動的リスク管理波動トレンド指標と複数移動平均クロスオーバー定量取引戦略

/*backtest
start: 2024-05-27 00:00:00
end: 2025-05-25 08:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"SOL_USDT"}]
*/

 //@version=5
strategy("WaveTrend EMA System with 3% Risk", overlay=true, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=10,  // Reduced to 10% to align with risk management
     commission_type=strategy.commission.percent, 
     commission_value=0.04)

// --- Inputs ---
riskPercent = input.float(3.0, "Risk %", minval=0.1, maxval=10, step=0.1)
wtObLevel = input(47, "Profit Target Level (Overbought)")
wtOsLevel = input(-47, "Profit Target Level (Oversold)")
ob2 = input.int(53, "Overbought Level 2", minval=0, maxval=100)  // Added from new conditions
os2 = input.int(-63, "Oversold Level 2", minval=-100, maxval=0)  // Added from new conditions

// --- WaveTrend Indicator ---
n1 = 10
n2 = 21
ap = hlc3
esa = ta.ema(ap, n1)
d = ta.ema(math.abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
wt1 = ta.ema(ci, n2)

// --- Moving Averages ---
ema10 = ta.ema(close, 10)
ema20 = ta.ema(close, 20)
ema200 = ta.ema(close, 200)

// --- Volume Filter ---
volumeSMA = ta.sma(volume, 20)
volumeSurge = volume > volumeSMA

// --- Entry Conditions ---
longCondition = (close > ema200) and ta.crossover(ema10, ema20) and volumeSurge
shortCondition = (close < ema200) and ta.crossunder(ema10, ema20) and volumeSurge

// --- Dynamic Position Sizing ---
var float stopLossPipsLong = na
var float stopLossPipsShort = na
if ta.lowest(low, 5) < close and syminfo.mintick > 0
    stopLossPipsLong := (close - ta.lowest(low, 5)) / syminfo.mintick
else
    stopLossPipsLong := na
if ta.highest(high, 5) > close and syminfo.mintick > 0
    stopLossPipsShort := (ta.highest(high, 5) - close) / syminfo.mintick
else
    stopLossPipsShort := na

positionSizeLong = stopLossPipsLong > 0 ? math.round((strategy.equity * riskPercent / 100) / (stopLossPipsLong * syminfo.mintick)) : 0
positionSizeShort = stopLossPipsShort > 0 ? math.round((strategy.equity * riskPercent / 100) / (stopLossPipsShort * syminfo.mintick)) : 0

// --- WaveTrend Exit Conditions ---
exitLong = ta.crossunder(wt1, wtObLevel)
exitShort = ta.crossover(wt1, wtOsLevel)

// --- New Exit Conditions ---
newExitLongSignal = ta.crossunder(wt1, ob2) and wt1[1] > ob2 and (close < ema200) and ta.crossunder(ema10, ema20) and volumeSurge
newExitShortSignal = ta.crossover(wt1, os2) and wt1[1] < os2 and (close > ema200) and ta.crossover(ema10, ema20) and volumeSurge

// --- Combined Exit Conditions ---
finalExitLong = exitLong or newExitLongSignal
finalExitShort = exitShort or newExitShortSignal

// --- Strategy Execution with WaveTrend Exits ---
if longCondition and not na(stopLossPipsLong)
    strategy.entry("Long", strategy.long, qty=positionSizeLong)
    strategy.exit("XL", "Long", stop=strategy.position_avg_price - stopLossPipsLong * syminfo.mintick, limit=strategy.position_avg_price + (stopLossPipsLong * syminfo.mintick * 2))

if shortCondition and not na(stopLossPipsShort)
    strategy.entry("Short", strategy.short, qty=positionSizeShort)
    strategy.exit("XS", "Short", stop=strategy.position_avg_price + stopLossPipsShort * syminfo.mintick, limit=strategy.position_avg_price - (stopLossPipsShort * syminfo.mintick * 2))

// --- Additional Exit Logic ---
if finalExitLong and strategy.position_size > 0
    strategy.close("Long")
if finalExitShort and strategy.position_size < 0
    strategy.close("Short")

// --- Visuals ---
plot(ema10, "EMA 10", color.blue)
plot(ema20, "EMA 20", color.red)
plot(ema200, "EMA 200", color.purple, 2)
plot(wt1, "WaveTrend", color=color.orange)
hline(wtObLevel, "WT OB", color.green, linestyle=hline.style_dotted)
hline(wtOsLevel, "WT OS", color.red, linestyle=hline.style_dotted)
hline(ob2, "OB2", color=color.red, linestyle=hline.style_dotted)
hline(os2, "OS2", color=color.green, linestyle=hline.style_dotted)

// === ALERTS ===

// Alert for Long Entry
alertcondition(longCondition, title="Long Entry Signal", message="WaveTrend Strategy: LONG entry signal")

// Alert for Short Entry
alertcondition(shortCondition, title="Short Entry Signal", message="WaveTrend Strategy: SHORT entry signal")

// Alert for Exit Long
alertcondition(finalExitLong, title="Exit Long Signal", message="WaveTrend Strategy: EXIT LONG")

// Alert for Exit Short
alertcondition(finalExitShort, title="Exit Short Signal", message="WaveTrend Strategy: EXIT SHORT")