移動平均クロスオーバーとダイナミックボラティリティストップロス定量戦略

/*backtest
start: 2024-04-02 00:00:00
end: 2025-04-01 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/

//@version=6
strategy(title=" VS-NTC> NASDQ100 Long MA+RSI+ATR", shorttitle="VS-NTC> Long NASDQ100 MA+RSI+ATR", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// ————— Inputs —————
smaLenShort  = input.int(50,  title="Short SMA Length")
smaLenLong   = input.int(200, title="Long SMA Length")
rsiLen       = input.int(14,  title="RSI Length")
atrPeriod    = input.int(14,  title="ATR Period")
atrMult      = input.float(1.0, title="Stop-Loss ATR Multiplier", step=0.1)
rrRatio      = input.float(1.5, title="Risk-to-Reward Ratio",    step=0.1)

// ————— Indicator Calculations —————
smaShort = ta.sma(close, smaLenShort)
smaLong  = ta.sma(close, smaLenLong)
rsiVal   = ta.rsi(close, rsiLen)
atrVal   = ta.atr(atrPeriod)

// ————— Entry Conditions —————
// Long Condition: 50SMA > 200SMA and RSI < 70
longCondition = (smaShort < smaLong) and (rsiVal > 30)
// Short Condition: 50SMA < 200SMA and RSI > 30 (example: avoid oversold)
// Or use RSI > 70 to short if the market is overbought.
shortCondition = false
// shortCondition = (smaShort > smaLong) and (rsiVal < 35)

// ————— Entry Logic —————
if longCondition
    strategy.entry(id="Long", direction=strategy.long)

if shortCondition
    strategy.entry(id="Short", direction=strategy.short)

// ————— Stop-Loss & Take-Profit Calculation —————
var float stopPrice       = na
var float takeProfitPrice = na

// If we have a position open, we determine SL & TP differently for Long or Short.
if strategy.position_size > 0
    // We are in a Long trade
    stopPrice       := strategy.position_avg_price - (atrVal * atrMult)
    takeProfitPrice := strategy.position_avg_price + ((strategy.position_avg_price - stopPrice) * rrRatio)

    strategy.exit("Exit SL/TP", stop=stopPrice, limit=takeProfitPrice)
else if strategy.position_size < 0
    // We are in a Short trade
    stopPrice       := strategy.position_avg_price + (atrVal * atrMult)
    // For short, the distance from entry to stop is (stopPrice - entry)
    // So the take-profit is entry - that same distance times RR
    takeProfitPrice := strategy.position_avg_price - ((stopPrice - strategy.position_avg_price) * rrRatio)

    strategy.exit("Exit SL/TP", stop=stopPrice, limit=takeProfitPrice)
else
    // No open position → reset plots to na
    stopPrice       := na
    takeProfitPrice := na

// ————— Plot the Planned Stop-Loss & Take-Profit —————
plot(stopPrice,       title="Stop Loss",   color=color.red,   linewidth=2)
plot(takeProfitPrice, title="Take Profit", color=color.green, linewidth=2)


// ————— Label Each Closed Trade (Wins & Losses) —————
var int lastClosedTradeCount = 0
currentClosedCount = strategy.closedtrades

// If there's at least one new closed trade, label it
if currentClosedCount > lastClosedTradeCount
    newTradeIndex = currentClosedCount - 1

    tradeProfit  = strategy.closedtrades.profit(newTradeIndex)
    exitBarIndex = strategy.closedtrades.exit_bar_index(newTradeIndex)
    exitPrice    = strategy.closedtrades.exit_price(newTradeIndex)

    // Win label if profit > 0
    if tradeProfit > 0
        labelText  = "Win: " + str.tostring(tradeProfit)
        labelStyle = label.style_label_up
        labelColor = color.new(color.green, 0)
        label.new(exitBarIndex, exitPrice, text=labelText, style=labelStyle, color=labelColor, size=size.tiny)

    // Loss label if profit < 0
    if tradeProfit < 0
        labelText  = "Loss: " + str.tostring(tradeProfit)
        labelStyle = label.style_label_down
        labelColor = color.new(color.red, 0)
        label.new(exitBarIndex, exitPrice, text=labelText, style=labelStyle, color=labelColor, size=size.tiny)

    lastClosedTradeCount := currentClosedCount