ダイナミックギャップフィリング平均回帰戦略：トレンドフィルターとボリュームフィルター

/*backtest
start: 2025-04-15 00:00:00
end: 2025-05-14 08:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy("Gap Fill Mean Reversion Strategy – NASDAQ 3-Minute", overlay=true, default_qty_type=strategy.fixed, default_qty_value=1)

// === INPUTS ===
gapPct        = input.float(0.5, title="Minimum Gap (%)") / 100
useVolume     = input.bool(true, title="Use Volume Filter")
atrMultTP     = input.float(2.0, title="TP Multiplier (ATR)")
atrMultSL     = input.float(1.0, title="SL Multiplier (ATR)")
trailStartATR = input.float(2.0, title="Trailing Trigger (ATR)")
trailOffsetATR = input.float(1.0, title="Trailing Offset (ATR)")
maxSLusd      = input.float(100, title="Max Stop Loss (USD)")
maxBars       = input.int(50, title="Max Bars in Trade")

// === INDICATORS ===
ema50 = ta.ema(close, 50)
ema200 = ta.ema(close, 200)
trendUp = ema50 > ema200
trendDown = ema50 < ema200

rsi = ta.rsi(close, 14)
rsiShortCond = rsi > 60

// === GAP DETECTION ===
prevClose = request.security(syminfo.tickerid, "D", close[1])
todayOpen = request.security(syminfo.tickerid, "D", open)
gapUp     = todayOpen > prevClose * (1 + gapPct)
gapDown   = todayOpen < prevClose * (1 - gapPct)

// === VOLUME FILTER ===
volumeOK = not useVolume or (volume > ta.sma(volume, 20))

// === 3-CANDLE REVERSAL CONFIRMATION ===
threeDown = close[2] > close[1] and close[1] > close
threeUp   = close[2] < close[1] and close[1] < close

// === ENTRY CONDITIONS ===
longCond  = gapDown and threeUp and volumeOK and trendUp
shortCond = gapUp and threeDown and volumeOK and trendDown and rsiShortCond

// === ATR AND CALCULATIONS ===
atr = ta.atr(14)
entryPrice = strategy.opentrades > 0 ? strategy.opentrades.entry_price(0) : na
inLong = strategy.position_size > 0
inShort = strategy.position_size < 0

// === TRAILING STOP CONDITIONS ===
trailTrigger = atr * trailStartATR
trailOffset = atr * trailOffsetATR

longTrailCond = inLong and close > entryPrice + trailTrigger
shortTrailCond = inShort and close < entryPrice - trailTrigger

// === STOP LOSS DISTANCE (fixed USD limit applied) ===
slDistance = math.min(atr * atrMultSL, maxSLusd / syminfo.pointvalue)

// === ENTRIES ===
if (longCond)
    strategy.entry("Gap Long", strategy.long)

if (shortCond)
    strategy.entry("Gap Short", strategy.short)

// === EXITS ===
// LONG
if (longTrailCond)
    strategy.exit("Trail Long", from_entry="Gap Long", trail_points=trailOffset, trail_offset=trailOffset)
else if (inLong)
    strategy.exit("SL/TP Long", from_entry="Gap Long", stop=entryPrice - slDistance, limit=entryPrice + atr * atrMultTP)

// SHORT
if (shortTrailCond)
    strategy.exit("Trail Short", from_entry="Gap Short", trail_points=trailOffset, trail_offset=trailOffset)
else if (inShort)
    strategy.exit("SL/TP Short", from_entry="Gap Short", stop=entryPrice + slDistance, limit=entryPrice - atr * atrMultTP)

// === MAXIMUM TRADE DURATION CONTROL ===
strategy.close("Gap Long", when=inLong and (bar_index - strategy.opentrades.entry_bar_index(0)) >= maxBars)
strategy.close("Gap Short", when=inShort and (bar_index - strategy.opentrades.entry_bar_index(0)) >= maxBars)

// === VISUALS ===
plotshape(longCond, title="Long Signal", location=location.belowbar, style=shape.triangleup, color=color.green)
plotshape(shortCond, title="Short Signal", location=location.abovebar, style=shape.triangledown, color=color.red)
plot(ema50, color=color.orange, title="EMA 50")
plot(ema200, color=color.blue, title="EMA 200")