5分トレンドブレイクアウトモメンタム取引戦略：指数移動平均と相対力指数に基づく多次元テクニカル分析手法

/*backtest
start: 2025-04-06 00:00:00
end: 2025-04-13 00:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("5-Min Call/Put Entry Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// ————— INPUTS —————
emaLen = input.int(50, "EMA Length", inline="EMA")
smaLen = input.int(21, "SMA Length", inline="SMA")
rsiLen = input.int(14, "RSI Length", inline="RSI")
targetRR = input.float(1.5, "Risk-Reward Ratio")

// ————— INDICATORS —————
ema50 = ta.ema(close, emaLen)
smaHigh = ta.sma(high, smaLen)
smaLow = ta.sma(low, smaLen)
vwap = ta.vwap(close)
rsi = ta.rsi(close, rsiLen)

// ————— CONDITIONS —————
callCond = close > smaHigh and close > vwap and close > ema50 and rsi > 60
putCond = close < smaLow and close < vwap and close < ema50 and rsi < 40

callSL = close < smaLow
putSL = close > smaHigh

// ————— STATE TRACKING —————
var inTrade = false
var isCall = false
var float entryPrice = na
var float slPrice = na
var float tpPrice = na

// Entry logic
if not inTrade
    if callCond
        strategy.entry("Call Entry", strategy.long)
        entryPrice := close
        slPrice := smaLow
        tpPrice := entryPrice + (entryPrice - slPrice) * targetRR
        label.new(bar_index, low, "Entry", style=label.style_label_up, color=color.green, textcolor=color.yellow, size=size.small)
        inTrade := true
        isCall := true
    else if putCond
        strategy.entry("Put Entry", strategy.short)
        entryPrice := close
        slPrice := smaHigh
        tpPrice := entryPrice - (slPrice - entryPrice) * targetRR
        label.new(bar_index, high, "Entry", style=label.style_label_down, color=color.red, textcolor=color.white, size=size.small)
        inTrade := true
        isCall := false

// Exit logic (Stop Loss / Take Profit)
if inTrade
    if isCall
        if callSL
            strategy.close("Call Entry")
            label.new(bar_index, low, "SL", style=label.style_label_up, color=color.black, textcolor=color.white, size=size.small)
            inTrade := false
        else if close >= tpPrice
            strategy.close("Call Entry")
            label.new(bar_index, low, "TP", style=label.style_label_up, color=color.teal, textcolor=color.white, size=size.small)
            inTrade := false
    else
        if putSL
            strategy.close("Put Entry")
            label.new(bar_index, high, "SL", style=label.style_label_down, color=color.black, textcolor=color.white, size=size.small)
            inTrade := false
        else if close <= tpPrice
            strategy.close("Put Entry")
            label.new(bar_index, high, "TP", style=label.style_label_down, color=color.teal, textcolor=color.white, size=size.small)
            inTrade := false

// ————— LIVE TRADE STATUS DISPLAY —————
var label tradeLabel = na
if bar_index % 5 == 0  // update label occasionally
    label.delete(tradeLabel)
    if inTrade
        status = isCall ? "CALL ACTIVE" : "PUT ACTIVE"
        tradeLabel := label.new(bar_index, na, status, xloc.bar_index, yloc.price, color=color.gray, textcolor=color.white, size=size.small, style=label.style_label_left)

// ————— ALERT CONDITIONS —————
alertcondition(callCond, title="Call Entry Alert", message="Call Entry Signal")
alertcondition(putCond, title="Put Entry Alert", message="Put Entry Signal")
alertcondition(callSL, title="Call SL Triggered", message="Call Stop Loss Hit")
alertcondition(putSL, title="Put SL Triggered", message="Put Stop Loss Hit")
alertcondition(close >= tpPrice and isCall, title="Call TP Hit", message="Call Take Profit Hit")
alertcondition(close <= tpPrice and not isCall, title="Put TP Hit", message="Put Take Profit Hit")

// ————— CHART ELEMENTS —————
plot(ema50, title="EMA 50", color=color.orange, linewidth=1)
plot(smaHigh, title="SMA High 21", color=color.green, linewidth=1)
plot(smaLow, title="SMA Low 21", color=color.red, linewidth=1)
plot(vwap, title="VWAP", color=color.blue, linewidth=1)