ボラティリティ差標準偏差移動平均クロスオーバー定量戦略

//@version=5
strategy("VoVix DEVMA Clean", shorttitle="VoVix", overlay=false)

//==============================================================================
// VoVix DEVMA Configuration
//==============================================================================
group_devma = "VoVix DEVMA Configuration"
devLen = input.int(59, "Deviation Lookback", minval=15, maxval=60, group=group_devma)
fastVoVixLen = input.int(20, "Fast VoVix Length", minval=10, maxval=50, group=group_devma)
slowVoVixLen = input.int(60, "Slow VoVix Length", minval=30, maxval=100, group=group_devma)

//==============================================================================
// Adaptive Intelligence
//==============================================================================
group_adaptive = "Adaptive Intelligence"
ENABLE_ADAPTIVE = input.bool(true, "Enable Adaptive Features", group=group_adaptive)
ADAPTIVE_TIME_EXIT = input.bool(true, "Adaptive Time-Based Exit", group=group_adaptive)

//==============================================================================
// Intelligent Execution
//==============================================================================
group_execution = "Intelligent Execution"
tradeQty = input.int(1, "Trade Quantity", minval=1, maxval=100, group=group_execution)
USE_SMART_STOPS = input.bool(true, "Smart Stop Loss", group=group_execution)
ATR_SL_MULTIPLIER = input.float(2.0, "Stop Loss ATR Multiplier", minval=0.5, maxval=5.0, step=0.1, group=group_execution)
ATR_TP_MULTIPLIER = input.float(3.0, "Take Profit ATR Multiplier", minval=1.0, maxval=10.0, step=0.1, group=group_execution)
USE_TRAILING_STOP = input.bool(true, "Use Trailing Stop", group=group_execution)
TRAIL_POINTS_MULT = input.float(0.5, "Trail Points ATR Multiplier", minval=0.5, maxval=5.0, step=0.1, group=group_execution)
TRAIL_OFFSET_MULT = input.float(0.5, "Trail Offset ATR Multiplier", minval=0.1, maxval=2.0, step=0.1, group=group_execution)
max_bars_in_trade = input.int(18, "Maximum Bars in Trade", group=group_execution, minval=1, maxval=100)

//==============================================================================
// ADAPTIVE VARIABLES (simplified)
//==============================================================================
var array<float> trade_returns = array.new_float(30)
var array<int> trade_durations = array.new_int(20)
var int total_trades = 0
var float win_rate = 0.5
var int avg_winning_duration = 20
var float adaptive_time_exit_mult = 1.0

// Calculate ATR
atr_value = ta.atr(14)

//==============================================================================
// CORE DEVMA CALCULATIONS
//==============================================================================
vovix_source = (ta.atr(fastVoVixLen) - ta.atr(slowVoVixLen)) / (ta.stdev(ta.atr(fastVoVixLen), devLen) + 1e-6)
dev = ta.stdev(vovix_source, devLen)
fastDEVMA = ta.sma(dev, fastVoVixLen)
slowDEVMA = ta.sma(dev, slowVoVixLen)

//==============================================================================
// SIGNAL LOGIC
//==============================================================================
devma_diff = fastDEVMA - slowDEVMA
bullCross = ta.crossover(fastDEVMA, slowDEVMA) and devma_diff > 0
bearCross = ta.crossunder(fastDEVMA, slowDEVMA) and math.abs(devma_diff) > 0

// Signal strength calculation  
signal_strength = math.abs(devma_diff) / dev * 100
signal_quality = signal_strength > 5.0 ? "ELITE" : signal_strength > 3.0 ? "STRONG" : signal_strength > 1.0 ? "GOOD" : "WEAK"

//==============================================================================
// EXECUTION LOGIC
//==============================================================================
can_enter_new_trade = strategy.position_size == 0

// Apply adaptive time exit 
adaptive_max_bars = max_bars_in_trade
if ENABLE_ADAPTIVE and ADAPTIVE_TIME_EXIT
    if win_rate > 0.85
        adaptive_max_bars := math.round(max_bars_in_trade * adaptive_time_exit_mult * 1.5)
    else if win_rate > 0.75
        adaptive_max_bars := math.round(max_bars_in_trade * adaptive_time_exit_mult * 1.25)
    else
        adaptive_max_bars := math.round(max_bars_in_trade * adaptive_time_exit_mult)

//==============================================================================
// ADAPTIVE MEMORY SYSTEM (simplified)
//==============================================================================
if strategy.closedtrades > strategy.closedtrades[1] and barstate.isconfirmed
    last_trade_pnl = strategy.closedtrades.profit(strategy.closedtrades - 1)
    last_trade_return = last_trade_pnl / strategy.initial_capital
    last_trade_bars = strategy.closedtrades.exit_bar_index(strategy.closedtrades - 1) - strategy.closedtrades.entry_bar_index(strategy.closedtrades - 1)
    
    // Track performance (merged array)
    array.unshift(trade_returns, last_trade_return)
    if array.size(trade_returns) > 30
        array.pop(trade_returns)
    
    // Track trade duration for winners
    if last_trade_pnl > 0
        array.unshift(trade_durations, last_trade_bars)
        if array.size(trade_durations) > 20
            array.pop(trade_durations)
    
    total_trades += 1
    
    // Update win rate
    if array.size(trade_returns) >= 10
        wins = 0
        for i = 0 to array.size(trade_returns) - 1
            if array.get(trade_returns, i) > 0
                wins += 1
        win_rate := wins / array.size(trade_returns)

// Adaptive parameter adjustment
if ENABLE_ADAPTIVE and array.size(trade_returns) >= 5 and total_trades % 3 == 0
    if array.size(trade_durations) > 5
        duration_sum = 0
        for i = 0 to math.min(array.size(trade_durations) - 1, 9)
            duration_sum += array.get(trade_durations, i)
        avg_winning_duration := math.round(duration_sum / math.min(array.size(trade_durations), 10))

    if ADAPTIVE_TIME_EXIT and avg_winning_duration > 0
        adaptive_time_exit_mult := math.max(0.5, math.min(2.0, avg_winning_duration / max_bars_in_trade))

//==============================================================================
// TRADE ENTRY LOGIC
//==============================================================================
// Entry function to reduce code duplication
f_enter_trade(isLong, entryName, exitName, comment) =>
    stop_distance = atr_value * ATR_SL_MULTIPLIER
    profit_distance = atr_value * ATR_TP_MULTIPLIER
    
    stop_loss = USE_SMART_STOPS ? (isLong ? close - stop_distance : close + stop_distance) : na
    take_profit = isLong ? close + profit_distance : close - profit_distance
    
    strategy.entry(entryName, isLong ? strategy.long : strategy.short, qty=tradeQty, comment=comment)
    
    if USE_TRAILING_STOP
        trail_points = atr_value * TRAIL_POINTS_MULT
        trail_offset = atr_value * TRAIL_OFFSET_MULT
        strategy.exit(exitName, entryName, stop=stop_loss, limit=take_profit, trail_points=trail_points, trail_offset=trail_offset)
    else
        strategy.exit(exitName, entryName, stop=stop_loss, limit=take_profit)

// LONG ENTRIES
if bullCross and can_enter_new_trade and barstate.isconfirmed
    f_enter_trade(true, "ExpansionLong", "ExitExpLong", "Expansion→LONG")

// SHORT ENTRIES
if bearCross and can_enter_new_trade and barstate.isconfirmed
    f_enter_trade(false, "ContractionShort", "ExitConShort", "Contraction→SHORT")

// Time-based exit
if strategy.position_size != 0
    bars_in_trade = bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1)
    if bars_in_trade >= adaptive_max_bars and barstate.isconfirmed
        strategy.close_all(comment="Time Exit " + str.tostring(bars_in_trade) + "b")

//==============================================================================
// BASIC PLOTS (CORE STRATEGY LINES ONLY)
//==============================================================================
plot(fastDEVMA, "FastDEVMA", color=fastDEVMA > fastDEVMA[1] ? color.green : color.maroon, linewidth=2)
plot(slowDEVMA, "SlowDEVMA", color=slowDEVMA > slowDEVMA[1] ? color.aqua : color.orange, linewidth=2)
plot(dev, "StdDev", color=color.new(color.purple, 60), linewidth=1)

//==============================================================================
// ALERTS
//==============================================================================
if bullCross
    alert("VoVix EXPANSION: " + signal_quality, alert.freq_once_per_bar)
if bearCross
    alert("VoVix CONTRACTION: " + signal_quality, alert.freq_once_per_bar)