トレンドモメンタム確認マルチインジケーター共同取引戦略

/*backtest
start: 2024-06-09 00:00:00
end: 2025-06-08 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("JonnyBtc Daily Pullback Strategy (Volume + ADX)", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === INPUTS ===
ema_fast_len = input.int(10, title="Fast EMA (Pullback EMA)")       // Shorter for daily
ema_trend_len = input.int(100, title="Long-Term Trend EMA")         // Shorter than 200
ema_mid_len = input.int(50, title="Mid-Term Trend EMA")

rsi_len = input.int(14, title="RSI Length")
rsi_buy_min = input.int(55, title="Min RSI for Buy")
rsi_sell_max = input.int(45, title="Max RSI for Sell")

adx_len = input.int(14, title="ADX Length")
adx_min = input.float(20, title="Minimum ADX for Trend Strength")

vol_len = input.int(20, title="Volume MA Length")
volume_mult = input.float(1.0, title="Volume Multiplier for Confirmation")

long_only = input.bool(true, title="Only Trade Longs")
use_trailing_stop = input.bool(true, title="Use Trailing Stop")
trail_atr_mult = input.float(1.0, title="ATR Trailing Stop Multiplier", step=0.1)
atr_mult_sl = input.float(1.5, title="Fixed Stop Loss (ATR Multiplier)", step=0.1)
atr_mult_tp = input.float(3.0, title="Take Profit (ATR Multiplier)", step=0.1)

// === INDICATORS ===
price = close
ema_fast = ta.ema(price, ema_fast_len)
ema_trend = ta.ema(price, ema_trend_len)
ema_mid = ta.ema(price, ema_mid_len)
rsi = ta.rsi(price, rsi_len)
atr = ta.atr(14)
vol_sma = ta.sma(volume, vol_len)

// === Manual ADX Calculation ===
up = ta.change(high)
down = -ta.change(low)
plusDM = (up > down and up > 0) ? up : 0
minusDM = (down > up and down > 0) ? down : 0
trur = ta.rma(ta.tr(true), adx_len)
plusDI = 100 * ta.rma(plusDM, adx_len) / trur
minusDI = 100 * ta.rma(minusDM, adx_len) / trur
dx = 100 * math.abs(plusDI - minusDI) / (plusDI + minusDI)
adx = ta.rma(dx, adx_len)

// === TREND FILTERS ===
strong_uptrend = price > ema_trend and ema_mid > ema_trend
strong_downtrend = price < ema_trend and ema_mid < ema_trend

// === VOLUME & ADX CONFIRMATION ===
volume_ok = volume > vol_sma * volume_mult
adx_ok = adx > adx_min

// === ENTRY CONDITIONS ===
long_signal = ta.crossover(price, ema_fast) and strong_uptrend and rsi > rsi_buy_min and price[1] < ema_fast[1] and adx_ok and volume_ok
short_signal = ta.crossunder(price, ema_fast) and strong_downtrend and rsi < rsi_sell_max and price[1] > ema_fast[1] and adx_ok and volume_ok

// === TRADE EXECUTION ===
if long_signal
    strategy.entry("Long", strategy.long)

if short_signal and not long_only
    strategy.entry("Short", strategy.short)

// === EXITS ===
long_sl = price - atr * atr_mult_sl
long_tp = price + atr * atr_mult_tp
short_sl = price + atr * atr_mult_sl
short_tp = price - atr * atr_mult_tp

trail_offset = atr * trail_atr_mult

if use_trailing_stop
    strategy.exit("Exit Long", from_entry="Long", trail_points=trail_offset, trail_offset=trail_offset, limit=long_tp)
    strategy.exit("Exit Short", from_entry="Short", trail_points=trail_offset, trail_offset=trail_offset, limit=short_tp)
else
    strategy.exit("Exit Long", from_entry="Long", stop=long_sl, limit=long_tp)
    strategy.exit("Exit Short", from_entry="Short", stop=short_sl, limit=short_tp)

// === PLOTS ===
plot(ema_fast, title="Fast EMA", color=color.orange)
plot(ema_mid, title="Mid-Term EMA", color=color.aqua)
plot(ema_trend, title="Long-Term EMA", color=color.blue)

// === ALERT CONDITIONS ===
alertcondition(long_signal, title="Buy Alert", message="BTC BUY Signal")
alertcondition(short_signal and not long_only, title="Sell Alert", message="BTC SELL Signal")

// === PLOTS FOR SIGNALS ===
plotshape(long_signal, title="Buy Signal", style=shape.labelup, location=location.belowbar, color=color.green, text="BUY")
plotshape(short_signal and not long_only, title="Sell Signal", style=shape.labeldown, location=location.abovebar, color=color.red, text="SELL")