ゼロラグMACDとクラウドチャート移動平均モメンタム統合取引システム

/*backtest
start: 2024-06-11 00:00:00
end: 2025-06-09 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy(title="Zero Lag MACD + Kijun-sen + EOM Strategy", shorttitle="ZL-KJ-EOM", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// ================================================================================
// INPUT PARAMETERS - ALL INDICATOR SETTINGS
// ================================================================================

// === ZERO LAG MACD SETTINGS ===
group_macd = "Zero Lag MACD Enhanced Settings"
fastLength = input.int(12, title="Fast MM period", minval=1, group=group_macd)
slowLength = input.int(26, title="Slow MM period", minval=1, group=group_macd)
signalLength = input.int(9, title="Signal MM period", minval=1, group=group_macd)
MacdEmaLength = input.int(9, title="MACD EMA period", minval=1, group=group_macd)
useEma = input.bool(true, title="Use EMA (otherwise SMA)", group=group_macd)
useOldAlgo = input.bool(false, title="Use Glaz algo (otherwise 'real' original zero lag)", group=group_macd)
showDots = input.bool(true, title="Show symbols to indicate crossing", group=group_macd)
dotsDistance = input.float(1.5, title="Symbols distance factor", minval=0.1, group=group_macd)

// === KIJUN-SEN SETTINGS ===
group_kijun = "Kijun-Sen Settings"
basePeriods = input.int(26, minval=1, title="Kijun-Sen Period", group=group_kijun)

// === EASE OF MOVEMENT SETTINGS ===
group_eom = "Ease of Movement Settings"
eom_length = input.int(14, minval=1, title="EOM Length", group=group_eom)
div = input.int(10000, title="EOM Divisor", minval=1, group=group_eom)

// === RISK MANAGEMENT SETTINGS ===
group_risk = "Risk Management Settings"
atr_period = input.int(14, title="ATR Period", minval=1, group=group_risk)
atr_multiplier = input.float(2.5, title="ATR Multiplier for Stop Loss", minval=0.1, step=0.1, group=group_risk)
risk_reward_ratio = input.float(1.2, title="Risk-to-Reward Ratio", minval=0.1, step=0.1, group=group_risk)

// === DISPLAY SETTINGS ===
group_display = "Display Settings"
show_macd_plot = input.bool(false, title="Show MACD Plot (Separate Pane)", group=group_display)
show_eom_plot = input.bool(false, title="Show EOM Plot (Separate Pane)", group=group_display)
show_kijun_plot = input.bool(true, title="Show Kijun-Sen Line", group=group_display)
show_signals = input.bool(true, title="Show Entry Signals", group=group_display)
show_info_table = input.bool(true, title="Show Info Table", group=group_display)

// ================================================================================
// ZERO LAG MACD ENHANCED VERSION 1.2 (WITH USER INPUTS)
// ================================================================================

source = close

// Fast line
ma1 = useEma ? ta.ema(source, fastLength) : ta.sma(source, fastLength) 
ma2 = useEma ? ta.ema(ma1, fastLength) : ta.sma(ma1, fastLength) 
zerolagEMA = ((2 * ma1) - ma2)

// Slow line
mas1 = useEma ? ta.ema(source, slowLength) : ta.sma(source, slowLength)
mas2 = useEma ? ta.ema(mas1, slowLength) : ta.sma(mas1, slowLength)
zerolagslowMA = ((2 * mas1) - mas2)

// MACD line
ZeroLagMACD = zerolagEMA - zerolagslowMA 

// Signal line
emasig1 = ta.ema(ZeroLagMACD, signalLength)
emasig2 = ta.ema(emasig1, signalLength)
signal = useOldAlgo ? ta.sma(ZeroLagMACD, signalLength) : (2 * emasig1) - emasig2

// MACD Histogram
hist = ZeroLagMACD - signal

// MACD EMA line
macd_ema = ta.ema(ZeroLagMACD, MacdEmaLength)

// MACD plot components (for separate pane if enabled)
upHist = (hist > 0) ? hist : 0
downHist = (hist <= 0) ? hist : 0

// ================================================================================
// KIJUN-SEN INDICATOR (WITH USER INPUTS)
// ================================================================================

donchian(len) => math.avg(ta.lowest(len), ta.highest(len))
baseLine = donchian(basePeriods)

// ================================================================================
// EASE OF MOVEMENT INDICATOR (WITH USER INPUTS)
// ================================================================================

var cumVol = 0.
cumVol += nz(volume)
if barstate.islast and cumVol == 0
    runtime.error("No volume is provided by the data vendor.")

eom = ta.sma(div * ta.change(hl2) * (high - low) / volume, eom_length)

// ================================================================================
// ATR CALCULATION FOR STOP LOSS
// ================================================================================

atr = ta.atr(atr_period)

// ================================================================================
// ENTRY CONDITIONS
// ================================================================================

// Long Entry Conditions
macd_cross_up = ta.crossover(ZeroLagMACD, signal)
macd_below_hist = ZeroLagMACD < hist  // MACD line below histogram
price_above_kijun = close > baseLine  // Price above Kijun-sen
eom_above_zero = eom > 0  // EOM above zero

long_condition = macd_cross_up and macd_below_hist and price_above_kijun and eom_above_zero

// Short Entry Conditions
macd_cross_down = ta.crossunder(ZeroLagMACD, signal)
macd_above_hist = ZeroLagMACD > hist  // MACD line above histogram
price_below_kijun = close < baseLine  // Price below Kijun-sen
eom_below_zero = eom < 0  // EOM below zero

short_condition = macd_cross_down and macd_above_hist and price_below_kijun and eom_below_zero

// ================================================================================
// STRATEGY EXECUTION
// ================================================================================

// Entry Logic - Enter at next candle open as specified
if long_condition
    strategy.entry("Long", strategy.long, comment="Long Entry")

if short_condition
    strategy.entry("Short", strategy.short, comment="Short Entry")

// Exit Logic (Stop Loss and Take Profit)
if strategy.position_size > 0  // Long position
    stop_loss = strategy.position_avg_price - (atr * atr_multiplier)
    distance_to_sl = strategy.position_avg_price - stop_loss
    take_profit = strategy.position_avg_price + (distance_to_sl * risk_reward_ratio)
    strategy.exit("Long Exit", "Long", stop=stop_loss, limit=take_profit, comment="Long Exit")

if strategy.position_size < 0  // Short position
    stop_loss = strategy.position_avg_price + (atr * atr_multiplier)
    distance_to_sl = stop_loss - strategy.position_avg_price
    take_profit = strategy.position_avg_price - (distance_to_sl * risk_reward_ratio)
    strategy.exit("Short Exit", "Short", stop=stop_loss, limit=take_profit, comment="Short Exit")

// ================================================================================
// PLOTTING INDICATORS
// ================================================================================

// Plot Kijun-sen
plot(show_kijun_plot ? baseLine : na, color=color.new(color.maroon, 0), title="Kijun-Sen", linewidth=2)

// Plot entry signals
plotshape(show_signals and long_condition, title="Long Signal", location=location.belowbar, color=color.new(color.green, 0), style=shape.triangleup, size=size.small, text="LONG")
plotshape(show_signals and short_condition, title="Short Signal", location=location.abovebar, color=color.new(color.red, 0), style=shape.triangledown, size=size.small, text="SHORT")

// Plot stop loss and take profit levels for current position
plot(strategy.position_size > 0 ? strategy.position_avg_price - (atr * atr_multiplier) : na, color=color.new(color.red, 0), style=plot.style_linebr, linewidth=1, title="Long Stop Loss")
plot(strategy.position_size > 0 ? strategy.position_avg_price + ((strategy.position_avg_price - (strategy.position_avg_price - (atr * atr_multiplier))) * risk_reward_ratio) : na, color=color.new(color.green, 0), style=plot.style_linebr, linewidth=1, title="Long Take Profit")

plot(strategy.position_size < 0 ? strategy.position_avg_price + (atr * atr_multiplier) : na, color=color.new(color.red, 0), style=plot.style_linebr, linewidth=1, title="Short Stop Loss")
plot(strategy.position_size < 0 ? strategy.position_avg_price - (((strategy.position_avg_price + (atr * atr_multiplier)) - strategy.position_avg_price) * risk_reward_ratio) : na, color=color.new(color.green, 0), style=plot.style_linebr, linewidth=1, title="Short Take Profit")

// ================================================================================
// SEPARATE PANE PLOTS (OPTIONAL)
// ================================================================================

// MACD Plot (separate pane)
plot(show_macd_plot ? upHist : na, color=color.new(color.green, 40), style=plot.style_columns, title='MACD Positive Histogram')
plot(show_macd_plot ? downHist : na, color=color.new(color.purple, 40), style=plot.style_columns, title='MACD Negative Histogram')
plot(show_macd_plot ? ZeroLagMACD : na, color=color.new(color.black, 0), linewidth=2, title='MACD Line')
plot(show_macd_plot ? signal : na, color=color.new(color.gray, 0), linewidth=2, title='Signal Line')
plot(show_macd_plot ? macd_ema : na, color=color.new(color.red, 0), linewidth=2, title='EMA on MACD Line')

// MACD zero line
plot(show_macd_plot ? 0 : na, "MACD Zero Line", color=color.new(color.gray, 50))

// MACD crossover dots - calculate cross condition globally for consistency
macd_signal_cross = ta.cross(ZeroLagMACD, signal)
circleYPosition = signal * dotsDistance
plot(show_macd_plot and showDots and macd_signal_cross ? circleYPosition : na, style=plot.style_circles, linewidth=4, color=hist > 0 ? color.new(color.green, 0) : color.new(color.purple, 0), title='MACD Cross Dots')

// EOM Plot (separate pane)
plot(show_eom_plot ? eom : na, "EOM", color=color.new(#43A047, 0), linewidth=2)
plot(show_eom_plot ? 0 : na, "EOM Zero Line", color=color.new(color.gray, 50))

// ================================================================================
// INFO TABLE
// ================================================================================

var table info_table = table.new(position.top_right, 2, 8, bgcolor=color.new(color.white, 0), border_width=1)
if show_info_table and barstate.islast
    table.cell(info_table, 0, 0, "Position", text_color=color.black, bgcolor=color.new(color.gray, 70))
    table.cell(info_table, 1, 0, strategy.position_size > 0 ? "LONG" : strategy.position_size < 0 ? "SHORT" : "FLAT", 
               text_color=strategy.position_size > 0 ? color.green : strategy.position_size < 0 ? color.red : color.black)
    
    table.cell(info_table, 0, 1, "Entry Price", text_color=color.black, bgcolor=color.new(color.gray, 70))
    table.cell(info_table, 1, 1, strategy.position_size != 0 ? str.tostring(strategy.position_avg_price, "#.####") : "N/A", text_color=color.black)
    
    table.cell(info_table, 0, 2, "Current ATR", text_color=color.black, bgcolor=color.new(color.gray, 70))
    table.cell(info_table, 1, 2, str.tostring(atr, "#.####"), text_color=color.black)
    
    table.cell(info_table, 0, 3, "MACD Value", text_color=color.black, bgcolor=color.new(color.gray, 70))
    table.cell(info_table, 1, 3, str.tostring(ZeroLagMACD, "#.####"), text_color=color.black)
    
    table.cell(info_table, 0, 4, "Signal Value", text_color=color.black, bgcolor=color.new(color.gray, 70))
    table.cell(info_table, 1, 4, str.tostring(signal, "#.####"), text_color=color.black)
    
    table.cell(info_table, 0, 5, "EOM Value", text_color=color.black, bgcolor=color.new(color.gray, 70))
    table.cell(info_table, 1, 5, str.tostring(eom, "#.##"), text_color=eom > 0 ? color.green : color.red)
    
    table.cell(info_table, 0, 6, "Price vs Kijun", text_color=color.black, bgcolor=color.new(color.gray, 70))
    table.cell(info_table, 1, 6, close > baseLine ? "ABOVE" : "BELOW", text_color=close > baseLine ? color.green : color.red)
    
    table.cell(info_table, 0, 7, "Last Signal", text_color=color.black, bgcolor=color.new(color.gray, 70))
    table.cell(info_table, 1, 7, long_condition ? "LONG" : short_condition ? "SHORT" : "NONE", 
               text_color=long_condition ? color.green : short_condition ? color.red : color.gray)

// ================================================================================
// ALERTS
// ================================================================================

// Alert conditions
alertcondition(long_condition, title="Long Entry Signal", 
               message="ZL-MACD+KJ+EOM Strategy: Long Entry Signal Triggered\nMACD: {{plot_0}}\nSignal: {{plot_1}}\nEOM: {{plot_2}}\nPrice: {{close}}\nKijun-Sen: {{plot_3}}")

alertcondition(short_condition, title="Short Entry Signal", 
               message="ZL-MACD+KJ+EOM Strategy: Short Entry Signal Triggered\nMACD: {{plot_0}}\nSignal: {{plot_1}}\nEOM: {{plot_2}}\nPrice: {{close}}\nKijun-Sen: {{plot_3}}")

// Position exit alerts
alertcondition(strategy.position_size[1] != 0 and strategy.position_size == 0, title="Position Closed", 
               message="ZL-MACD+KJ+EOM Strategy: Position Closed")