複数期間の動的ボラティリティ追跡戦略

/*backtest
start: 2024-09-15 00:00:00
end: 2025-06-09 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
//@strategy_alert_message {{strategy.order.comment}}
// © AlgoSystems

strategy("Scalping Trend Power for MT5 - Updated", overlay=true, calc_on_every_tick=false)

//-------------------------------------------------------------------
// Function: confirm a condition for N consecutive bars
//-------------------------------------------------------------------
f_confirm(cond, bars) =>
    _ok = true
    for i = 0 to bars - 1
        _ok := _ok and cond[i]
    _ok

//-------------------------------------------------------------------
// Inputs: strategy parameters & PineConnector
//-------------------------------------------------------------------
lotSize                = input.float(0.1,  title="Lot Size")
lotMultiplier          = input.float(1.0,  title="Lot Multiplier", minval=0.1, step=0.1)
contractType           = input.string("FX", title="Contract Type", options=["FX", "CFD", "Futures"])
// (kept for potential future use)
riskPercentage         = input.float(1.0,  title="Risk per Trade (%)")
riskRewardRatio        = input.float(1.2,  title="Risk/Reward Ratio", step=0.1)
trailingStopMultiplier = input.float(1.2,  title="Trailing-Stop Multiplier", step=0.1)

emaShortLength         = input.int(9,  title="EMA Short Length")
emaLongLength          = input.int(21, title="EMA Long Length")
rsiLength              = input.int(14, title="RSI Length")
atrLength              = input.int(14, title="ATR Length")
rsiOverbought          = input.int(70, title="RSI Overbought Level")
rsiOversold            = input.int(30, title="RSI Oversold Level")

higherTF               = input.timeframe("30", title="Higher Time-Frame for Exit")
higherRsiOverbought    = input.int(70, title="Higher-TF RSI Overbought", minval=50)
higherRsiOversold      = input.int(30, title="Higher-TF RSI Oversold",  minval=10)

pivotLookback          = input.int(5,  title="Pivot Look-Back Period",  minval=2, step=1)
volumeLookback         = input.int(20, title="Volume Look-Back Period", minval=5, step=1)
volumeMultiplier       = input.float(1.0, title="Volume Multiplier",    minval=0.1, step=0.1)

enablePartialExit      = input.bool(true, title="Enable Partial Exit")
tp1ProfitMult          = input.float(1.0, title="TP1 Profit Multiplier", step=0.1)
tp2ProfitMult          = input.float(1.5, title="TP2 Profit Multiplier", step=0.1)
tp3ProfitMult          = input.float(2.0, title="TP3 Profit Multiplier", step=0.1)

tp1ExitPercentage      = input.float(33, title="TP1 Exit (%)", minval=1, maxval=100, step=1)
tp2ExitPercentage      = input.float(33, title="TP2 Exit (%)", minval=1, maxval=100, step=1)
tp3ExitPercentage      = input.float(34, title="TP3 Exit (%)", minval=1, maxval=100, step=1)

confirmBars            = input.int(2, title="Confirmation Bars", minval=1, step=1)

baseLongTrades         = 5
tradeDecreaseFactor    = input.int(0, title="Trade Decrease Factor", minval=0)
maxLongTradesPerTrend  = math.max(1, baseLongTrades - tradeDecreaseFactor)

activatePineConnector  = input.bool(false, title="Activate PineConnector")
pineConnectorLicense   = input.string("", title="PineConnector License Code")

//-------------------------------------------------------------------
// Indicator calculations
//-------------------------------------------------------------------
emaShort = ta.ema(close, emaShortLength)
emaLong  = ta.ema(close, emaLongLength)
rsiValue = ta.rsi(close, rsiLength)
atrValue = ta.atr(atrLength)

// ATR-based TP & SL
dynamicTP = atrValue * riskRewardRatio
dynamicSL = atrValue * trailingStopMultiplier

rawLongSignal  = emaShort > emaLong and rsiValue < rsiOverbought
rawShortSignal = emaShort < emaLong and rsiValue > rsiOversold

longSignal  = f_confirm(rawLongSignal,  confirmBars)
shortSignal = f_confirm(rawShortSignal, confirmBars)

//-------------------------------------------------------------------
// Dynamic ticker symbol (remove exchange prefix if any)
//-------------------------------------------------------------------
var string dynSymbol = na
if bar_index == 0
    parts     = str.split(syminfo.tickerid, ":")
    dynSymbol := array.size(parts) > 1 ? array.get(parts, 1) : syminfo.tickerid

//-------------------------------------------------------------------
// PineConnector messages (no "lots=" or "contract=" – updated syntax)
// The value after risk= is interpreted as LOTS if EA’s VolumeType = "Lots".
//-------------------------------------------------------------------
prefix        = activatePineConnector and (pineConnectorLicense != "") ? pineConnectorLicense + "," : ""
calculatedLot = lotSize * lotMultiplier  // actual order volume

// ENTRY messages
riskValue = str.tostring(calculatedLot)  // risk= interpreted as lots

txtBuy  = prefix + "buy,"  + dynSymbol + ",risk=" + riskValue
txtSell = prefix + "sell," + dynSymbol + ",risk=" + riskValue

// CLOSE FULL messages
txtCloseLong  = prefix + "closelong,"  + dynSymbol
txtCloseShort = prefix + "closeshort," + dynSymbol

// Helper to compute risk= for partial exits
f_partialRisk(pct) => str.tostring(calculatedLot * pct / 100)

// PARTIAL EXIT messages
msgTP1Long  = prefix + "closelongvol,"  + dynSymbol + ",risk=" + f_partialRisk(tp1ExitPercentage)
msgTP2Long  = prefix + "closelongvol,"  + dynSymbol + ",risk=" + f_partialRisk(tp2ExitPercentage)
msgTP3Long  = prefix + "closelongvol,"  + dynSymbol + ",risk=" + f_partialRisk(tp3ExitPercentage)
msgTP1Short = prefix + "closeshortvol," + dynSymbol + ",risk=" + f_partialRisk(tp1ExitPercentage)
msgTP2Short = prefix + "closeshortvol," + dynSymbol + ",risk=" + f_partialRisk(tp2ExitPercentage)
msgTP3Short = prefix + "closeshortvol," + dynSymbol + ",risk=" + f_partialRisk(tp3ExitPercentage)

//-------------------------------------------------------------------
// Higher-time-frame RSI request
//-------------------------------------------------------------------
higherRsi = request.security(syminfo.tickerid, higherTF, ta.rsi(close, rsiLength))

//-------------------------------------------------------------------
// State variables
//-------------------------------------------------------------------
var bool  inLongTrade       = false
var bool  inShortTrade      = false
var int   longTradeCount    = 0
var float trailingStopLevel = na
var bool  tp1_exited        = false
var bool  tp2_exited        = false
var bool  tp3_exited        = false

//-------------------------------------------------------------------
// Entry/Exit logic
//-------------------------------------------------------------------
if barstate.isconfirmed
    avgVol   = ta.sma(volume, volumeLookback)
    volRatio = avgVol != 0 ? volume / avgVol : 1.0
    adjSL    = dynamicSL / (volRatio * volumeMultiplier)
    pivotH   = ta.pivothigh(high, pivotLookback, pivotLookback)
    pivotL   = ta.pivotlow(low,  pivotLookback, pivotLookback)

    // LONG entry
    if longSignal and not inLongTrade and not inShortTrade and longTradeCount < maxLongTradesPerTrend
        strategy.entry("Long", strategy.long, qty=calculatedLot, comment="Long Entry")
        if activatePineConnector
            alert(txtBuy, alert.freq_once_per_bar)
        inLongTrade  := true
        inShortTrade := false
        longTradeCount += 1
        trailingStopLevel := low - adjSL
        tp1_exited := false
        tp2_exited := false
        tp3_exited := false

    // SHORT entry
    if shortSignal and not inShortTrade and not inLongTrade
        strategy.entry("Short", strategy.short, qty=calculatedLot, comment="Short Entry")
        if activatePineConnector
            alert(txtSell, alert.freq_once_per_bar)
        inShortTrade := true
        inLongTrade  := false
        trailingStopLevel := high + adjSL
        tp1_exited := false
        tp2_exited := false
        tp3_exited := false

    // Trailing-stop update
    if inLongTrade
        baseStop = close - adjSL
        trailingStopLevel := (not na(pivotL) and pivotL > trailingStopLevel) ? pivotL : math.max(trailingStopLevel, baseStop)
    if inShortTrade
        baseStop = close + adjSL
        trailingStopLevel := (not na(pivotH) and pivotH < trailingStopLevel) ? pivotH : math.min(trailingStopLevel, baseStop)

    // Dynamic TPs & partial exits
    if enablePartialExit and strategy.position_size != 0
        avgPrice  = strategy.position_avg_price
        direction = strategy.position_size > 0 ? 1 : -1
        tp1 = avgPrice + direction * dynamicTP * tp1ProfitMult
        tp2 = avgPrice + direction * dynamicTP * tp2ProfitMult
        tp3 = avgPrice + direction * dynamicTP * tp3ProfitMult

        // TP1
        if not tp1_exited and f_confirm(direction > 0 ? close >= tp1 : close <= tp1, confirmBars)
            strategy.exit("TP1", from_entry=direction>0 ? "Long" : "Short", qty_percent=tp1ExitPercentage, limit=tp1, comment=direction>0 ? msgTP1Long : msgTP1Short)
            if activatePineConnector
                alert(direction>0 ? msgTP1Long : msgTP1Short, alert.freq_once_per_bar)
            tp1_exited := true
        // TP2
        if not tp2_exited and f_confirm(direction > 0 ? close >= tp2 : close <= tp2, confirmBars)
            strategy.exit("TP2", from_entry=direction>0 ? "Long" : "Short", qty_percent=tp2ExitPercentage, limit=tp2, comment=direction>0 ? msgTP2Long : msgTP2Short)
            if activatePineConnector
                alert(direction>0 ? msgTP2Long : msgTP2Short, alert.freq_once_per_bar)
            tp2_exited := true
        // TP3
        if not tp3_exited and f_confirm(direction > 0 ? close >= tp3 : close <= tp3, confirmBars)
            strategy.exit("TP3", from_entry=direction>0 ? "Long" : "Short", qty_percent=tp3ExitPercentage, limit=tp3, comment=direction>0 ? msgTP3Long : msgTP3Short)
            if activatePineConnector
                alert(direction>0 ? msgTP3Long : msgTP3Short, alert.freq_once_per_bar)
            tp3_exited := true

    // FULL exit (trailing stop or opposite signals)
    exitCondLong  = inLongTrade  and (close < trailingStopLevel or rsiValue > rsiOverbought or higherRsi > higherRsiOverbought)
    exitCondShort = inShortTrade and (close > trailingStopLevel or rsiValue < rsiOversold   or higherRsi < higherRsiOversold)

    if exitCondLong and f_confirm(exitCondLong, confirmBars)
        strategy.exit("ExitLong", from_entry="Long", stop=trailingStopLevel, comment=txtCloseLong)
        if activatePineConnector
            alert(txtCloseLong, alert.freq_once_per_bar)
        inLongTrade := false

    if exitCondShort and f_confirm(exitCondShort, confirmBars)
        strategy.exit("ExitShort", from_entry="Short", stop=trailingStopLevel, comment=txtCloseShort)
        if activatePineConnector
            alert(txtCloseShort, alert.freq_once_per_bar)
        inShortTrade := false

// Reset counter when the bullish trend ends
if not rawLongSignal
    longTradeCount := 0

//-------------------------------------------------------------------
// Plot & styling
//-------------------------------------------------------------------
plot(emaShort, color=color.blue, linewidth=1, title="EMA Short")
plot(emaLong , color=color.red , linewidth=1, title="EMA Long")
barcolor(inLongTrade ? color.new(color.green,0) : inShortTrade ? color.new(color.red,0) : na)
bgcolor(rawLongSignal ? color.new(color.green,90) : rawShortSignal ? color.new(color.red,90) : na)
// Signal arrows disabled (user request):
// plotshape(longSignal , title="Long signal",  style=shape.triangleup,   location=location.belowbar,  color=color.green, size=size.tiny)
// plotshape(shortSignal, title="Short signal", style=shape.triangledown, location=location.abovebar, color=color.red,   size=size.tiny)

//-------------------------------------------------------------------
// HOW TO USE with PineConnector (quick checklist):
// 1. Attach this script to the chart.
// 2. Click the “Alert” bell → Create Alert.
// 3. Condition: “Scalping Trend Power … (Any alert() call)” (or “Order fills only”).
// 4. Webhook URL: https://webhook.pineconnector.com
// 5. Leave the Message box empty – the script fills it.
// 6. On MT5, run the PineConnector EA on the same symbol (dynSymbol) and keep VolumeType = Lots.
// 7. Enter your License ID in the input and tick “Activate PineConnector”.
//-------------------------------------------------------------------