3段階ボリュームRSIモメンタム反転定量戦略

/*backtest
start: 2025-06-24 00:00:00
end: 2025-07-01 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// Note: Changed version to 5 as //@version=6 is not yet released.
// If you are using a beta version, you can change it back to 6.
strategy("Volume Exhaustion RSI Reversal Strategy", overlay=true, margin_long=100, margin_short=100)

// Volume Conditions for Long
redBar = close < open
greenBar = close > open

// Long volume conditions - CORRECTED with indentation
longVolDecrease = volume[2] > volume[1]
longVolIncrease = volume > volume[1]
longHighestVol = volume[2] >= math.max(volume[1], volume)
longVolumeCondition = redBar[2] and redBar[1] and
     greenBar and
     longVolDecrease and
     longVolIncrease and
     longHighestVol

// RSI Conditions for Long
rsiPeriod = 14
rsiVal = ta.rsi(close, rsiPeriod)

// RSI Trough condition - CORRECTED with indentation
rsiTrough = rsiVal[1] < rsiVal[2] and
     rsiVal[1] < rsiVal and
     rsiVal[1] <= 30
longRsiCondition = rsiTrough

// Long Entry Signal
buySignal = longVolumeCondition and longRsiCondition

// Short Conditions
shortVolDecrease = volume[2] > volume[1]
shortVolIncrease = volume > volume[1]
shortHighestVol = volume[2] >= math.max(volume[1], volume)

// Short volume conditions - CORRECTED with indentation
shortVolumeCondition = greenBar[2] and greenBar[1] and
     redBar and
     shortVolDecrease and
     shortVolIncrease and
     shortHighestVol

// RSI Conditions for Short - CORRECTED with indentation
rsiPeak = rsiVal[1] > rsiVal[2] and
     rsiVal[1] > rsiVal and
     rsiVal[1] >= 70
shortRsiCondition = rsiPeak

// Short Entry Signal
sellSignal = shortVolumeCondition and shortRsiCondition

// Strategy Execution
if (buySignal)
    strategy.entry("Long", strategy.long)
if (sellSignal)
    strategy.entry("Short", strategy.short)

// Visual Signals
plotshape(buySignal, title="Buy Signal", text="BUY",
     style=shape.labelup, location=location.belowbar,
     color=color.new(color.green, 0), size=size.small)
plotshape(sellSignal, title="Sell Signal", text="SELL",
     style=shape.labeldown, location=location.abovebar,
     color=color.new(color.red, 0), size=size.small)

// Optional: Add stop losses
// Note: Using a fixed percentage for exits can be tricky.
// This sets the stop loss 1% away from the closing price OF THE ENTRY BAR.
long_stop_price = strategy.position_avg_price * (1 - 0.01)
short_stop_price = strategy.position_avg_price * (1 + 0.01)

if strategy.position_size > 0
    strategy.exit("Long Exit", "Long", stop=long_stop_price)
if strategy.position_size < 0
    strategy.exit("Short Exit", "Short", stop=short_stop_price)