RSIとストキャスティクスRSIダイバージェンス取引戦略

/*backtest
start: 2024-06-26 00:00:00
end: 2025-06-24 08:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("RSI Divergence Strategy", overlay=true)
//strategy("RSI & SRSI Divergence Strategy with EMA & Min Swing Filter + Price Chart Lines", overlay=true)
rsiLength = input.int(14, title="RSI Length")
srsiLength = input.int(14, title="Stochastic RSI Length")
kLength = input.int(3, title="%K Length")
dLength = input.int(3, title="%D Length")
emaLength = input.int(200, title="EMA Length")
lookback = input.int(40, title="Lookback Period for Divergence")
minSwingDistPercent = input.float(1.5, title="Minimum Swing Distance (%)")
minPriceMovePercent = input.float(0.5, title="Minimum Price Move from Last Swing (%)")

rsi = ta.rsi(close, rsiLength)
srsi = ta.stoch(rsi, rsi, rsi, srsiLength)
k = ta.sma(srsi, kLength)
d = ta.sma(k, dLength)
ema200 = ta.ema(close, emaLength)

// === Bullish Regular Divergence ===
var float lastLowPrice = na
var float lastLowRsi = na
var float lastLowSrsi = na
var int lastLowIndex = na
bullishDiv = false
if ta.lowestbars(low, lookback) == 0
    if not na(lastLowPrice) and not na(lastLowRsi) and not na(lastLowSrsi)
        swingDistLow = math.abs(low - lastLowPrice) / lastLowPrice * 100
        priceMoveLow = math.abs(low - lastLowPrice) / lastLowPrice * 100
        if swingDistLow >= minSwingDistPercent and priceMoveLow >= minPriceMovePercent
            if (low < lastLowPrice and rsi > lastLowRsi) or (low < lastLowPrice and k > lastLowSrsi)
                bullishDiv := true

            lastLowPrice := low
            lastLowRsi := rsi
            lastLowSrsi := k
            lastLowIndex := bar_index
    else
        lastLowPrice := low
        lastLowRsi := rsi
        lastLowSrsi := k
        lastLowIndex := bar_index

// === Bearish Regular Divergence ===
var float lastHighPrice = na
var float lastHighRsi = na
var float lastHighSrsi = na
var int lastHighIndex = na
bearishDiv = false
if ta.highestbars(high, lookback) == 0
    if not na(lastHighPrice) and not na(lastHighRsi) and not na(lastHighSrsi)
        swingDistHigh = math.abs(high - lastHighPrice) / lastHighPrice * 100
        priceMoveHigh = math.abs(high - lastHighPrice) / lastHighPrice * 100
        if swingDistHigh >= minSwingDistPercent and priceMoveHigh >= minPriceMovePercent
            if (high > lastHighPrice and rsi < lastHighRsi) or (high > lastHighPrice and k < lastHighSrsi)
                bearishDiv := true
            
            lastHighPrice := high
            lastHighRsi := rsi
            lastHighSrsi := k
            lastHighIndex := bar_index
    else
        lastHighPrice := high
        lastHighRsi := rsi
        lastHighSrsi := k
        lastHighIndex := bar_index

// === Bullish Hidden Divergence ===
bullishHiddenDiv = false
if ta.lowestbars(low, lookback) == 0
    if not na(lastLowPrice) and not na(lastLowRsi) and not na(lastLowSrsi)
        swingDistLowHidden = math.abs(low - lastLowPrice) / lastLowPrice * 100
        priceMoveLowHidden = math.abs(low - lastLowPrice) / lastLowPrice * 100
        if swingDistLowHidden >= minSwingDistPercent and priceMoveLowHidden >= minPriceMovePercent
            if (low > lastLowPrice and rsi < lastLowRsi) or (low > lastLowPrice and k < lastLowSrsi)
                bullishHiddenDiv := true


// === Bearish Hidden Divergence ===
bearishHiddenDiv = false
if ta.highestbars(high, lookback) == 0
    if not na(lastHighPrice) and not na(lastHighRsi) and not na(lastHighSrsi)
        swingDistHighHidden = math.abs(high - lastHighPrice) / lastHighPrice * 100
        priceMoveHighHidden = math.abs(high - lastHighPrice) / lastHighPrice * 100
        if swingDistHighHidden >= minSwingDistPercent and priceMoveHighHidden >= minPriceMovePercent
            if (high < lastHighPrice and rsi > lastHighRsi) or (high < lastHighPrice and k > lastHighSrsi)
                bearishHiddenDiv := true


// === PLOTS ===
plot(ema200, title="EMA 200", color=color.purple, linewidth=2)

// === STRATEGY ENTRIES ===
if bullishDiv or bullishHiddenDiv
    strategy.entry("Long", strategy.long)
if bearishDiv or bearishHiddenDiv
    strategy.entry("Short", strategy.short)