ハイケン・アッシュトレンドフォロー戦略：マルチレベルストップロスメカニズムを備えたマルチタイム期間トレンド識別システム

/*backtest
start: 2025-01-01 00:00:00
end: 2025-04-12 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Heiken Ashi Supertrend ADX - Strategy", overlay=true, initial_capital=1000, commission_type=strategy.commission.percent, commission_value=0, calc_on_every_tick=true, process_orders_on_close=false, default_qty_type=strategy.percent_of_equity, default_qty_value=3)


// Supertrend Settings
useSupertrend = input.bool(true, "Use Supertrend for Entries", group="Supertrend Settings")
atrPeriod = input.int(10, "ATR Period", minval=1, group="Supertrend Settings")
factor = input.float(3.0, "Supertrend Factor", minval=0.5, step=0.1, group="Supertrend Settings")

// ADX Filter Settings
useAdxFilter = input.bool(false, "Use ADX Filter", group="ADX Filter")
adxPeriod = input.int(14, "ADX Period", minval=1, group="ADX Filter")
adxThreshold = input.float(25, "ADX Threshold", minval=0, group="ADX Filter")

// Stop Loss Options
useSwingStop = input.bool(false, "Use Swing Point Stop", group="Stop Loss Options")
swingLookback = input.int(3, "Swing Lookback Periods", minval=1, maxval=20, group="Stop Loss Options")

useSafetyNetStop = input.bool(true, "Use Insurance Stop", group="Stop Loss Options")
safetyNetPercent = input.float(5.0, "Insurance Stop Loss Percent", minval=0.1, step=0.1, group="Stop Loss Options")

// Trailing Stop Loss Settings
useTrailingStop = input.bool(true, "Use ATR Trailing Stop", group="Stop Loss Options")
trailAtrMultiplier = input.float(2.0, "Trailing Stop ATR Multiplier", minval=0.1, step=0.1, group="Stop Loss Options")

// Get HA data for signals
ha_security = ticker.heikinashi(syminfo.tickerid)
[o, h, l, c] = request.security(ha_security, timeframe.period, [open, high, low, close])

// Get real price data
real_open = open
real_high = high
real_low = low
real_close = close

// Calculate Supertrend using built-in function with real price data
[supertrend, direction] = ta.supertrend(factor, atrPeriod)
supertrend := barstate.isfirst ? na : supertrend

// Determine if we're in an uptrend or downtrend based on Supertrend
isUptrend = direction < 0   // In TradingView, negative direction means uptrend
isDowntrend = direction > 0 // In TradingView, positive direction means downtrend

// Calculate ATR for visualization
atrValue = ta.atr(atrPeriod)

// Calculate ADX and Trade Logic
[diplus, diminus, adx] = ta.dmi(adxPeriod, adxPeriod)
int trade = 0
if trade == 0 and diplus > diminus
    trade := 1
else if trade == 0 and diminus > diplus
    trade := -1
else if trade == 1 and diminus > diplus
    trade := -1
else if trade == -1 and diplus > diminus
    trade := 1
else
    trade := trade[1]

// Combine with ADX Threshold
isAdxBullish = diplus > diminus and adx > adxThreshold
isAdxBearish = diminus > diplus and adx > adxThreshold

// Debug ADX Values (only if needed for development)
// plot(adx, "ADX", color=color.orange, linewidth=1)
// plot(diplus, "DI+", color=color.green, linewidth=1)
// plot(diminus, "DI-", color=color.red, linewidth=1)
// hline(adxThreshold, "ADX Threshold", color=color.gray, linestyle=hline.style_dashed)

// Check for wicks on the current candle
threshold = syminfo.mintick * 0.1
noBottomWick = math.abs(math.min(o, c) - l) <= threshold
noTopWick = math.abs(h - math.max(o, c)) <= threshold

// Identify candle color and signal conditions
isGreenCandle = c > o
isRedCandle = c < o

// KEY INTEGRATION: Color the real bars based on HA trend
bullishColor = color.green   // Green for long/bullish
bearishColor = color.purple  // Purple for short/bearish
barcolor(isGreenCandle ? bullishColor : bearishColor)

// Signal conditions for both entry and exit
longCondition = (isGreenCandle and noBottomWick and barstate.isconfirmed) and (not useSupertrend or isUptrend) and (not useAdxFilter or isAdxBullish)

shortCondition = (isRedCandle and noTopWick and barstate.isconfirmed) and (not useSupertrend or isDowntrend) and (not useAdxFilter or isAdxBearish)

exitLongCondition = isRedCandle and noTopWick and barstate.isconfirmed
exitShortCondition = isGreenCandle and noBottomWick and barstate.isconfirmed

// Calculate swing points based on real candles (not HA)
swingLow = ta.lowest(real_low, swingLookback)
swingHigh = ta.highest(real_high, swingLookback)

// Position tracking
var int position = 0  // 0 = no position, 1 = long, -1 = short
var float entryPrice = na
var float trailStopLevel = na  // For ATR trailing stop
var float swingStopLevel = na  // For swing point stop
var float safetyNetStopLevel = na  // For safety net stop
var float highestSinceEntry = na  // For tracking highest price since entry (for long positions)
var float lowestSinceEntry = na   // For tracking lowest price since entry (for short positions)

// Alert variables
var bool longAlert = false
var bool shortAlert = false
var bool exitLongAlert = false
var bool exitShortAlert = false

// Reset alerts each bar
longAlert := false
shortAlert := false
exitLongAlert := false
exitShortAlert := false

// Handle entries and exits
if longCondition and (position <= 0)
    if position < 0
        exitShortAlert := true
        strategy.close("Short", comment="Exit Short")
        position := 0
    longAlert := true
    strategy.entry("Long", strategy.long, comment="Enter Long")
    position := 1
    entryPrice := real_close
    highestSinceEntry := real_close
    lowestSinceEntry := na
    // Initialize trailing stops
    if useTrailingStop
        trailStopLevel := real_close - (atrValue * trailAtrMultiplier)
    // Initialize swing point stop
    if useSwingStop
        swingStopLevel := swingLow
    // Initialize safety net stop
    if useSafetyNetStop
        safetyNetStopLevel := real_close * (1 - safetyNetPercent / 100)
        
if shortCondition and (position >= 0)
    if position > 0
        exitLongAlert := true
        strategy.close("Long", comment="Exit Long")
        position := 0
    shortAlert := true
    strategy.entry("Short", strategy.short, comment="Enter Short")
    position := -1
    entryPrice := real_close
    highestSinceEntry := na
    lowestSinceEntry := real_close
    // Initialize trailing stops
    if useTrailingStop
        trailStopLevel := real_close + (atrValue * trailAtrMultiplier)
    // Initialize swing point stop
    if useSwingStop
        swingStopLevel := swingHigh
    // Initialize safety net stop
    if useSafetyNetStop
        safetyNetStopLevel := real_close * (1 + safetyNetPercent / 100)

if position > 0 and exitLongCondition
    exitLongAlert := true
    strategy.close("Long", comment="Exit Long Signal")
    position := 0
    trailStopLevel := na
    swingStopLevel := na
    safetyNetStopLevel := na
    highestSinceEntry := na

if position < 0 and exitShortCondition
    exitShortAlert := true
    strategy.close("Short", comment="Exit Short Signal")
    position := 0
    trailStopLevel := na
    swingStopLevel := na
    safetyNetStopLevel := na
    lowestSinceEntry := na

// Check for swing point stop hit
if useSwingStop and position != 0 and not na(swingStopLevel)
    // For long positions, check if price drops below the swing low
    if position > 0 and real_low <= swingStopLevel
        strategy.close("Long", comment="Swing Point Stop Hit")
        position := 0
        trailStopLevel := na
        swingStopLevel := na
        safetyNetStopLevel := na
        highestSinceEntry := na
        
    // For short positions, check if price rises above the swing high
    else if position < 0 and real_high >= swingStopLevel
        strategy.close("Short", comment="Swing Point Stop Hit")
        position := 0
        trailStopLevel := na
        swingStopLevel := na
        safetyNetStopLevel := na
        lowestSinceEntry := na

// Check for safety net stop loss hit
if useSafetyNetStop and position != 0 and not na(safetyNetStopLevel)
    // For long positions, check if price drops below the safety net level
    if position > 0 and real_low <= safetyNetStopLevel
        strategy.close("Long", comment="Safety Net Stop Hit")
        position := 0
        trailStopLevel := na
        swingStopLevel := na
        safetyNetStopLevel := na
        highestSinceEntry := na
        
    // For short positions, check if price rises above the safety net level
    else if position < 0 and real_high >= safetyNetStopLevel
        strategy.close("Short", comment="Safety Net Stop Hit")
        position := 0
        trailStopLevel := na
        swingStopLevel := na
        safetyNetStopLevel := na
        lowestSinceEntry := na

// Track highest/lowest prices for trailing stop calculation
if position > 0 and not na(highestSinceEntry)
    highestSinceEntry := math.max(highestSinceEntry, real_high)
    
if position < 0 and not na(lowestSinceEntry)
    lowestSinceEntry := math.min(lowestSinceEntry, real_low)

// Update and check trailing stop (ATR-based)
if useTrailingStop and position != 0 and not na(trailStopLevel)
    // Update trailing stop level for long positions
    if position > 0
        // Calculate new potential trailing stop level
        trailStopNew = real_close - (atrValue * trailAtrMultiplier)
        // Only move the stop up, never down
        if trailStopNew > trailStopLevel
            trailStopLevel := trailStopNew
        // Check if price hit stop
        if real_low <= trailStopLevel
            strategy.close("Long", comment="ATR Trailing Stop Hit")
            position := 0
            trailStopLevel := na
            swingStopLevel := na
            safetyNetStopLevel := na
            highestSinceEntry := na
            
    // Update trailing stop level for short positions
    else if position < 0
        // Calculate new potential trailing stop level
        trailStopNew = real_close + (atrValue * trailAtrMultiplier)
        // Only move the stop down, never up
        if trailStopNew < trailStopLevel
            trailStopLevel := trailStopNew
        // Check if price hit stop
        if real_high >= trailStopLevel
            strategy.close("Short", comment="ATR Trailing Stop Hit")
            position := 0
            trailStopLevel := na
            swingStopLevel := na
            safetyNetStopLevel := na
            lowestSinceEntry := na

// Plot stop loss levels
plot(useTrailingStop and position != 0 ? trailStopLevel : na, "ATR Trailing Stop", color=color.yellow, style=plot.style_linebr, linewidth=1)
plot(useSwingStop and position != 0 ? swingStopLevel : na, "Swing Point Stop", color=color.red, style=plot.style_circles, linewidth=2)
plot(useSafetyNetStop and position != 0 ? safetyNetStopLevel : na, "Insurance Stop", color=color.yellow, style=plot.style_circles, linewidth=1)

// Visual signals for chart (just entry/exit markers, no ADX labels)
plotshape(longAlert, title="Long Entry", location=location.abovebar, color=bullishColor, style=shape.triangleup, size=size.small)
plotshape(shortAlert, title="Short Entry", location=location.belowbar, color=bearishColor, style=shape.triangledown, size=size.small)
plotshape(exitLongAlert, title="Long Exit Signal", location=location.abovebar, color=bullishColor, style=shape.xcross, size=size.small)
plotshape(exitShortAlert, title="Short Exit Signal", location=location.belowbar, color=bearishColor, style=shape.xcross, size=size.small)

// Supertrend visualization
bodyMiddlePlot = plot((real_open + real_close) / 2, "Body Middle", display=display.none)
upTrend = plot(useSupertrend and isUptrend ? supertrend : na, "Up Trend", color=bullishColor, style=plot.style_linebr, linewidth=1)
downTrend = plot(useSupertrend and isDowntrend ? supertrend : na, "Down Trend", color=bearishColor, style=plot.style_linebr, linewidth=1)
fill(upTrend, bodyMiddlePlot, color=useSupertrend ? color.new(bullishColor, 85) : na, title="Uptrend Background")
fill(downTrend, bodyMiddlePlot, color=useSupertrend ? color.new(bearishColor, 85) : na, title="Downtrend Background")

// Position background
bgcolor(position == 1 ? color.new(bullishColor, 85) : position == -1 ? color.new(bearishColor, 85) : na, title="Position Background")

// Position label
var label positionLabel = na
label.delete(positionLabel)
if barstate.islast
    positionText = position == 1 ? "LONG" : position == -1 ? "SHORT" : "FLAT"
    entryInfo = not na(entryPrice) ? "\nEntry: " + str.tostring(entryPrice, "#.00000") : ""
    atrStopInfo = useTrailingStop and not na(trailStopLevel) ? "\nATR Stop: " + str.tostring(trailStopLevel, "#.00000") + " (" + str.tostring(trailAtrMultiplier, "#.0") + "x ATR)" : ""
    swingStopInfo = useSwingStop and not na(swingStopLevel) ? "\nSwing Stop: " + str.tostring(swingStopLevel, "#.00000") + " (" + str.tostring(swingLookback) + " bars)" : ""
    safetyNetInfo = useSafetyNetStop and not na(safetyNetStopLevel) ? "\nInsurance Stop: " + str.tostring(safetyNetStopLevel, "#.00000") + " (" + str.tostring(safetyNetPercent, "#.0") + "%)" : ""
    supertrendInfo = useSupertrend ? "\nSupertrend: " + (isUptrend ? "UPTREND" : "DOWNTREND") : ""
    positionColor = position == 1 ? bullishColor : position == -1 ? bearishColor : color.gray
    positionLabel := label.new(bar_index, high, positionText + entryInfo + atrStopInfo + swingStopInfo + safetyNetInfo + supertrendInfo, color=positionColor, style=label.style_label_down, textcolor=color.white)