適応型逆双曲線正接CCIモメンタム取引戦略とリスク管理システム

v1 = 0.1 * (CCI(close, period) / 4)
v2 = WMA(v1, wma_period)
IFTCCI = (e^(2*v2) - 1) / (e^(2*v2) + 1)

/*backtest
start: 2024-05-27 00:00:00
end: 2025-01-20 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"SOL_USDT"}]
*/

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © erkankuskonmaz

//@version=5
strategy("IFTCCI Buy Sell Signal Strategy",
         overlay=false,
         pyramiding=0,
         default_qty_type=strategy.percent_of_equity,
         default_qty_value=100,
         calc_on_every_tick=true) // NEW LINE: Enables real-time signal generation.

// --- Indicator Settings and Calculations (IFTCCIv2) ---
group_indicator_params = "Indicator Parameters (IFTCCIv2)"
ccilength_param = input.int(5, "CCI Period", group=group_indicator_params)
wmalength_param = input.int(9, title="Smoothing Period (WMA)", group=group_indicator_params)

// IFTCCIv2 Calculation
v1_calc = 0.1 * (ta.cci(close, ccilength_param) / 4)
v2_calc = ta.wma(v1_calc, wmalength_param)
indicator_value_ift = (math.exp(2 * v2_calc) - 1) / (math.exp(2 * v2_calc) + 1)

// --- Strategy Rule Inputs ---
group_entry_rules = "Buy Signal Conditions"
entry_low_prev_max = input.float(-0.95, title="Primary Buy: Previous Bar Max Value", group=group_entry_rules)
entry_low_curr_min = input.float(-0.94, title="Primary Buy: Current Bar Min Value", group=group_entry_rules)
reentry_trigger_units = input.float(0.10, title="Re-entry: Rise from Lowest Value", group=group_entry_rules)

group_exit_rules = "Sell Signal Conditions (Exit Position)"
exit_high_prev_min = input.float(0.95, title="Target Sell: Previous Bar Min Value", group=group_exit_rules)
exit_high_curr_max = input.float(0.94, title="Target Sell: Current Bar Max Value", group=group_exit_rules)
stop_loss_units = input.float(0.10, title="Stop Loss: Drop from Peak Value", group=group_exit_rules)

// --- Indicator Values for Strategy ---
float ind_val = indicator_value_ift
float ind_val_prev = indicator_value_ift[1]

// --- State Tracking Variables ---
var float highest_indicator_since_long_entry = na
var bool track_for_reentry_after_close = false
var float lowest_indicator_since_reentry_tracking_started = na

// --- Update State Logic ---
// 1. Update the highest indicator value since entering long position
if strategy.position_size > 0
    if strategy.position_size[1] <= 0
        highest_indicator_since_long_entry := ind_val
    else
        highest_indicator_since_long_entry := math.max(highest_indicator_since_long_entry, ind_val)
else
    if strategy.position_size[1] > 0
        highest_indicator_since_long_entry := na

// 2. Update re-entry tracking mechanism
if strategy.position_size[1] > 0 and strategy.position_size == 0
    track_for_reentry_after_close := true
    lowest_indicator_since_reentry_tracking_started := ind_val
else if strategy.position_size > 0
    track_for_reentry_after_close := false
    lowest_indicator_since_reentry_tracking_started := na
else if track_for_reentry_after_close and strategy.position_size == 0
    if not na(lowest_indicator_since_reentry_tracking_started)
        lowest_indicator_since_reentry_tracking_started := math.min(lowest_indicator_since_reentry_tracking_started, ind_val)
    else
        lowest_indicator_since_reentry_tracking_started := ind_val

// --- Buy Conditions (Long Entry) ---
bool can_enter_new_position = strategy.opentrades == 0

// Condition 1: Main Buy Condition
bool condition_main_buy_cross = ind_val_prev <= entry_low_prev_max and ind_val >= entry_low_curr_min
bool main_long_entry_trigger = condition_main_buy_cross and can_enter_new_position

// Condition 2: Re-entry Buy Condition
bool condition_re_entry_trigger = false
if track_for_reentry_after_close and not na(lowest_indicator_since_reentry_tracking_started) and can_enter_new_position
    if ind_val >= lowest_indicator_since_reentry_tracking_started + reentry_trigger_units
        condition_re_entry_trigger := true

// Combined Buy Condition
bool final_long_entry_condition = main_long_entry_trigger or condition_re_entry_trigger

// --- Sell Conditions (Long Exit) ---
bool currently_in_long_position = strategy.position_size > 0

// Sell Condition 1: Target Sell
bool condition_sell_target = ind_val_prev >= exit_high_prev_min and ind_val <= exit_high_curr_max

// Sell Condition 2: Stop Loss
bool condition_sell_stop_loss = false
if currently_in_long_position and not na(highest_indicator_since_long_entry)
    if ind_val <= highest_indicator_since_long_entry - stop_loss_units
        condition_sell_stop_loss := true

// Combined Sell Condition
bool final_long_exit_condition = currently_in_long_position and (condition_sell_target or condition_sell_stop_loss)

// --- Strategy Orders ---
if (final_long_entry_condition)
    entry_comment = main_long_entry_trigger ? "Buy (Primary)" : "Buy (Re-entry)"
    strategy.entry("Buy ID", strategy.long, comment=entry_comment)

if (final_long_exit_condition)
    exit_comment = condition_sell_target ? "Sell (Target)" : "Sell (Stop)"
    strategy.close("Buy ID", comment=exit_comment)

// --- Plot Indicator and Strategy Markers ---
plot(indicator_value_ift, title="IFTCCI Value", color=color.rgb(0, 0, 0), linewidth=2)
hline(0, "Mid Level", color=color.new(#787b86, 50), linestyle=hline.style_dotted)
hline(0.95, "Upper Reference (+0.95)", color=color.new(#002fff, 10), linestyle=hline.style_dashed)
hline(-0.95, "Lower Reference (-0.95)", color=color.new(#002fff, 10), linestyle=hline.style_dashed)

// Background Coloring on Entry and Exit Signals
color background_color = final_long_entry_condition ? color.new(color.green, 81) : final_long_exit_condition ? color.new(color.red, 81) : na
bgcolor(background_color, title="Signal Background")