デュアル移動平均モメンタムトレンドフォローおよび反転取引システム

/*backtest
start: 2024-05-26 00:00:00
end: 2025-05-25 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"SOL_USDT"}]
*/

//@version=6
strategy("Momentum Long + Short Strategy (BTC 3H)", overlay=true,
     default_qty_type=strategy.percent_of_equity,
     default_qty_value=100,
     initial_capital=1000,
     commission_type=strategy.commission.percent,
     commission_value=0.1,
     slippage=1,
     pyramiding=1)


// ==============================================================================
// === LONG TRADE SETTINGS
// ==============================================================================
enableLongs     = input.bool(true,  "Enable Long Trades", group="LONG TRADE SETTINGS")
slPercentLong   = input.float(3.0, "Long Stop Loss %", minval=0.1, group="LONG TRADE SETTINGS")

useRSIFilter     = input.bool(false, "Enable RSI Filter", group="LONG FILTER SETTINGS")
useADXFilter     = input.bool(false, "Enable ADX Filter", group="LONG FILTER SETTINGS")
useATRFilter     = input.bool(false, "Enable ATR Filter", group="LONG FILTER SETTINGS")
useTrendFilter   = input.bool(true,  "Require MA100 > MA500", group="LONG FILTER SETTINGS")

smoothType      = input.string("EMA", "Smoothing Type", options=["EMA", "SMA"], group="LONG FILTER SETTINGS")
smoothingLength = input.int(100, "Smoothing Length (for filters)", group="LONG FILTER SETTINGS")

rsiLengthLong   = input.int(14, "RSI Length", group="RSI FILTER")
adxLength       = input.int(14, "ADX Length", group="ADX FILTER")
atrLength       = input.int(14, "ATR Length", group="ATR FILTER")


// ==============================================================================
// === SHORT TRADE SETTINGS
// ==============================================================================
enableShorts         = input.bool(false, "Enable Short Trades", group="SHORT TRADE SETTINGS")
slPercentShort       = input.float(3.0, "Short Stop Loss %", minval=0.1, group="SHORT TRADE SETTINGS")
tpPercentShort       = input.float(4.0, "Short Take Profit %", minval=0.1, group="SHORT TRADE SETTINGS")
rsiLengthShort       = input.int(14, "RSI Length", group="SHORT FILTER SETTINGS")
rsiThresholdShort    = input.float(33, "RSI Threshold", minval=1, maxval=100, group="SHORT FILTER SETTINGS")
bbLength             = input.int(20, "Bollinger Band Length", group="SHORT FILTER SETTINGS")
useATRFilterShort    = input.bool(true, "Enable ATR Filter (Short)", group="SHORT FILTER SETTINGS")
useStrongUptrendBlock = input.bool(true, "Block Shorts if MA100 > MA500 by (%)", group="SHORT FILTER SETTINGS")
shortTrendGapPct     = input.float(2.0, "Threshold (%) for Blocking Shorts", minval=0.1, group="SHORT FILTER SETTINGS")


// ==============================================================================
// === COMMON INDICATORS
// ==============================================================================
ma100 = smoothType == "EMA" ? ta.ema(close, 100) : ta.sma(close, 100)
ma500 = smoothType == "EMA" ? ta.ema(close, 500) : ta.sma(close, 500)
priceAboveMAs = close > ma100 and close > ma500
trendAlignment = not useTrendFilter or ma100 > ma500

plot(ma100, title="MA 100", color=color.orange)
plot(ma500, title="MA 500", color=color.blue)


// ==============================================================================
// === LONG FILTER LOGIC
// ==============================================================================
rsiLong = ta.rsi(close, rsiLengthLong)
rsiSmooth = smoothType == "EMA" ? ta.ema(rsiLong, smoothingLength) : ta.sma(rsiLong, smoothingLength)
rsiPass = not useRSIFilter or rsiLong > rsiSmooth

dmi(len) =>
    up       = ta.change(high)
    down     = -ta.change(low)
    plusDM   = na(up) ? na : (up > down and up > 0 ? up : 0)
    minusDM  = na(down) ? na : (down > up and down > 0 ? down : 0)
    trur     = ta.rma(ta.tr, len)
    plusDI   = 100 * ta.rma(plusDM, len) / trur
    minusDI  = 100 * ta.rma(minusDM, len) / trur
    dx       = 100 * math.abs(plusDI - minusDI) / (plusDI + minusDI)
    ta.rma(dx, len)

adx = dmi(adxLength)
adxSmooth = smoothType == "EMA" ? ta.ema(adx, smoothingLength) : ta.sma(adx, smoothingLength)
adxPass = not useADXFilter or adx > adxSmooth

atr = ta.atr(atrLength)
atrSmooth = smoothType == "EMA" ? ta.ema(atr, smoothingLength) : ta.sma(atr, smoothingLength)
atrPass = not useATRFilter or atr > atrSmooth


// ==============================================================================
// === SHORT FILTER LOGIC
// ==============================================================================
rsiShort = ta.rsi(close, rsiLengthShort)
bbBasis = ta.sma(close, bbLength)
bbDev   = ta.stdev(close, bbLength)
bbLower = bbBasis - bbDev * 2
priceBelowBB = close < bbLower
priceBelowMAs = close < ma100 and close < ma500
rsiOversold = rsiShort < rsiThresholdShort

atrShort = ta.atr(atrLength)
atrShortSmoothed = smoothType == "EMA" ? ta.ema(atrShort, smoothingLength) : ta.sma(atrShort, smoothingLength)
atrShortPass = not useATRFilterShort or atrShort > atrShortSmoothed

emaGapTooWide = (ma100 - ma500) / ma500 * 100 > shortTrendGapPct
strongUptrendBlock = not useStrongUptrendBlock or not emaGapTooWide


// ==============================================================================
// === ENTRY CONDITIONS
// ==============================================================================
longCondition = enableLongs and priceAboveMAs and trendAlignment and rsiPass and adxPass and atrPass
shortCondition = enableShorts and priceBelowMAs and priceBelowBB and rsiOversold and atrShortPass and strongUptrendBlock

if longCondition
    strategy.entry("Long", strategy.long)

if shortCondition
    strategy.entry("Short", strategy.short)


// ==============================================================================
// === EXIT CONDITIONS
// ==============================================================================
longStop = strategy.position_avg_price * (1 - slPercentLong / 100)
strategy.exit("SL Long", from_entry="Long", stop=longStop)

if strategy.position_size > 0 and close < ma500
    strategy.close("Long", comment="TP Below MA500")

shortStop = strategy.position_avg_price * (1 + slPercentShort / 100)
shortTP   = strategy.position_avg_price * (1 - tpPercentShort / 100)

strategy.exit("SL/TP Short", from_entry="Short", stop=shortStop, limit=shortTP)