高時間枠加重移動平均間隔の画期的な定量取引戦略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-05-25 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy('ZONE FLOW', overlay=true)

// Input parameters
src = close
src1 = open
src2 = low
src3 = high
Min = input(60, title='Minimum Period')
len = timeframe.isintraday and timeframe.multiplier >= 1 ? Min / timeframe.multiplier * 7 : timeframe.isintraday and timeframe.multiplier < 60 ? 60 / timeframe.multiplier * 24 * 7 : 7

c1 = ta.wma(src, len)
o1 = ta.wma(src1, len)
l1 = ta.wma(src2, len)
h1 = ta.wma(src3, len)

HTF = input.timeframe('M', title='Higher Time Frame')
ti = ta.change(time(HTF)) != 0
c = fixnan(ti ? c1 : na)
o = fixnan(ti ? o1 : na)
h = fixnan(ti ? h1 : na)
l = fixnan(ti ? l1 : na)

// Calculating mid-point
m = (h + l) / 2

// Calculating ratio lines
ratio = input.float(0.1, title='% ratio', minval=0.001, maxval=10)
r1 = m * ratio
u = m + r1
d = m - r1

// Take profit settings
takeProfitPercentage1 = input.float(10.0, title='Take Profit 1 (%)', minval=0.1, maxval=100.0) / 100
takeProfitQuantity1 = input.float(50.0, title='Take Profit 1 Quantity (%)', minval=0.1, maxval=100.0) / 100
takeProfitPercentage2 = input.float(20.0, title='Take Profit 2 (%)', minval=0.1, maxval=100.0) / 100
takeProfitQuantity2 = input.float(50.0, title='Take Profit 2 Quantity (%)', minval=0.1, maxval=100.0) / 100

// Stop loss settings
stopLossPercentage = input.float(5.0, title='Stop Loss (%)', minval=0.1, maxval=100.0) / 100

// Number of bars to extend lines
extensionBars = input.int(5, title='Number of Bars to Extend Lines', minval=1)

// Number of bars to offset the percentage label
percentOffsetBars = input.int(25, title='Number of Bars to Offset Percentage Label', minval=1)

// Input for multiplying the percentage change
multiplierFactor = input.int(20, title='Multiplier for Percentage Change', minval=1)

// Input for background colors
bgColor1 = input(color.new(color.blue, 90), title='Background Color 1')
bgColor2 = input(color.new(color.orange, 90), title='Background Color 2')

// Plot high, low, and ratio lines
ppo = plot(u, color=color.new(color.blue, 0), title='Upper Line (Resistance)', style=plot.style_stepline)
ppc = plot(d, color=color.new(color.orange, 0), title='Lower Line (Support)', style=plot.style_stepline)

plot(u, color=color.new(color.blue, 0), title='Upper Line (Resistance)', style=plot.style_circles, linewidth=2)
plot(d, color=color.new(color.orange, 0), title='Lower Line (Support)', style=plot.style_circles, linewidth=2)

// Fill the background between ratio lines with two different colors
fill(ppo, ppc, color=bgColor1)

// Calculate mid-point for background color switching
midPoint = (u + d) / 2
bgColorSwitch = close >= midPoint ? bgColor1 : bgColor2
fill(ppo, ppc, color=bgColorSwitch, transp=90)

// Initialize variables for lines and labels
var line tp1Line = na
var line tp2Line = na
var line stopLossLine = na
var line entryLine = na
var label tp1Label = na
var label tp2Label = na
var label stopLossLabel = na
var label entryLabel = na
var label percentLabel = na

// Variable to store the entry bar index
var int entryBarIndexLong = na
var int entryBarIndexShort = na

// Function to delete old labels and lines
deleteOldLinesAndLabels() =>
    if not na(tp1Line)
        line.delete(tp1Line)
    if not na(tp2Line)
        line.delete(tp2Line)
    if not na(stopLossLine)
        line.delete(stopLossLine)
    if not na(entryLine)
        line.delete(entryLine)
    if not na(tp1Label)
        label.delete(tp1Label)
    if not na(tp2Label)
        label.delete(tp2Label)
    if not na(stopLossLabel)
        label.delete(stopLossLabel)
    if not na(entryLabel)
        label.delete(entryLabel)
    if not na(percentLabel)
        label.delete(percentLabel)

// Strategy logic
longCondition = ta.crossover(close, u)
shortCondition = ta.crossunder(close, d)

if longCondition
    strategy.entry('Long', strategy.long)
    entryBarIndexLong := bar_index
    entryBarIndexLong

if shortCondition
    strategy.entry('Short', strategy.short)
    entryBarIndexShort := bar_index
    entryBarIndexShort

// Calculate take profit and stop loss levels for long positions
if strategy.position_size > 0  // Check if there's an open long position
    takeProfitLevelLong1 = strategy.position_avg_price * (1 + takeProfitPercentage1)
    takeProfitLevelLong2 = strategy.position_avg_price * (1 + takeProfitPercentage2)
    stopLossLevelLong = strategy.position_avg_price * (1 - stopLossPercentage)
    entryPrice = strategy.position_avg_price

    // Delete existing lines and labels if they exist
    deleteOldLinesAndLabels()


    // Exit a portion of the position at each take profit level
    strategy.exit('TP1', 'Long', limit=takeProfitLevelLong1, qty=strategy.position_size * takeProfitQuantity1)
    strategy.exit('TP2', 'Long', limit=takeProfitLevelLong2, qty=strategy.position_size * takeProfitQuantity2)
    strategy.exit('Stop Loss', 'Long', stop=stopLossLevelLong)

    // Display percentage change from entry price
    percentChange = (close - strategy.position_avg_price) / strategy.position_avg_price * 100
    percentMultiplied = percentChange * multiplierFactor
    percentColor = percentChange >= 0 ? color.green : color.red
    // Update label position to follow price line with larger text size
    percentLabel := label.new(x=bar_index + percentOffsetBars, y=close, text=str.tostring(percentMultiplied, format.percent) + '%', color=percentColor, textcolor=color.white, size=size.large, style=label.style_label_down)
    percentLabel

if strategy.position_size < 0  // Check if there's an open short position
    takeProfitLevelShort1 = strategy.position_avg_price * (1 - takeProfitPercentage1)
    takeProfitLevelShort2 = strategy.position_avg_price * (1 - takeProfitPercentage2)
    stopLossLevelShort = strategy.position_avg_price * (1 + stopLossPercentage)
    entryPrice = strategy.position_avg_price

    // Delete existing lines and labels if they exist
    deleteOldLinesAndLabels()


    // Exit a portion of the position at each take profit level
    strategy.exit('TP1', 'Short', limit=takeProfitLevelShort1, qty=strategy.position_size * takeProfitQuantity1)
    strategy.exit('TP2', 'Short', limit=takeProfitLevelShort2, qty=strategy.position_size * takeProfitQuantity2)
    strategy.exit('Stop Loss', 'Short', stop=stopLossLevelShort)

    // Display percentage change from entry price
    percentChange = (strategy.position_avg_price - close) / strategy.position_avg_price * 100
    percentMultiplied = percentChange * multiplierFactor
    percentColor = percentChange >= 0 ? color.green : color.red
    // Update label position to follow price line with larger text size
    percentLabel := label.new(x=bar_index + percentOffsetBars, y=close, text=str.tostring(percentMultiplied, format.percent) + '%', color=percentColor, textcolor=color.white, size=size.large, style=label.style_label_down)
    percentLabel

// Add buy and sell signals with shapes
plotshape(series=longCondition, title='Buy Signal', location=location.belowbar, color=color.new(color.green, 0), style=shape.labelup, text='.')
plotshape(series=shortCondition, title='Sell Signal', location=location.abovebar, color=color.new(color.red, 0), style=shape.labeldown, text='.')

// Remove old labels when they go out of scope
if bar_index % 50 == 0
    deleteOldLinesAndLabels()

// Define colors for candles based on background color
candleColorBull = bgColorSwitch  // Use background color for bullish candles
candleColorBear = bgColorSwitch  // Use background color for bearish candles
borderColorBull = color.black  // Border color for bullish candles
borderColorBear = color.black  // Border color for bearish candles

// Plot candles with custom colors
plotcandle(open, high, low, close, color=close >= open ? candleColorBull : candleColorBear, bordercolor=close >= open ? borderColorBull : borderColorBear, wickcolor=color.gray)