動的移動平均クロスオーバートレンドフォローと反転戦略

/*backtest
start: 2024-04-29 00:00:00
end: 2024-07-27 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
// @ipuneetg 
strategy("PG MA Crossover Buy and Sell Options Special", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === INPUTS ===
maType = input.string("SMA", title="Select MA Type", options=["SMA", "EMA", "VWMA"])
calcBasis = input.string("close", title="Calculation Basis", options=["close", "OHLC/4", "HLC/3", "HLCC/4"])
maLength = input.int(21, title="Moving Average Length")
reversalThresholdPercent = input.float(0.25, title="Reversal Threshold (%)", step=0.01)
percentBelowTop = input.float(1.0, title="Exit % Below Top (%)", step=0.1, minval=0.1)
shortProfitPercent = input.float(0.5, title="Short Profit Protection (%)", minval=0.1, step=0.1)
stopLossPercent = input.float(1.5, title="Stop Loss % Above Entry (for Shorts)", step=0.1, minval=0.1)
allowShorts = input.bool(true, title="Allow Short Trades?")

// === SESSION SETTINGS ===
startHour = input.int(9, title="Trade Start Hour")
startMinute = input.int(30, title="Start Minute")
endHour = input.int(15, title="Trade End Hour")
endMinute = input.int(15, title="End Minute")

tradeSession = str.tostring(startHour, "00") + str.tostring(startMinute, "00") + "-" + str.tostring(endHour, "00") + str.tostring(endMinute, "00")
sessionActive = not na(time(timeframe.period, tradeSession))


// === PRICE BASIS ===
basis = switch calcBasis
    "OHLC/4" => (open + high + low + close) / 4
    "HLC/3" => (high + low + close) / 3
    "HLCC/4" => (high + low + close + close) / 4
    => close

// === MOVING AVERAGE ===
ma = switch maType
    "SMA" => ta.sma(basis, maLength)
    "EMA" => ta.ema(basis, maLength)
    "VWMA" => ta.vwma(basis, maLength)

// === DYNAMIC REVERSAL DETECTION ===
var float lastReversal = na
var bool isRising = true
thresholdValue = ma * reversalThresholdPercent / 100

if na(lastReversal)
    lastReversal := ma

if ma > lastReversal + thresholdValue
    isRising := true
    lastReversal := ma
else if ma < lastReversal - thresholdValue
    isRising := false
    lastReversal := ma

maColor = isRising ? color.green : color.red

// === TRADE VARIABLES ===
var float tradeHigh = na
var float tradeLow = na
var float shortEntryPrice = na
var bool inLong = false
var bool inShort = false

// === LONG & SHORT CONDITIONS ===
longEntry = sessionActive and isRising and close >= ma * (1 + reversalThresholdPercent / 100)
longReEntry = sessionActive and isRising and not inLong and close <= ma * 1.01

shortEntry = sessionActive and not isRising and close <= ma * (1 - reversalThresholdPercent / 100)
shortReEntry = sessionActive and not inShort and close >= ma * 0.998

// === EXIT CONDITIONS ===
exitLongBelowTop = close < tradeHigh * (1 - percentBelowTop / 100)
exitLongBelowMA = close < ma

exitShortAboveTop = close > tradeHigh * (1 + percentBelowTop / 100)
exitShortAboveMA = close > ma

// === EXECUTE TRADES ===

// === LONG SIDE ===
if not inLong and (longEntry or longReEntry)
    strategy.entry("Long", strategy.long)
    tradeHigh := close
    inLong := true

if inLong
    tradeHigh := math.max(tradeHigh, high)
    if exitLongBelowTop or exitLongBelowMA
        strategy.close("Long")
        reason = exitLongBelowTop ? "Exit Long (Below Top)" : "Exit Long (Below MA)"
        inLong := false

// === SHORT SIDE ===
if allowShorts
    if not inShort and (shortEntry or shortReEntry)
        if close >= ma * 0.996 and close <= ma * 1.002
            strategy.entry("Short", strategy.short)
            tradeHigh := close
            tradeLow := close
            shortEntryPrice := close
            inShort := true

    if inShort
        // Update tradeLow dynamically
        tradeLow := na(tradeLow) ? close : math.min(tradeLow, close)

        // Calculate Stop Levels
        hardStopLossPrice = shortEntryPrice * (1 + stopLossPercent / 100)
        hardStopLossTriggered = high >= hardStopLossPrice

        normalExitPrice1 = tradeLow * (1 + shortProfitPercent / 100)
        normalExitTriggered = close > normalExitPrice1 or close > ma

        // Exit Conditions
        if hardStopLossTriggered
            strategy.close("Short", comment="Hard Stop Loss")
            inShort := false
            tradeLow := na
        else
            if normalExitTriggered
                reason = close > normalExitPrice1 ? "Exit Short (Above Profit %)" : "Exit Short (Above MA)"
                strategy.close("Short", comment=reason)
                inShort := false
                tradeLow := na

// === PLOT MA ===
plot(ma, color=maColor, title="Dynamic Moving Average", linewidth=2)

// === TRADE STATUS BOX ===
var label tradeStatusLabel = na
var color statusColor = color.blue
var string statusText = "No Open Trade"

if inLong
    statusColor := color.green
    statusText := "Long Trade Open"
else if inShort
    statusColor := color.red
    statusText := "Short Trade Open"

if not na(tradeStatusLabel)
    label.delete(tradeStatusLabel)