移動平均クロスオーバーモメンタムフリップ定量取引戦略

/*backtest
start: 2025-06-15 00:00:00
end: 2025-06-21 08:00:00
period: 3m
basePeriod: 3m
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/
// © EnvisionTrades

//@version=5
strategy("DSPLN EMA Flip Strategy v6", overlay=true)

// 🔹 Inputs
startHour = input.int(8, "Start Hour")
startMinute = input.int(30, "Start Minute")
endHour = input.int(10, "End Hour")
endMinute = input.int(30, "End Minute")

useTPSL = input.bool(true, "Use TP/SL?")
tpPoints = input.int(40, "Take Profit (points)")
slPoints = input.int(20, "Stop Loss (points)")

// 🔹 Time Filter
isWithinTradingHours = (hour > startHour or (hour == startHour and minute >= startMinute)) and
                       (hour < endHour or (hour == endHour and minute < endMinute))

// 🔹 Indicators
ema21 = ta.ema(close, 21)
vwap = ta.vwap

plot(ema21, title="21 EMA", color=color.orange)
plot(vwap, title="VWAP", color=color.blue)

// 🔹 State Variables
var int tradesToday = 0
var bool lastTradeWon = false
var float entryPrice = na
var label winLabel = na
var int prevTradeCount = 0

// 🔹 Entry Conditions
longEntry = isWithinTradingHours and close > ema21 and close[1] <= ema21[1]
shortEntry = isWithinTradingHours and close < ema21 and close[1] >= ema21[1]

// 🔹 Exit Conditions
longExit = strategy.position_size > 0 and close < ema21
shortExit = strategy.position_size < 0 and close > ema21

// 🔹 Trade Control
canTrade = tradesToday < 5 and not lastTradeWon

// 🔹 Entry Logic
if canTrade and strategy.position_size == 0 and longEntry
    strategy.entry("Long", strategy.long)
    entryPrice := close
    if useTPSL
        strategy.exit("TP Long", from_entry="Long", stop=close - slPoints * syminfo.mintick, limit=close + tpPoints * syminfo.mintick)

if canTrade and strategy.position_size == 0 and shortEntry
    strategy.entry("Short", strategy.short)
    entryPrice := close
    if useTPSL
        strategy.exit("TP Short", from_entry="Short", stop=close + slPoints * syminfo.mintick, limit=close - tpPoints * syminfo.mintick)

// 🔹 EMA Manual Exit Logic
if longExit
    strategy.close("Long")
    tradesToday += 1
    lastTradeWon := close > entryPrice
    if lastTradeWon
        winLabel := label.new(bar_index, high, "✅ WIN - No More Trades", style=label.style_label_down, color=color.green)

if shortExit
    strategy.close("Short")
    tradesToday += 1
    lastTradeWon := close < entryPrice
    if lastTradeWon
        winLabel := label.new(bar_index, low, "✅ WIN - No More Trades", style=label.style_label_up, color=color.green)

// 🔹 Detect Closed Trades (TP/SL exits)
tradeCount = strategy.closedtrades
if tradeCount > prevTradeCount
    closedProfit = strategy.netprofit - strategy.netprofit[1]
    tradesToday += 1
    lastTradeWon := closedProfit > 0
    if lastTradeWon
        winLabel := label.new(bar_index, high, "✅ TP WIN - No More Trades", style=label.style_label_down, color=color.green)
    prevTradeCount := tradeCount

// 🔹 Reset Daily
if (hour == endHour and minute == endMinute)
    tradesToday := 0
    lastTradeWon := false
    entryPrice := na
    prevTradeCount := 0
    if not na(winLabel)
        label.delete(winLabel)