ダウ理論トレンドアダプティブモメンタム戦略

/*backtest
start: 2025-03-29 00:00:00
end: 2025-03-30 09:00:00
period: 2m
basePeriod: 2m
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/

//@version=5
// strategy(title="Dow Theory Trend Strategy v3", shorttitle="Dow Trend Strat v3", overlay=true,
//      initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=10,
//      commission_type=strategy.commission.percent, commission_value=0.1, // Example strategy settings with commission
//      process_orders_on_close=true) // Consider processing on bar close for more stable backtests
strategy(title="Dow Theory Trend Strategy v3", shorttitle="Dow Trend Strat v3", overlay=true) // Basic strategy settings

// --- 設定 ---
// Calculation Settings
pivotLookback = input.int(10, title="Pivot Lookback Period", minval=1, tooltip="ピボットハイ/ローを検出するための左右のバーの数", group="Calculation Settings")

// Display Settings
showPivotPoints = input.bool(true, title="Show Pivot Points", tooltip="ピボットハイ/ローのポイントを表示します", group="Display Settings")
showTrendChange = input.bool(true, title="Show Trend Change Signals", tooltip="トレンド転換のシグナル（エントリーポイント）を表示します", group="Display Settings")

// Strategy Settings
// --- Manual Trend Override (配列定義を input 内に変更) ---
manualTrendMode = input.string("Auto", title="Manual Trend Mode",
     options=["Auto", "Long Only", "Short Only"], // オプションをここで直接定義
     tooltip="手動でトレード方向を指定 (Auto: ダウ理論に従う, Long Only: ロングのみ, Short Only: ショートのみ)",
     group="Strategy Settings")

// Risk Management Settings
useStopLoss = input.bool(true, title="Use Stop Loss", group="Risk Management")
stopLossTicks = input.float(100, title="Stop Loss (Ticks)", minval=1, group="Risk Management", tooltip="エントリー価格からのストップロスまでのティック（最小値動き）数。例：EURUSDで20 pips (tick=0.00001)なら200。")
useTakeProfit = input.bool(true, title="Use Take Profit", group="Risk Management")
takeProfitTicks = input.float(200, title="Take Profit (Ticks)", minval=1, group="Risk Management", tooltip="エントリー価格からのテイクプロフィットまでのティック（最小値動き）数。例：EURUSDで40 pips (tick=0.00001)なら400。")

// --- ピボットハイ/ローの検出 ---
pivotHighPrice = ta.pivothigh(high, pivotLookback, pivotLookback)
pivotLowPrice = ta.pivotlow(low, pivotLookback, pivotLookback)

// --- ピボットポイントの値を保持するための変数 ---
var float lastPivotHigh = na
var float prevPivotHigh = na
var float lastPivotLow = na
var float prevPivotLow = na
var int lastPivotHighBar = na
var int prevPivotHighBar = na
var int lastPivotLowBar = na
var int prevPivotLowBar = na

// --- 新しいピボットが確定したかどうかの検出と値の更新 ---
if not na(pivotHighPrice)
    if na(lastPivotHigh) or pivotHighPrice != lastPivotHigh
        prevPivotHigh := lastPivotHigh
        prevPivotHighBar := lastPivotHighBar
        lastPivotHigh := pivotHighPrice
        lastPivotHighBar := bar_index - pivotLookback

if not na(pivotLowPrice)
    if na(lastPivotLow) or pivotLowPrice != lastPivotLow
        prevPivotLow := lastPivotLow
        prevPivotLowBar := lastPivotLowBar
        lastPivotLow := pivotLowPrice
        lastPivotLowBar := bar_index - pivotLookback

// --- ダウ理論に基づくトレンド判定 (改良版) ---
var int trendDirection = 0
bool hasEnoughPivots = not na(lastPivotHigh) and not na(prevPivotHigh) and not na(lastPivotLow) and not na(prevPivotLow)

if hasEnoughPivots
    isHigherHigh = lastPivotHigh > prevPivotHigh
    isHigherLow = lastPivotLow > prevPivotLow
    isUptrendConfirmed = isHigherHigh and isHigherLow

    isLowerHigh = lastPivotHigh < prevPivotHigh
    isLowerLow = lastPivotLow < prevPivotLow
    isDowntrendConfirmed = isLowerHigh and isLowerLow

    if isUptrendConfirmed
        trendDirection := 1
    else if isDowntrendConfirmed
        trendDirection := -1
    else
        trendDirection := trendDirection[1]

// --- トレンド転換の検出 ---
bool trendChanged = ta.change(trendDirection) != 0
bool changedToUp = trendChanged and trendDirection == 1
bool changedToDown = trendChanged and trendDirection == -1

// --- 描画処理 ---
bgcolor(trendDirection == 1 ? color.new(color.blue, 85) : trendDirection == -1 ? color.new(color.red, 85) : color.new(color.gray, 90), title="Trend Background")
plotshape(showPivotPoints and not na(pivotHighPrice), title="Pivot High", location=location.abovebar, color=color.new(color.maroon, 20), style=shape.triangledown, size=size.tiny, offset=-pivotLookback)
plotshape(showPivotPoints and not na(pivotLowPrice), title="Pivot Low", location=location.belowbar, color=color.new(color.navy, 20), style=shape.triangleup, size=size.tiny, offset=-pivotLookback)
plotshape(showTrendChange and changedToUp, title="Uptrend Start Signal", location=location.belowbar, color=color.new(color.green, 0), style=shape.labelup, text="▲ UP", textcolor=color.white, size=size.small)
plotshape(showTrendChange and changedToDown, title="Downtrend Start Signal", location=location.abovebar, color=color.new(color.red, 0), style=shape.labeldown, text="▼ DOWN", textcolor=color.white, size=size.small)

// --- ストラテジーロジック ---
bool allowLong = manualTrendMode == "Auto" or manualTrendMode == "Long Only"
bool allowShort = manualTrendMode == "Auto" or manualTrendMode == "Short Only"

if (changedToUp and allowLong)
    strategy.entry("L", strategy.long, comment="Go Long")
    if (useStopLoss or useTakeProfit)
        float slValue = useStopLoss and stopLossTicks > 0 ? stopLossTicks : na
        float tpValue = useTakeProfit and takeProfitTicks > 0 ? takeProfitTicks : na
        strategy.exit("LX", from_entry="L", loss=slValue, profit=tpValue, comment_loss="SL Long", comment_profit="TP Long")

if (changedToDown and allowShort)
    strategy.entry("S", strategy.short, comment="Go Short")
    if (useStopLoss or useTakeProfit)
        float slValue = useStopLoss and stopLossTicks > 0 ? stopLossTicks : na
        float tpValue = useTakeProfit and takeProfitTicks > 0 ? takeProfitTicks : na
        strategy.exit("SX", from_entry="S", loss=slValue, profit=tpValue, comment_loss="SL Short", comment_profit="TP Short")

// --- デバッグ用 ---
// plot(trendDirection, title="Trend Direction Value")