適応型ボラティリティマルチインジケータートレンドフォロー取引システム

/*backtest
start: 2024-04-11 00:00:00
end: 2025-04-10 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy('Dskyz Adaptive Futures Elite (DAFE) - Updated', 
         overlay=true, 
         default_qty_type=strategy.fixed, 
         initial_capital=1000000, 
         commission_value=0, 
         slippage=1, 
         pyramiding=10)

// === INPUTS ===

// Moving Average Settings
fastLength       = input.int(9, '[MA] Fast MA Length', minval=1)
slowLength       = input.int(19, '[MA] Slow MA Length', minval=1)

// RSI Settings
useRSI           = input.bool(false, '[RSI Settings] Use RSI Filter')
rsiLength        = input.int(14, 'RSI Length', minval=1)
rsiOverbought    = input.int(60, 'RSI Overbought', minval=50, maxval=100)
rsiOversold      = input.int(40, 'RSI Oversold', minval=0, maxval=50)
rsiLookback      = input.int(1, 'RSI Lookback', minval=1)

// Pattern Settings
usePatterns      = input.bool(true, '[Pattern Settings] Use Candlestick Patterns')
patternLookback  = input.int(19, 'Pattern Lookback Bars', minval=1)

// Filter Settings
useTrendFilter   = input.bool(true, '[Filter Settings] Use 15m Trend Filter')
minVolume        = input.int(10, 'Minimum Volume', minval=1)
volatilityThreshold = input.float(1.0, 'Volatility Threshold (%)', minval=0.1, step=0.1) / 100
tradingStartHour = input.int(9, 'Trading Start Hour (24h)', minval=0, maxval=23)
tradingEndHour   = input.int(16, 'Trading End Hour (24h)', minval=0, maxval=23)

// DCA Settings
useDCA           = input.bool(false, '[DCA Settings] Use DCA')
maxTotalEntries  = input.int(4, 'Max Total Entries per Direction', minval=1)
dcaMultiplier    = input.float(1.0, 'DCA ATR Multiplier', minval=0.1, step=0.1)

// Signal Settings
signalPriority   = input.string('MA', '[Signal Settings] Signal Priority', options=['Pattern', 'MA'])
minBarsBetweenSignals = input.int(5, 'Min Bars Between Signals', minval=1)
plotMode         = input.string('Potential Signals', 'Plot Mode', options=['Potential Signals', 'Actual Entries'])

// Exit Settings
trailOffset      = input.float(0.5, '[Exit Settings] Trailing Stop Offset ATR Multiplier', minval=0.01, step=0.01)
trailPointsMult  = input.float(0.5, 'Trailing Stop Points ATR Multiplier', minval=0.01, step=0.01)
profitTargetATRMult = input.float(1.2, 'Profit Target ATR Multiplier', minval=0.1, step=0.1)  // Profit target factor
fixedStopMultiplier  = input.float(1.3, 'Fixed Stop Multiplier', minval=0.5, step=0.1)    // Fixed stop multiplier

// General Settings
debugLogging     = input.bool(true, '[General Settings] Enable Debug Logging')
fixedQuantity    = input.int(2, 'Trade Quantity', minval=1)
cooldownMinutes  = input.int(0, 'Cooldown Minutes', minval=0)

// ATR Settings – Use Dynamic ATR or fixed value
useDynamicATR    = input.bool(true, title="Use Dynamic ATR")
userATRPeriod    = input.int(7, title="ATR Period (if not using dynamic)", minval=1)
defaultATR       = timeframe.isminutes and timeframe.multiplier <= 2 ? 5 :
                   timeframe.isminutes and timeframe.multiplier <= 5 ? 7 : 10
atrPeriod        = useDynamicATR ? defaultATR : userATRPeriod

// === TRADE TRACKING VARIABLES ===
var int lastSignalBar   = 0
var int lastSignalType  = 0         // 1 for long, -1 for short
var int entryBarIndex   = 0
var bool inLongTrade    = false
var bool inShortTrade   = false

// DCA Tracking Variables
var int longEntryCount  = 0
var int shortEntryCount = 0
var float longInitialEntryPrice = na
var float shortInitialEntryPrice = na
var float longEntryATR  = na
var float shortEntryATR = na
var float long_stop_price = na
var float short_stop_price = na

// Signal Plotting Variables
var int lastLongPlotBar = 0
var int lastShortPlotBar = 0

// === CALCULATIONS ===

// Volume and Time Filters
volumeOk    = volume >= minVolume
currentHour = hour(time)
timeWindow  = currentHour >= tradingStartHour and currentHour <= tradingEndHour

// Additional Entry Filter: Volume Spike Condition
volumeSpike = volume > 1.2 * ta.sma(volume, 10)

// ATR & Volatility Calculations
atr         = ta.atr(atrPeriod)
volatility  = nz(atr / close, 0)
volatilityOk= volatility <= volatilityThreshold

// Adaptive MA Lengths
fastLengthAdaptive = math.round(fastLength / (1 + volatility))
slowLengthAdaptive = math.round(slowLength / (1 + volatility))
fastLengthSafe     = math.max(1, not na(atr) ? fastLengthAdaptive : fastLength)
slowLengthSafe     = math.max(1, not na(atr) ? slowLengthAdaptive : slowLength)
fastMA             = ta.sma(close, fastLengthSafe)
slowMA             = ta.sma(close, slowLengthSafe)

// RSI Calculation
rsi               = ta.rsi(close, rsiLength)
rsiCrossover      = ta.crossover(rsi, rsiOversold)
rsiCrossunder     = ta.crossunder(rsi, rsiOverbought)
rsiLongOk         = not useRSI or (rsiCrossover and rsi[rsiLookback] < 70)
rsiShortOk        = not useRSI or (rsiCrossunder and rsi[rsiLookback] > 30)

// 15m Trend Filter
[fastMA15m, slowMA15m] = request.security(syminfo.tickerid, '15', [ta.sma(close, fastLength), ta.sma(close, slowLength)])
trend15m = fastMA15m > slowMA15m ? 1 : fastMA15m < slowMA15m ? -1 : 0

// Candlestick Patterns
isBullishEngulfing() =>
    close[1] < open[1] and close > open and open < close[1] and close > open[1] and (close - open) > (open[1] - close[1]) * 0.8

isBearishEngulfing() =>
    close[1] > open[1] and close < open and open > close[1] and close < open[1] and (open - close) > (close[1] - open[1]) * 0.8

// Pattern Strength Calculation
patternStrength(isBull) =>
    bull = isBull ? 1 : 0
    bear = isBull ? 0 : 1
    volumeStrength = volume > ta.sma(volume, 10) ? 1 : 0
    rangeStrength  = (high - low) > ta.sma(high - low, 10) ? 1 : 0
    strength = bull * (volumeStrength + rangeStrength) - bear * (volumeStrength + rangeStrength)
    strength

bullStrength = patternStrength(true)
bearStrength = patternStrength(false)

// Detect Patterns
bullishEngulfingOccurred = ta.barssince(isBullishEngulfing()) <= patternLookback and bullStrength >= 1
bearishEngulfingOccurred = ta.barssince(isBearishEngulfing()) <= patternLookback and bearStrength <= -1
patternConflict          = bullishEngulfingOccurred and bearishEngulfingOccurred

// MA Conditions with Trend & RSI Filters
maAbove      = close > fastMA and fastMA > slowMA and close > close[1]
maBelow      = close < fastMA and fastMA < slowMA and close < close[1]
trendLongOk  = not useTrendFilter or trend15m >= 0
trendShortOk = not useTrendFilter or trend15m <= 0

// Signal Priority Logic
bullPattern  = usePatterns and bullishEngulfingOccurred
bearPattern  = usePatterns and bearishEngulfingOccurred
bullMA       = maAbove and trendLongOk and rsiLongOk
bearMA       = maBelow and trendShortOk and rsiShortOk

longCondition  = false
shortCondition = false

if signalPriority == 'Pattern'
    longCondition  := bullPattern or (not bearPattern and bullMA)
    shortCondition := bearPattern or (not bullPattern and bearMA)
else
    longCondition  := bullMA or (not bearMA and bullPattern)
    shortCondition := bearMA or (not bullMA and bearPattern)

// Apply Filters and require volume spike for quality entries
longCondition  := longCondition and volumeOk and volumeSpike and timeWindow and volatilityOk and not patternConflict
shortCondition := shortCondition and volumeOk and volumeSpike and timeWindow and volatilityOk and not patternConflict

// Update Trade Status
if strategy.position_size > 0
    inLongTrade := true
    inShortTrade := false
else if strategy.position_size < 0
    inShortTrade := true
    inLongTrade := false
else
    inLongTrade := false
    inShortTrade := false

// Entry Checks
canTrade      = strategy.position_size == 0
validQuantity = fixedQuantity > 0
quantity      = fixedQuantity

// Prevent Multiple Alerts Per Bar
var bool alertSent = false
if barstate.isnew
    alertSent := false

// Cooldown Logic
var float lastExitTime = na
if strategy.position_size == 0 and strategy.position_size[1] != 0
    lastExitTime := time
canEnter = na(lastExitTime) or ((time - lastExitTime) / 60000 >= cooldownMinutes)

// === ENTRY LOGIC ===
if canTrade and validQuantity and not alertSent and canEnter and barstate.isconfirmed
    if longCondition and not shortCondition and (lastSignalBar != bar_index or lastSignalType != 1)
        strategy.entry('Long', strategy.long, qty=quantity)
        longInitialEntryPrice := close
        longEntryATR         := atr
        longEntryCount       := 1
        alert('Enter Long', alert.freq_once_per_bar)
        alertSent            := true
        lastSignalBar        := bar_index
        lastSignalType       := 1
        entryBarIndex        := bar_index

    else if shortCondition and not longCondition and (lastSignalBar != bar_index or lastSignalType != -1)
        strategy.entry('Short', strategy.short, qty=quantity)
        shortInitialEntryPrice := close
        shortEntryATR          := atr
        shortEntryCount        := 1
        alert('Enter Short', alert.freq_once_per_bar)
        alertSent             := true
        lastSignalBar         := bar_index
        lastSignalType        := -1
        entryBarIndex         := bar_index


// === DCA LOGIC (IF ENABLED) ===
if useDCA
    if strategy.position_size > 0 and longEntryCount < maxTotalEntries and bullMA and rsi < 70
        nextDCALevel = longInitialEntryPrice - longEntryCount * longEntryATR * dcaMultiplier
        if close <= nextDCALevel
            strategy.entry('Long DCA ' + str.tostring(longEntryCount), strategy.long, qty=quantity)
            longEntryCount := longEntryCount + 1
    if strategy.position_size < 0 and shortEntryCount < maxTotalEntries and bearMA and rsi > 30
        nextDCALevel = shortInitialEntryPrice + shortEntryATR * shortEntryCount * dcaMultiplier
        if close >= nextDCALevel
            strategy.entry('Short DCA ' + str.tostring(shortEntryCount), strategy.short, qty=quantity)
            shortEntryCount := shortEntryCount + 1

// === RESET DCA VARIABLES ON EXIT ===
if strategy.position_size == 0 and strategy.position_size[1] != 0
    longEntryCount := 0
    shortEntryCount := 0
    longInitialEntryPrice := na
    shortInitialEntryPrice := na
    longEntryATR := na
    shortEntryATR := na

// === FIXED STOP-LOSS CALCULATION (WIDER INITIAL STOP) ===
long_stop_price  := strategy.position_avg_price - atr * fixedStopMultiplier
short_stop_price := strategy.position_avg_price + atr * fixedStopMultiplier

// === ADJUST TRAILING POINTS BASED ON PROFIT ===
profitLong  = strategy.position_size > 0 ? close - strategy.position_avg_price : 0
profitShort = strategy.position_size < 0 ? strategy.position_avg_price - close : 0
trailPointsMultAdjusted       = profitLong > atr ? 0.3 : profitLong > atr * 0.66 ? 0.4 : trailPointsMult      // For long positions
trailPointsMultAdjustedShort  = profitShort > atr ? 0.3 : profitShort > atr * 0.66 ? 0.4 : trailPointsMult   // For short positions
trailPointsLong  = atr * trailPointsMultAdjusted
trailPointsShort = atr * trailPointsMultAdjustedShort

// === EXIT LOGIC ===
// On the entry bar, always use the fixed stop; thereafter, use a combination of fixed stop, trailing stop, and a profit target.
// Profit Target: For longs, exit at avg_entry + atr * profitTargetATRMult; for shorts, exit at avg_entry - atr * profitTargetATRMult.
if strategy.position_size > 0
    if bar_index == entryBarIndex
        if debugLogging
            log.info("Long exit on entry bar: fixed stop applied. Price=" + str.tostring(close))
        strategy.exit('Long Exit', 'Long', stop=long_stop_price)
    else
        if debugLogging
            log.info("Long Trade: profit=" + str.tostring(profitLong) + ", ATR=" + str.tostring(atr))
        strategy.exit('Long Exit', 'Long', 
             stop=long_stop_price, 
             limit = strategy.position_avg_price + atr * profitTargetATRMult,
             trail_points=trailPointsLong, 
             trail_offset=atr * trailOffset)
            
if strategy.position_size < 0
    if bar_index == entryBarIndex
        if debugLogging
            log.info("Short exit on entry bar: fixed stop applied. Price=" + str.tostring(close))
        strategy.exit('Short Exit', 'Short', stop=short_stop_price)
    else
        if debugLogging
            log.info("Short Trade: profit=" + str.tostring(profitShort) + ", ATR=" + str.tostring(atr))
        strategy.exit('Short Exit', 'Short', 
             stop=short_stop_price, 
             limit = strategy.position_avg_price - atr * profitTargetATRMult,
             trail_points=trailPointsShort, 
             trail_offset=atr * trailOffset)

// === FORCE CLOSE ON LAST BAR (OPTIONAL) ===
if barstate.islast
    if strategy.position_size > 0
        strategy.close('Long', comment='Forced Exit')
    if strategy.position_size < 0
        strategy.close('Short', comment='Forced Exit')

// === SIGNAL PLOTTING LOGIC ===
plotLongSignal  = longCondition and canTrade and (bar_index - lastLongPlotBar >= minBarsBetweenSignals or lastLongPlotBar == 0)
plotShortSignal = shortCondition and canTrade and (bar_index - lastShortPlotBar >= minBarsBetweenSignals or lastShortPlotBar == 0)

if plotLongSignal
    lastLongPlotBar := bar_index
if plotShortSignal
    lastShortPlotBar := bar_index

// Define plotting conditions based on plotMode
plotLongShape  = plotMode == 'Potential Signals' ? plotLongSignal : strategy.position_size > 0 and strategy.position_size[1] <= 0
plotShortShape = plotMode == 'Potential Signals' ? plotShortSignal : strategy.position_size < 0 and strategy.position_size[1] >= 0

// === VISUALIZATION ===
plot(fastMA, color=color.blue, linewidth=2, title='Fast MA')
plot(slowMA, color=color.red, linewidth=2, title='Slow MA')

var float longSL  = na
var float shortSL = na
if strategy.position_size > 0
    longSL := math.max(longSL, high - trailPointsLong)
else
    longSL := na
plot(longSL, color=color.green, style=plot.style_stepline, title='Long SL')

if strategy.position_size < 0
    shortSL := math.min(shortSL, low + trailPointsShort)
else
    shortSL := na
plot(shortSL, color=color.red, style=plot.style_stepline, title='Short SL')

bgcolor(timeWindow ? color.new(color.blue, 95) : na, title="Trading Hours Highlight")
if plotLongShape
    label.new(bar_index, low, "Buy", yloc=yloc.belowbar, color=color.green, textcolor=color.white, style=label.style_label_up)
if plotShortShape
    label.new(bar_index, high, "Sell", yloc=yloc.abovebar, color=color.red, textcolor=color.white, style=label.style_label_down)

// === DEBUG TABLE ===
var table debugTable = table.new(position.top_right, 3, 10, bgcolor=color.rgb(0, 0, 0, 80), border_color=color.white, border_width=1)
if barstate.islast
    table.cell(debugTable, 0, 0, 'Signal', text_color=color.rgb(168, 168, 168), bgcolor=color.rgb(50, 50, 50))
    table.cell(debugTable, 1, 0, 'Status', text_color=color.rgb(168, 168, 168), bgcolor=color.rgb(50, 50, 50))
    table.cell(debugTable, 2, 0, 'Priority', text_color=color.rgb(168, 168, 168), bgcolor=color.rgb(50, 50, 50))

    table.cell(debugTable, 0, 1, 'MA Long', text_color=color.blue)
    table.cell(debugTable, 1, 1, bullMA ? 'Yes' : 'No', text_color=bullMA ? color.green : color.red)
    table.cell(debugTable, 2, 1, signalPriority == 'MA' ? 'High' : 'Low', text_color=color.white)

    table.cell(debugTable, 0, 2, 'MA Short', text_color=color.blue)
    table.cell(debugTable, 1, 2, bearMA ? 'Yes' : 'No', text_color=bearMA ? color.green : color.red)
    table.cell(debugTable, 2, 2, signalPriority == 'MA' ? 'High' : 'Low', text_color=color.white)

    table.cell(debugTable, 0, 3, 'Bull Pattern', text_color=color.blue)
    table.cell(debugTable, 1, 3, bullPattern ? 'Yes' : 'No', text_color=bullPattern ? color.green : color.red)
    table.cell(debugTable, 2, 3, signalPriority == 'Pattern' ? 'High' : 'Low', text_color=color.white)

    table.cell(debugTable, 0, 4, 'Bear Pattern', text_color=color.blue)
    table.cell(debugTable, 1, 4, bearPattern ? 'Yes' : 'No', text_color=bearPattern ? color.green : color.red)
    table.cell(debugTable, 2, 4, signalPriority == 'Pattern' ? 'High' : 'Low', text_color=color.white)

    table.cell(debugTable, 0, 5, 'Filters', text_color=color.rgb(168, 168, 168), bgcolor=color.rgb(50, 50, 50))
    table.cell(debugTable, 1, 5, 'Status', text_color=color.rgb(168, 168, 168), bgcolor=color.rgb(50, 50, 50))
    table.cell(debugTable, 2, 5, '', text_color=color.white, bgcolor=color.rgb(50, 50, 50))

    table.cell(debugTable, 0, 6, 'Time Window', text_color=color.blue)
    table.cell(debugTable, 1, 6, timeWindow ? 'OK' : 'Closed', text_color=timeWindow ? color.green : color.red)
    table.cell(debugTable, 2, 6, str.tostring(currentHour) + 'h', text_color=color.white)

    table.cell(debugTable, 0, 7, 'Volume', text_color=color.blue)
    table.cell(debugTable, 1, 7, volumeOk ? 'OK' : 'Low', text_color=volumeOk ? color.green : color.red)
    table.cell(debugTable, 2, 7, str.tostring(volume, '#'), text_color=color.white)

    table.cell(debugTable, 0, 8, 'Volatility', text_color=color.blue)
    table.cell(debugTable, 1, 8, volatilityOk ? 'OK' : 'High', text_color=volatilityOk ? color.green : color.red)
    table.cell(debugTable, 2, 8, str.tostring(volatility * 100, '#.##') + '%', text_color=color.white)

    table.cell(debugTable, 0, 9, 'Signals', text_color=color.blue)
    table.cell(debugTable, 1, 9, longCondition and not shortCondition ? 'LONG' : shortCondition and not longCondition ? 'SHORT' : longCondition and shortCondition ? 'CONFLICT' : 'NONE', text_color=longCondition and not shortCondition ? color.green : shortCondition and not longCondition ? color.red : color.yellow)
    table.cell(debugTable, 2, 9, canEnter ? alertSent ? 'Sent' : 'Ready' : 'Cooldown', text_color=canEnter ? alertSent ? color.yellow : color.green : color.gray)

// === PERFORMANCE DASHBOARD ===
var table dashboard = table.new(position.bottom_left, 3, 3, bgcolor=color.rgb(0, 0, 0, 80), border_color=color.white, border_width=1)
if barstate.islast
    table.cell(dashboard, 0, 0, 'Position', text_color=color.rgb(168, 168, 168), bgcolor=color.rgb(50, 50, 50))
    table.cell(dashboard, 1, 0, 'P/L', text_color=color.rgb(168, 168, 168), bgcolor=color.rgb(50, 50, 50))
    table.cell(dashboard, 2, 0, 'Statistics', text_color=color.rgb(168, 168, 168), bgcolor=color.rgb(50, 50, 50))

    table.cell(dashboard, 0, 1, strategy.position_size > 0 ? 'Long' : strategy.position_size < 0 ? 'Short' : 'Flat', text_color=strategy.position_size > 0 ? color.green : strategy.position_size < 0 ? color.red : color.blue)
    table.cell(dashboard, 1, 1, str.tostring(strategy.netprofit, '#.##'), text_color=strategy.netprofit >= 0 ? color.green : color.red)
    table.cell(dashboard, 2, 1, 'Win Rate', text_color=color.white)

    table.cell(dashboard, 0, 2, strategy.position_size != 0 ? 'Bars: ' + str.tostring(bar_index - entryBarIndex) : '', text_color=color.white)
    table.cell(dashboard, 1, 2, strategy.position_size != 0 ? 'Cooldown: ' + str.tostring(cooldownMinutes) + 'm' : '', text_color=color.white)
    table.cell(dashboard, 2, 2, strategy.closedtrades > 0 ? str.tostring(strategy.wintrades / strategy.closedtrades * 100, '#.##') + '%' : 'N/A', text_color=color.white)

// === CHART TITLE ===
var table titleTable = table.new(position.bottom_right, 1, 1, bgcolor=color.rgb(0, 0, 0, 80), border_color=color.rgb(0, 50, 137), border_width=1)
table.cell(titleTable, 0, 0, "Dskyz - DAFE Trading Systems", text_color=color.rgb(159, 127, 255, 80), text_size=size.large)