マルチインジケーター統合トレンドフォロー取引戦略

/*backtest
start: 2025-03-10 00:00:00
end: 2025-04-07 00:00:00
period: 2m
basePeriod: 2m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("TUONG HA GBP M15 Trend Strategy NHIEU CHI BAO TICH HOP", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// === INPUTS ===
emaFastLen = input.int(50, "EMA Fast", minval=10, maxval=200, step=5)
emaSlowLen = input.int(200, "EMA Slow", minval=50, maxval=500, step=10)
rsiLen = input.int(14, "RSI Length")
adsLen = input.int(14, "ADX Length")
adxThreshold = input.int(20, "ADX Threshold")
atrLen = input.int(14, "ATR Length")
rrRatio = input.float(2.0, "Risk-Reward Ratio", step=0.1)
trailOffset = input.float(1.5, "Trailing Stop ATR Multiplier", step=0.1)
volumeMultiplier = input.float(1.5, "Volume Multiplier Threshold", step=0.1)

// === SESSIONS (London + New York in VN Time UTC+7) ===
startHour = 14
endHour = 23
inSession = (hour >= startHour and hour <= endHour)

// === INDICATORS ===
emaFast = ta.ema(close, emaFastLen)
emaSlow = ta.ema(close, emaSlowLen)
rsi = ta.rsi(close, rsiLen)
at = ta.atr(atrLen)

// === CUSTOM ADX FUNCTION ===
upMove = high - high[1]
downMove = low[1] - low
plusDM = (upMove > downMove and upMove > 0) ? upMove : 0
minusDM = (downMove > upMove and downMove > 0) ? downMove : 0
trur = ta.tr(true)
plusDI = 100 * ta.rma(plusDM, adsLen) / ta.rma(trur, adsLen)
minusDI = 100 * ta.rma(minusDM, adsLen) / ta.rma(trur, adsLen)
adx = 100 * ta.rma(math.abs(plusDI - minusDI) / (plusDI + minusDI), adsLen)

// === OBV TREND ===
obv = ta.cum(close > close[1] ? volume : close < close[1] ? -volume : 0)
obvTrend = obv > obv[1]

// === VOLUME FILTER ===
avgVol = ta.sma(volume, 20)
highVol = volume > avgVol * volumeMultiplier

// === SIDEWAY DETECTION ===
rng = ta.highest(high, 20) - ta.lowest(low, 20)
rngCloseRatio = close != 0 ? (rng / close) : na
sideway = na(rngCloseRatio) ? false : (rngCloseRatio < 0.003 and adx < adxThreshold and (rsi > 45 and rsi < 55))

// === ENGULFING ===
bullishEngulf = close[1] < open[1] and close > open and close > open[1] and open < close[1]
bearishEngulf = close[1] > open[1] and close < open and close < open[1] and open > close[1]

// === DOJI AND PIN BAR ===
doji = math.abs(open - close) <= (high - low) * 0.1
pinBar = (high - math.max(open, close)) > 2 * math.abs(open - close) and (math.min(open, close) - low) < (high - low) * 0.25

// === AI SIGNALS ENHANCED ===
aiStrength = 0
aiStrength := aiStrength + (emaFast > emaSlow ? 1 : 0)
aiStrength := aiStrength + (obvTrend ? 1 : 0)
aiStrength := aiStrength + (adx > adxThreshold ? 1 : 0)
aiStrength := aiStrength + (bullishEngulf ? 1 : 0)
aiStrength := aiStrength + (ta.crossover(ta.ema(close, 5), ta.ema(close, 21)) ? 1 : 0)
aiSignalLong = aiStrength >= 4

aioStrengthS = 0
aioStrengthS := aioStrengthS + (emaFast < emaSlow ? 1 : 0)
aioStrengthS := aioStrengthS + (not obvTrend ? 1 : 0)
aioStrengthS := aioStrengthS + (adx > adxThreshold ? 1 : 0)
aioStrengthS := aioStrengthS + (bearishEngulf ? 1 : 0)
aioStrengthS := aioStrengthS + (ta.crossunder(ta.ema(close, 5), ta.ema(close, 21)) ? 1 : 0)
aiSignalShort = aioStrengthS >= 4

// === HIGHS AND LOWS DETECTION ===
highestHigh = ta.highest(high, 50)
lowestLow = ta.lowest(low, 50)
plot(highestHigh, title="Highest High", color=color.fuchsia, linewidth=1, style=plot.style_line)
plot(lowestLow, title="Lowest Low", color=color.teal, linewidth=1, style=plot.style_line)

// === RSI DIVERGENCE ===
priceHigherHigh = high > high[1] and high[1] > high[2]
rsiLowerHigh = rsi < rsi[1] and rsi[1] > rsi[2]
shortDiv = priceHigherHigh and rsiLowerHigh

priceLowerLow = low < low[1] and low[1] < low[2]
rsiHigherLow = rsi > rsi[1] and rsi[1] < rsi[2]
longDiv = priceLowerLow and rsiHigherLow

// === ADX DIVERGENCE ===
priceHigherHighADX = high > high[1] and high[1] > high[2]
adxLowerHigh = adx < adx[1] and adx[1] > adx[2]
adxBearishDiv = priceHigherHighADX and adxLowerHigh

priceLowerLowADX = low < low[1] and low[1] < low[2]
adxHigherLow = adx > adx[1] and adx[1] < adx[2]
adxBullishDiv = priceLowerLowADX and adxHigherLow

// === CONDITIONS ===
trendUp = emaFast > emaSlow
trendDn = emaFast < emaSlow

longCond = trendUp and rsi > 50 and obvTrend and adx > adxThreshold and bullishEngulf and aiSignalLong and inSession and not sideway and highVol and (pinBar or doji or longDiv or adxBullishDiv)
shortCond = trendDn and rsi < 50 and not obvTrend and adx > adxThreshold and bearishEngulf and aiSignalShort and inSession and not sideway and highVol and (pinBar or doji or shortDiv or adxBearishDiv)

// === ENTRY + SL/TP + TRAILING ===
longSL = close - at
longTP = close + at * rrRatio
shortSL = close + at
shortTP = close - at * rrRatio

plotshape(longCond, location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small, title="Buy Signal")
plotshape(shortCond, location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small, title="Sell Signal")

if (longCond)
    strategy.entry("Long", strategy.long)
    strategy.exit("Long TP/SL", from_entry="Long", stop=longSL, limit=longTP, trail_points=at * trailOffset, trail_offset=at * trailOffset)
    label.new(bar_index, high, "Buy", style=label.style_label_up, color=color.green, textcolor=color.white, size=size.normal)
    alert("Long Signal!", alert.freq_once_per_bar)

if (shortCond)
    strategy.entry("Short", strategy.short)
    strategy.exit("Short TP/SL", from_entry="Short", stop=shortSL, limit=shortTP, trail_points=at * trailOffset, trail_offset=at * trailOffset)
    label.new(bar_index, low, "Sell", style=label.style_label_down, color=color.red, textcolor=color.white, size=size.normal)
    alert("Short Signal!", alert.freq_once_per_bar)

// === PLOTS ===
plot(emaFast, color=color.orange, title="EMA Fast")
plot(emaSlow, color=color.blue, title="EMA Slow")
bgcolor(sideway ? color.new(color.gray, 90) : na)

// === COLORING BARS ===
barcolor(longCond ? color.new(color.green, 0) : shortCond ? color.new(color.red, 0) : na)