ボラティリティ最適化RSI平均回帰取引戦略

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

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

//@version=6 
strategy("RSI Mean Reversion", shorttitle="RSI_MR2", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=5, pyramiding=2)

// Input parameters
rsiLength = input.int(14, "RSI Length")
rsiOversold = input.int(30, "RSI Oversold Level")
rsiOverbought = input.int(70, "RSI Overbought Level")
riskPercent = input.float(20.0, "Max Loss Per Trade (%)", minval=1.0, maxval=50.0)
profitTarget = input.float(20.0, "Profit Target (%)", minval=5.0, maxval=100.0)

// Trend analysis parameters
maLength = input.int(50, "Moving Average Length")
trendStrengthPeriod = input.int(20, "Trend Strength Period")
maxTrendStrength = input.float(25.0, "Max Trend Strength % (avoid above this)", minval=5.0, maxval=50.0)

// Calculate indicators
rsi = ta.rsi(close, rsiLength)
ma = ta.sma(close, maLength)

// Trend analysis
trendStrength = math.abs(close - close[trendStrengthPeriod]) / close[trendStrengthPeriod] * 100
isStrongTrend = trendStrength > maxTrendStrength
isUptrend = close > ma
isDowntrend = close < ma
isWeakTrend = trendStrength <= maxTrendStrength

// Market suitability check
priceAboveMA = close > ma
priceBelowMA = close < ma
recentVolatility = ta.stdev(ta.change(close), 20) / close * 100
isVolatileEnough = recentVolatility > 1.0  // At least 1% daily volatility

// Suitability for mean reversion strategy
isSuitableForStrategy = isWeakTrend and isVolatileEnough

// Enhanced RSI signals with trend filtering
longCondition = rsi <= rsiOversold and (isUptrend or isWeakTrend) and isSuitableForStrategy
shortCondition = rsi >= rsiOverbought and (isDowntrend or isWeakTrend) and isSuitableForStrategy

// Exit conditions
longExitCondition = rsi >= rsiOverbought
shortExitCondition = rsi <= rsiOversold

// Prevent overlapping trades
validLong = longCondition and strategy.position_size == 0
validShort = shortCondition and strategy.position_size == 0

// Strategy entries
if validLong
    strategy.entry("Long", strategy.long, comment="RSI Oversold Buy")
    
if validShort
    strategy.entry("Short", strategy.short, comment="RSI Overbought Sell")

// Risk management variables
var float entryPrice = na
var float stopLossPrice = na
var float profitTargetPrice = na

// Set levels when entering a trade
if strategy.position_size != 0 and na(entryPrice)
    entryPrice := strategy.position_avg_price
    stopLossPrice := strategy.position_size > 0 ? entryPrice * (1 - riskPercent/100) : entryPrice * (1 + riskPercent/100)
    profitTargetPrice := strategy.position_size > 0 ? entryPrice * (1 + profitTarget/100) : entryPrice * (1 - profitTarget/100)

// Stop Loss
if strategy.position_size > 0 and close <= stopLossPrice
    strategy.close("Long", comment="Stop Loss")
    entryPrice := na

if strategy.position_size < 0 and close >= stopLossPrice
    strategy.close("Short", comment="Stop Loss")
    entryPrice := na

// Profit Target - Close 100% at 20% profit
if strategy.position_size > 0 and close >= profitTargetPrice
    strategy.close("Long", comment="20% Profit Target")
    entryPrice := na

if strategy.position_size < 0 and close <= profitTargetPrice
    strategy.close("Short", comment="20% Profit Target")
    entryPrice := na

// Signal-based exits (RSI reversal)
if longExitCondition and strategy.position_size > 0
    strategy.close("Long", comment="RSI Exit")
    entryPrice := na

if shortExitCondition and strategy.position_size < 0
    strategy.close("Short", comment="RSI Exit")
    entryPrice := na

// Reset variables when position is closed
if strategy.position_size == 0
    entryPrice := na
    stopLossPrice := na
    profitTargetPrice := na

// Plot moving average and trend analysis
plot(ma, color=isUptrend ? color.green : color.red, linewidth=2, title="Trend MA")
plot(rsi, title="RSI", display=display.none)  // Hidden plot for alerts

// Plot signals
plotshape(validLong, style=shape.labelup, location=location.belowbar, color=color.green, text="BUY", title="Long Signal")
plotshape(validShort, style=shape.labeldown, location=location.abovebar, color=color.red, text="SELL", title="Short Signal")

// Plot risk management levels
plot(strategy.position_size != 0 ? stopLossPrice : na, color=color.red, linewidth=1, title="Stop Loss", style=plot.style_linebr)
plot(strategy.position_size != 0 ? profitTargetPrice : na, color=color.green, linewidth=1, title="20% Profit Target", style=plot.style_linebr)

// Background colors for market conditions
bgcolor(rsi <= rsiOversold and isSuitableForStrategy ? color.new(color.green, 90) : na, title="Good Buy Zone")
bgcolor(rsi >= rsiOverbought and isSuitableForStrategy ? color.new(color.red, 90) : na, title="Good Sell Zone")
bgcolor(isStrongTrend ? color.new(color.orange, 95) : na, title="Strong Trend - Avoid Trading")

// Warning labels for unsuitable conditions
plotshape(isStrongTrend and (rsi <= rsiOversold or rsi >= rsiOverbought), 
          style=shape.xcross, location=location.top, color=color.orange, 
          text="AVOID\nSTRONG TREND", title="Avoid Strong Trend Warning", size=size.small)

plotshape(not isVolatileEnough and (rsi <= rsiOversold or rsi >= rsiOverbought), 
          style=shape.diamond, location=location.top, color=color.gray, 
          text="LOW VOL", title="Low Volatility Warning", size=size.tiny)

// Enhanced info table with market analysis
if strategy.position_size != 0 or not isSuitableForStrategy
    var table infoTable = table.new(position.top_right, 2, 7, bgcolor=color.white, border_width=1)
    table.cell(infoTable, 0, 0, "Position", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 0, strategy.position_size > 0 ? "LONG" : strategy.position_size < 0 ? "SHORT" : "NONE", text_color=color.black)
    table.cell(infoTable, 0, 1, "RSI", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 1, str.tostring(rsi, "#.##"), text_color=color.black)
    table.cell(infoTable, 0, 2, "Trend Strength", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 2, str.tostring(trendStrength, "#.##") + "%", 
               text_color=isStrongTrend ? color.red : color.green)
    table.cell(infoTable, 0, 3, "Volatility", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 3, str.tostring(recentVolatility, "#.##") + "%", 
               text_color=isVolatileEnough ? color.green : color.red)
    table.cell(infoTable, 0, 4, "Market Status", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 4, isSuitableForStrategy ? "GOOD FOR MR" : "AVOID TRADING", 
               text_color=isSuitableForStrategy ? color.green : color.red)
    table.cell(infoTable, 0, 5, "Target", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 5, strategy.position_size != 0 ? str.tostring(profitTargetPrice, "#.###") : "N/A", text_color=color.green)
    table.cell(infoTable, 0, 6, "P&L", text_color=color.black, bgcolor=color.gray)
    table.cell(infoTable, 1, 6, strategy.position_size != 0 ? str.tostring(strategy.openprofit, "#.##") : "N/A", 
               text_color=strategy.openprofit >= 0 ? color.green : color.red)

// Alert conditions for automated trading
alertcondition(validLong, title="RSI Buy Signal", 
               message='BUY {{ticker}} at {{close}} - RSI: {{plot_0}} - Strategy: RSI_MR')

alertcondition(validShort, title="RSI Sell Signal", 
               message='SELL {{ticker}} at {{close}} - RSI: {{plot_0}} - Strategy: RSI_MR')

alertcondition(strategy.position_size > 0 and close >= profitTargetPrice, title="Long Profit Target", 
               message='CLOSE LONG {{ticker}} at {{close}} - Profit Target Hit')

alertcondition(strategy.position_size < 0 and close <= profitTargetPrice, title="Short Profit Target", 
               message='CLOSE SHORT {{ticker}} at {{close}} - Profit Target Hit')

alertcondition(strategy.position_size > 0 and close <= stopLossPrice, title="Long Stop Loss", 
               message='CLOSE LONG {{ticker}} at {{close}} - Stop Loss Hit')

alertcondition(strategy.position_size < 0 and close >= stopLossPrice, title="Short Stop Loss", 
               message='CLOSE SHORT {{ticker}} at {{close}} - Stop Loss Hit')