shortEnteredThisBar and strategy.position_size >= 0
    strategy.close_all()
    strategy.entry("Short", strategy.short, qty=shortPositionSize)
    shortEnteredThisBar := true
    entryTime := time

// Take profit and stop loss orders
if strategy.position_size > 0
    stopPrice = strategy.position_avg_price - longStopDistance
    takeProfitPrice1 = strategy.position_avg_price + longStopDistance
    strategy.exit("Long TP1", "Long", qty_percent=50, limit=takeProfitPrice1, stop=stopPrice)
    
    // Move stop to breakeven after 1R move
    if high >= takeProfitPrice1
        strategy.exit("Long BE", "Long", stop=strategy.position_avg_price)

if strategy.position_size < 0
    stopPrice = strategy.position_avg_price + shortStopDistance
    takeProfitPrice1 = strategy.position_avg_price - shortStopDistance
    strategy.exit("Short TP1", "Short", qty_percent=50, limit=takeProfitPrice1, stop=stopPrice)
    
    // Move stop to breakeven after 1R move
    if low <= takeProfitPrice1
        strategy.exit("Short BE", "Short", stop=strategy.position_avg_price)

// Time-based exit
if strategy.position_size != 0
    currentTime = time
    if (currentTime - entryTime) >= timeoutPeriod * 60000  // Convert minutes to milliseconds
        strategy.close_all(comment="Time Exit")

// ==========================================
// Trailing Stop for Account Management
// ==========================================

// Update equity curve
equityCurve := strategy.equity

// Check if profit target is reached or trailing stop is hit
if strategy.equity >= accountSize + profitGoal
    strategy.close_all(comment="Profit Goal")

if strategy.equity >= accountSize + trailingThreshold
    trailingStop = math.max(accountSize, strategy.equity - trailingThreshold)
    if strategy.equity <= trailingStop
        strategy.close_all(comment="Trailing Stop")

// Stop trailing if account reaches the stop trailing threshold
if strategy.equity >= stopsTrailing
    strategy.close_all(comment="Stop Trailing")

// ==========================================
// Plotting
// ==========================================

// Plot entry conditions
plotshape(longSignal, title="Long Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(shortSignal, title="Short Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

// Plot current position
bgcolor(strategy.position_size > 0 ? color.new(color.green, 90) : strategy.position_size < 0 ? color.new(color.red, 90) : na)

// Alert conditions
alertcondition(longSignal, title="Long Entry Signal", message="NQ LONG ENTRY: {{ticker}}, Price: {{close}}")
alertcondition(shortSignal, title="Short Entry Signal", message="NQ SHORT ENTRY: {{ticker}}, Price: {{close}}")
alertcondition(strategy.position_size > 0 and high >= strategy.position_avg_price + longStopDistance, title="Long Take Profit", message="NQ LONG TP: {{ticker}}, Price: {{close}}")
alertcondition(strategy.position_size < 0 and low <= strategy.position_avg_price - shortStopDistance, title="Short Take Profit", message="NQ SHORT TP: {{ticker}}, Price: {{close}}")
alertcondition(strategy.position_size > 0 and low <= strategy.position_avg_price - longStopDistance, title="Long Stop Loss", message="NQ LONG SL: {{ticker}}, Price: {{close}}")
alertcondition(strategy.position_size < 0 and high >= strategy.position_avg_price + shortStopDistance, title="Short Stop Loss", message="NQ SHORT SL: {{ticker}}, Price: {{close}}")