平滑化Zスコアクロスオーバーに基づくモメンタム最適化価格統計取引戦略

/*backtest
start: 2024-06-03 00:00:00
end: 2025-06-02 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Price Statistical Strategy-Z Score V 1.01", overlay=true)

// === Enable / Disable Z-Score Strategy Block ===
enableZScore = input.bool(true, title="Enable Smoothed Z-Score Strategy", tooltip="When enabled, this block calculates a smoothed Z-Score of the closing price and generates entry/exit signals based on crossover behavior between short-term and long-term smoothed Z-Scores.\n\nRecommended for quick and classic detection of price deviation from mean.\nSensitive to outliers. Best suited for relatively normal-distributed market conditions.")

// === Z-Score Parameters ===
zBaseLength = input.int(3, minval=1, title="Z-Score Base Period")
shortSmooth = input.int(3, title="Short-Term Smoothing")
longSmooth = input.int(5, title="Long-Term Smoothing")

// === Z-Score Calculation Function ===
f_zscore(src, length) =>
    mean = ta.sma(src, length)
    std_dev = ta.stdev(src, length)
    z = (src - mean) / std_dev
    z

// === Z-Score Logic ===
zRaw = f_zscore(close, zBaseLength)
zShort = ta.sma(zRaw, shortSmooth)
zLong = ta.sma(zRaw, longSmooth)


// === Minimum gap between identical signals ===
gapBars = input.int(5, minval=1, title="Bars gap between identical signals", tooltip="Minimum number of bars required between two identical signals (entry or exit). Helps reduce signal noise.")


// === Candle-based momentum filters ===
bullish_3bars = close > close[1] and close[1] > close[2] and close[2] > close[3] and close[3] > close[4]
bearish_3bars = close < close[1] and close[1] < close[2] and close[2] < close[3] and close[3] < close[4]

// === Entry and Exit Logic with minimum signal gap and candle momentum filter ===
var int lastEntryBar = na
var int lastExitBar  = na

if enableZScore
    longCondition = (zShort > zLong)
    exitCondition = (zShort < zLong)

    if longCondition and (na(lastEntryBar) or bar_index - lastEntryBar > gapBars) and not bullish_3bars
        strategy.entry("Z Score", strategy.long)
        lastEntryBar := bar_index

    if exitCondition and (na(lastExitBar) or bar_index - lastExitBar > gapBars) and not bearish_3bars
        strategy.close("Z Score", comment="Z Score")
        lastExitBar := bar_index

// === Real-time PnL Table for Last Open Position ===
var table positionTable = table.new(position.bottom_right, 2, 2, border_width=1)

// Header Labels
table.cell(positionTable, 0, 0, "Entry Price", text_color=color.white, bgcolor=color.gray)
table.cell(positionTable, 1, 0, "Unrealized PnL (%)", text_color=color.white, bgcolor=color.gray)

// Values (only when position is open)
isLong        = strategy.position_size > 0
entryPrice    = strategy.position_avg_price
unrealizedPnL = isLong ? (close - entryPrice) / entryPrice * 100 : na

// Define dynamic text color for PnL
pnlColor = unrealizedPnL > 0 ? color.green : unrealizedPnL < 0 ? color.red : color.gray

// Update Table Content
if isLong
    table.cell(positionTable, 0, 1, str.tostring(entryPrice, "#.####"), text_color=color.gray, bgcolor=color.new(color.gray, 90))
    table.cell(positionTable, 1, 1, str.tostring(unrealizedPnL, "#.##") + " %", text_color=pnlColor, bgcolor=color.new(pnlColor, 90))
else
    table.cell(positionTable, 0, 1, "—", text_color=color.gray, bgcolor=color.new(color.gray, 90))
    table.cell(positionTable, 1, 1, "—", text_color=color.gray, bgcolor=color.new(color.gray, 90))