RSI-MACD-EMAの組み合わせテクニカル分析戦略と高頻度取引のための適応型ストップロスソリューション

/*backtest
start: 2024-06-10 00:00:00
end: 2025-06-08 08:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

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

//@version=5
strategy("RSI MACD EMA Strategy with SL (Higher Frequency)", overlay=true)

// MACD Inputs
fast_length = input(12, "MACD Fast Length")
slow_length = input(26, "MACD Slow Length")
signal_length = input(9, "MACD Signal Length")

// RSI Inputs
rsi_length = input(14, "RSI Length")
rsi_oversold = input(30, "RSI Oversold Level (Relaxed)") // Relaxed from 35 to 30 for more signals
rsi_overbought = input(70, "RSI Overbought Level (Relaxed)") // Relaxed from 65 to 70 for more signals

// EMA Inputs
ema_length = input(9, "EMA Length")

// Stop Loss Inputs
atr_length = input(14, "ATR Length for Stop Loss")
sl_multiplier = input.float(2.0, "Stop Loss Multiplier")

// Calculate MACD
[macd_line, signal_line, hist_line] = ta.macd(close, fast_length, slow_length, signal_length)

// Calculate RSI
rsi_value = ta.rsi(close, rsi_length)

// Calculate EMA
ema_value = ta.ema(close, ema_length)

// Calculate ATR for Stop Loss
atr_value = ta.atr(atr_length)

// MACD Conditions (Simplified/Direct Cross)
macd_buy_condition = ta.crossover(macd_line, signal_line) // Using crossover for direct signal
macd_sell_condition = ta.crossunder(macd_line, signal_line) // Using crossunder for direct signal

// RSI Conditions (Simplified for higher frequency)
// Instead of complex divergence, let's go back to simpler overbought/oversold crosses
rsi_buy_condition = ta.crossover(rsi_value, rsi_oversold) // Buy when RSI crosses above oversold
rsi_sell_condition = ta.crossunder(rsi_value, rsi_overbought) // Sell when RSI crosses below overbought

// EMA Conditions (Direct Cross)
ema_buy_condition = ta.crossover(close, ema_value)
ema_sell_condition = ta.crossunder(close, ema_value)

// Buy/Long Entry - Significantly simplified for higher frequency
// We'll combine fewer conditions, focusing on the most immediate signals.
// Let's use either MACD + EMA, or RSI + EMA, or a combination that is less strict.
// Option 1: MACD cross AND EMA cross (stronger than just one, but still fewer than before)
// buy_signal = macd_buy_condition and ema_buy_condition

// Option 2: RSI cross AND EMA cross (another common combination)
// buy_signal = rsi_buy_condition and ema_buy_condition

// Option 3: A more aggressive combination (e.g., any two of the three main signals)
// For maximum frequency, let's primarily use EMA cross with a supporting indicator.
// We'll prioritize the EMA cross as it's often the fastest price-action related signal.
buy_signal = ema_buy_condition and (macd_buy_condition or rsi_value < rsi_oversold + 5) // EMA cross up AND (MACD cross up OR RSI is near oversold)

// Sell/Short Entry - Significantly simplified for higher frequency
// Similar logic for short signals.
sell_signal = ema_sell_condition and (macd_sell_condition or rsi_value > rsi_overbought - 5) // EMA cross down AND (MACD cross down OR RSI is near overbought)


// Exit Conditions (Kept as previously tightened, as frequent exits complement frequent entries)
long_exit_condition = ta.crossunder(close, ema_value) or (close < ema_value)
short_exit_condition = ta.crossover(close, ema_value) or (close > ema_value)


// Stop Loss Calculation (Kept as previously loosened, but could be tightened for faster exits on losses)
long_stop_loss_price = strategy.position_avg_price - (atr_value * sl_multiplier)
short_stop_loss_price = strategy.position_avg_price + (atr_value * sl_multiplier)

// Strategy orders
if buy_signal
    strategy.entry("Long", strategy.long)

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

if strategy.position_size > 0 // If currently in a long position
    strategy.exit("Long Exit", from_entry="Long", stop=long_stop_loss_price, when=long_exit_condition)

if strategy.position_size < 0 // If currently in a short position
    strategy.exit("Short Exit", from_entry="Short", stop=short_stop_loss_price, when=short_exit_condition)

// Plotting signals (optional, for visualization)
plotshape(buy_signal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(sell_signal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

// Plotting indicators (optional, for visualization)
plot(macd_line, "MACD Line", color.blue)
plot(signal_line, "Signal Line", color.orange)
plot(rsi_value, "RSI", color.purple)
plot(ema_value, "EMA", color.teal)

hline(rsi_oversold, "RSI Oversold", color.gray)
hline(rsi_overbought, "RSI Overbought", color.gray)