多期間ボリンジャーバンドブレイクアウト回帰取引戦略

/*backtest
start: 2024-04-03 00:00:00
end: 2025-04-02 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/

//@version=5
strategy("Bollinger Band Long & Short Strategy", overlay=true)

// Bollinger Bands settings
length = 20
src = close
mult = 1.5
basis = ta.sma(src, length)
deviation = ta.stdev(src, length)
upperBand = basis + (mult * deviation)
lowerBand = basis - (mult * deviation)

// Detecting a candle fully outside the upper Bollinger Band
prevCandleOutsideUpper = (close[1] > upperBand[1]) and (open[1] > upperBand[1]) and (low[1] > upperBand[1])

// Detecting a candle fully outside the lower Bollinger Band
prevCandleOutsideLower = (close[1] < lowerBand[1]) and (open[1] < lowerBand[1]) and (high[1] < lowerBand[1])

// Entry condition - Only within the next 4 candles break the low of the previous candle (Short)
breaksLow = ta.lowest(low, 4) < low[1] and ta.barssince(prevCandleOutsideUpper) <= 4

// Entry condition - Only within the next 4 candles break the high of the previous candle (Long)
breaksPrevHigh = ta.highest(high, 4) > high[1] and ta.barssince(prevCandleOutsideLower) <= 4

var float entryPrice = na
var float stopLoss = na
var float takeProfit = na
var float breakevenLevel = na
var float quantity = na
maxLoss = 4000.0 // Max loss set to INR 4000 per trade

// Short Trade
if prevCandleOutsideUpper and breaksLow
    entryPrice := low[1]
    stopLoss := high[1] // Stop-loss set to the high of the candle outside the upper BB
    risk = stopLoss - entryPrice
    quantity := risk > 0 ? math.floor(maxLoss / risk) : na // Ensuring risk is exactly 4000 per trade
    takeProfit := entryPrice - (risk * 3) // Adjusted for 1:3 risk-reward
    breakevenLevel := entryPrice - (risk * 2) // 1:2 level where stop loss moves to breakeven
    if not na(quantity) and quantity > 0
        strategy.entry("Short", strategy.short, qty=quantity)

// Move SL to breakeven if 1:2 is reached for Short
if strategy.position_size < 0 and close <= breakevenLevel
    strategy.exit("Move SL to breakeven", from_entry="Short", stop=entryPrice)

// Close trade at 1:3 for Short
if strategy.position_size < 0 and close <= takeProfit
    strategy.close("Short")

// Long Trade
if prevCandleOutsideLower and breaksPrevHigh
    entryPrice := high[1]
    stopLoss := low[1] // Stop-loss set to the low of the candle outside the lower BB
    risk = entryPrice - stopLoss
    quantity := risk > 0 ? math.floor(maxLoss / risk) : na // Ensuring risk is exactly 4000 per trade
    takeProfit := entryPrice + (risk * 3) // Adjusted for 1:3 risk-reward
    breakevenLevel := entryPrice + (risk * 2) // 1:2 level where stop loss moves to breakeven
    if not na(quantity) and quantity > 0
        strategy.entry("Long", strategy.long, qty=quantity)

// Move SL to breakeven if 1:2 is reached for Long
if strategy.position_size > 0 and close >= breakevenLevel
    strategy.exit("Move SL to breakeven", from_entry="Long", stop=entryPrice)

// Close trade at 1:3 for Long
if strategy.position_size > 0 and close >= takeProfit
    strategy.close("Long")

// Plot Bollinger Bands with increased visibility
plot(upperBand, color=color.red, linewidth=3, title="Upper Band")
plot(lowerBand, color=color.green, linewidth=3, title="Lower Band")
plot(basis, color=color.blue, linewidth=3, title="Middle Band")