多重フィルタリング収束短期取引戦略：テクニカル分析手法

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

//@version=6
strategy("Malama's Scalping", overlay=true)

// ──────────────────────────────
// SETTINGS YOU CAN CHANGE
// ──────────────────────────────
// Trend Length: How many candles (price bars) to check for the trend
trendLength = input.int(50, title="Trend Length")

// RSI Length: How many candles to measure price speed
rsiLength = input.int(14, title="RSI Length")

// Stop Loss: How much you’re willing to lose (in %)
stopLossPerc = input.float(1.0, title="Stop Loss (%)")

// Take Profit: How much profit you want to take (in %)
takeProfitPerc = input.float(2.0, title="Take Profit (%)")

// Volume Length: How many candles to average volume over
volumeLength = input.int(20, title="Volume Length")

// Volatility (ATR) Length: How many candles to measure price movement
atrLength = input.int(14, title="Volatility Length")

// Minimum Volatility: Price needs to move this much to trade (adjust for TSLA)
minVolatility = input.float(2.0, title="Minimum Volatility (ATR)")

// ──────────────────────────────
// CALCULATIONS
// ──────────────────────────────
// Trend: The average price over the trend length (a blue line on the chart)
trendMA = ta.sma(close, trendLength)

// Is the price above the trend line? (Good for buying)
isBullish = close > trendMA

// Is the price below the trend line? (Good for selling)
isBearish = close < trendMA

// RSI: Checks how fast the price is moving (0-100 scale)
rsiValue = ta.rsi(close, rsiLength)

// Is RSI not too high for buying? (Below 70 means it’s okay)
isRSIOKForBuy = rsiValue < 70

// Is RSI not too low for selling? (Above 30 means it’s okay)
isRSIOKForSell = rsiValue > 30

// Volume: Is today’s trading activity higher than the average?
volumeAvg = ta.sma(volume, volumeLength)
isHighVolume = volume > volumeAvg

// Volatility (ATR): Measures how much the price is moving on average
atrValue = ta.atr(atrLength)

// Is the market moving enough to trade? (ATR must be above the minimum)
isVolatileEnough = atrValue > minVolatility

// Candlestick Pattern: A simple check for a strong buy signal
// (Price opens lower than yesterday’s close but closes higher)
bullishPattern = open < close[1] and close > open[1]

// Candlestick Pattern: A simple check for a strong sell signal
// (Price opens higher than yesterday’s close but closes lower)
bearishPattern = open > close[1] and close < open[1]

// ──────────────────────────────
// SIGNALS
// ──────────────────────────────
// Buy Signal: Price is above trend, RSI is okay, volume is high, pattern fits, and market is moving enough
buySignal = isBullish and isRSIOKForBuy and isHighVolume and bullishPattern and isVolatileEnough

// Sell Signal: Price is below trend, RSI is okay, volume is high, pattern fits, and market is moving enough
sellSignal = isBearish and isRSIOKForSell and isHighVolume and bearishPattern and isVolatileEnough

// ──────────────────────────────
// VISUALS ON THE CHART
// ──────────────────────────────
// Show the trend line in blue
plot(trendMA, color=color.blue, title="Trend Line")

// Show a green "Buy" label below the bar when it’s time to buy
plotshape(buySignal, location=location.belowbar, color=color.green, style=shape.labelup, title="Buy", text="Buy")

// Show a red "Sell" label above the bar when it’s time to sell
plotshape(sellSignal, location=location.abovebar, color=color.red, style=shape.labeldown, title="Sell", text="Sell")

// ──────────────────────────────
// AUTOMATIC TRADING
// ──────────────────────────────
// If there’s a buy signal, enter a buy trade and set stop loss/take profit
if (buySignal)
    strategy.entry("Buy", strategy.long)
    strategy.exit("Exit Buy", "Buy", stop=close * (1 - stopLossPerc / 100), limit=close * (1 + takeProfitPerc / 100))

// If there’s a sell signal, enter a sell trade and set stop loss/take profit
if (sellSignal)
    strategy.entry("Sell", strategy.short)
    strategy.exit("Exit Sell", "Sell", stop=close * (1 + stopLossPerc / 100), limit=close * (1 - takeProfitPerc / 100))