適応加重移動平均クロスオーバー戦略

/*backtest
start: 2024-06-23 00:00:00
end: 2025-06-21 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("AWMA Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10, calc_on_every_tick=true)

// Inputs
_Period1  = input.int(3,  'WMA1 Period')
_Period2  = input.int(5,  'WMA2 Period')
_Period3  = input.int(8,  'WMA3 Period')
_Period4  = input.int(10, 'WMA4 Period')
_Period5  = input.int(12, 'WMA5 Period')
_Period6  = input.int(15, 'WMA6 Period')
_Period7  = input.int(30, 'WMA7 Period')
_Period8  = input.int(35, 'WMA8 Period')
_Period9  = input.int(40, 'WMA9 Period')
_Period10 = input.int(45, 'WMA10 Period')
_Period11 = input.int(50, 'WMA11 Period')
_Period12 = input.int(60, 'WMA12 Period')

// Calculate WMA
wma1  = ta.wma(close, _Period1)
wma2  = ta.wma(close, _Period2)
wma3  = ta.wma(close, _Period3)
wma4  = ta.wma(close, _Period4)
wma5  = ta.wma(close, _Period5)
wma6  = ta.wma(close, _Period6)
wma7  = ta.wma(close, _Period7)
wma8  = ta.wma(close, _Period8)
wma9  = ta.wma(close, _Period9)
wma10 = ta.wma(close, _Period10)
wma11 = ta.wma(close, _Period11)
wma12 = ta.wma(close, _Period12)

// Max/Min/Average of short and long WMA groups
short_max = math.max(math.max(math.max(math.max(math.max(wma1, wma2), wma3), wma4), wma5), wma6)
short_min = math.min(math.min(math.min(math.min(math.min(wma1, wma2), wma3), wma4), wma5), wma6)
long_max  = math.max(math.max(math.max(math.max(math.max(wma7, wma8), wma9), wma10), wma11), wma12)
long_min  = math.min(math.min(math.min(math.min(math.min(wma7, wma8), wma9), wma10), wma11), wma12)
avg_short = (wma1 + wma2 + wma3 + wma4 + wma5 + wma6) / 6
avg_long  = (wma7 + wma8 + wma9 + wma10 + wma11 + wma12) / 6

// Cross events and trend alignment
bullCross = ta.crossover(short_max, long_min)
bearCross = ta.crossunder(short_max, long_min)
bullAlign = short_min > long_max
bearAlign = short_max < long_min

// State flags
var bool readyLong  = false
var bool readyShort = false
if bullCross
    readyLong := true
if bearCross
    readyShort := true

// Message variables
sym   = syminfo.ticker
tf    = timeframe.period
price = str.tostring(close)

// Entry and Alerts
if barstate.isconfirmed
    if readyLong and bullAlign
        strategy.entry("Long", strategy.long, comment="[AWMA] Long Entry")
        readyLong := false
    if readyShort and bearAlign
        strategy.entry("Short", strategy.short, comment="[AWMA] Short Entry")
        readyShort := false

// Exit conditions: Avg WMA cross
if ta.crossunder(avg_short, avg_long)
    strategy.close("Long", comment="[AWMA] Close Long")
    alert('{"text":"Long position closed\nTicker: ' + sym + '\nTimeframe: ' + tf + '\nAvg Short WMA: ' + str.tostring(avg_short) + '\nAvg Long WMA: ' + str.tostring(avg_long) + '\nClose: ' + price + '"}', alert.freq_once_per_bar_close)
if ta.crossover(avg_short, avg_long)
    strategy.close("Short", comment="[AWMA] Close Short")
    alert('{"text":"Short position closed\nTicker: ' + sym + '\nTimeframe: ' + tf + '\nAvg Short WMA: ' + str.tostring(avg_short) + '\nAvg Long WMA: ' + str.tostring(avg_long) + '\nClose: ' + price + '"}', alert.freq_once_per_bar_close)

// Plotting
plot(wma1,  color=color.new(#4fc3d2, 0), title='Short WMA 1')
plot(wma2,  color=color.new(#4fc3d2, 0), title='Short WMA 2')
plot(wma3,  color=color.new(#4fc3d2, 0), title='Short WMA 3')
plot(wma4,  color=color.new(#4fc3d2, 0), title='Short WMA 4')
plot(wma5,  color=color.new(#4fc3d2, 0), title='Short WMA 5')
plot(wma6,  color=color.new(#4fc3d2, 0), title='Short WMA 6')
plot(wma7,  color=color.new(#fe0d5f, 0), title='Long WMA 1')
plot(wma8,  color=color.new(#fe0d5f, 0), title='Long WMA 2')
plot(wma9,  color=color.new(#fe0d5f, 0), title='Long WMA 3')
plot(wma10, color=color.new(#fe0d5f, 0), title='Long WMA 4')
plot(wma11, color=color.new(#fe0d5f, 0), title='Long WMA 5')
plot(wma12, color=color.new(#fe0d5f, 0), title='Long WMA 6')
// Uncomment if you want to show the averages
// plot(avg_short, color=color.new(#00FF00, 0), title='Avg Short WMA')
// plot(avg_long,  color=color.new(#FF0000, 0), title='Avg Long WMA')