動的ATRトレンドラインブレイクアウト取引戦略とマルチレベルリスク報酬最適化システム

/*backtest
start: 2024-05-20 00:00:00
end: 2024-09-08 00:00:00
period: 3d
basePeriod: 3d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDC"}]
*/

//@version=5
strategy("Smart Trendlines Strategy with SL/TP (Hybrid)", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=1)

// === Input Parameters ===
length = input.int(14, "Swing Detection Lookback")
mult = input.float(1.0, "Slope Multiplier", minval=0, step=0.1)
showSLTP = input(true, "Show SL/TP Lines & Labels")

sl_buffer = input(5, "SL Buffer (ticks)")
tp1_risk = input(1.5, "TP1 Risk:Reward")
tp2_risk = input(2.5, "TP2 Risk:Reward")

// === Colors ===
buyColor = color.blue
sellColor = color.red
tpColor = color.green
slColor = color.red
upLineColor = color.lime
downLineColor = color.red

// === Slope Calculation
slope = ta.atr(length) / length * mult

// === Pivot Detection
ph = ta.pivothigh(length, length)
pl = ta.pivotlow(length, length)

var float upper = na
var float lower = na
var float slope_ph = na
var float slope_pl = na

slope_ph := ph ? slope : nz(slope_ph[1])
slope_pl := pl ? slope : nz(slope_pl[1])

upper := ph ? high[length] : nz(upper[1]) - slope_ph
lower := pl ? low[length]  : nz(lower[1]) + slope_pl

// === Entry Conditions (Breakout from sloped trendline)
longEntry = pl and close > upper
shortEntry = ph and close < lower

// === SL/TP Calculation
var float sl = na
var float tp1 = na
var float tp2 = na
var float rr = na

if longEntry
    sl := lower - sl_buffer * syminfo.mintick
    rr := close - sl
    tp1 := close + tp1_risk * rr
    tp2 := close + tp2_risk * rr
    strategy.entry("Long", strategy.long)
    strategy.exit("TP1 Long", from_entry="Long", stop=sl, limit=tp1)
    strategy.exit("TP2 Long", from_entry="Long", limit=tp2)

if shortEntry
    sl := upper + sl_buffer * syminfo.mintick
    rr := sl - close
    tp1 := close - tp1_risk * rr
    tp2 := close - tp2_risk * rr
    strategy.entry("Short", strategy.short)
    strategy.exit("TP1 Short", from_entry="Short", stop=sl, limit=tp1)
    strategy.exit("TP2 Short", from_entry="Short", limit=tp2)

// === Plot Trendlines
plot(upper, title="Upper Trendline", color=downLineColor)
plot(lower, title="Lower Trendline", color=upLineColor)

// === Visual Buy/Sell Signals
plotshape(longEntry, location=location.belowbar, color=buyColor, style=shape.circle, size=size.small, title="Buy Signal", text="BUY", textcolor=color.white)
plotshape(shortEntry, location=location.abovebar, color=sellColor, style=shape.circle, size=size.small, title="Sell Signal", text="SELL", textcolor=color.white)

// === Labels for Entry and SL/TP
if longEntry
    label.new(bar_index, close, "BUY\n" + str.tostring(close, "#.##"), style=label.style_label_up, color=buyColor, textcolor=color.white, size=size.small)
    if showSLTP
        label.new(bar_index, sl, "SL\n" + str.tostring(sl, "#.##"), style=label.style_label_down, color=slColor, textcolor=color.white, size=size.small)
        label.new(bar_index, tp1, "TP1\n" + str.tostring(tp1, "#.##"), style=label.style_label_up, color=tpColor, textcolor=color.white, size=size.small)
        label.new(bar_index, tp2, "TP2\n" + str.tostring(tp2, "#.##"), style=label.style_label_up, color=tpColor, textcolor=color.white, size=size.small)

if shortEntry
    label.new(bar_index, close, "SELL\n" + str.tostring(close, "#.##"), style=label.style_label_down, color=sellColor, textcolor=color.white, size=size.small)
    if showSLTP
        label.new(bar_index, sl, "SL\n" + str.tostring(sl, "#.##"), style=label.style_label_up, color=slColor, textcolor=color.white, size=size.small)
        label.new(bar_index, tp1, "TP1\n" + str.tostring(tp1, "#.##"), style=label.style_label_down, color=tpColor, textcolor=color.white, size=size.small)
        label.new(bar_index, tp2, "TP2\n" + str.tostring(tp2, "#.##"), style=label.style_label_down, color=tpColor, textcolor=color.white, size=size.small)

// === Plot SL/TP Lines (Optional)
plot(showSLTP and longEntry ? sl : na, color=slColor, title="Long SL", linewidth=1, style=plot.style_line)
plot(showSLTP and longEntry ? tp1 : na, color=tpColor, title="Long TP1", linewidth=1, style=plot.style_line)
plot(showSLTP and longEntry ? tp2 : na, color=tpColor, title="Long TP2", linewidth=1, style=plot.style_line)

plot(showSLTP and shortEntry ? sl : na, color=slColor, title="Short SL", linewidth=1, style=plot.style_line)
plot(showSLTP and shortEntry ? tp1 : na, color=tpColor, title="Short TP1", linewidth=1, style=plot.style_line)
plot(showSLTP and shortEntry ? tp2 : na, color=tpColor, title="Short TP2", linewidth=1, style=plot.style_line)