二重移動平均トレンドフォローとADXフィルター取引戦略

/*backtest
start: 2025-06-13 00:00:00
end: 2025-07-13 00:00:00
period: 3m
basePeriod: 3m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":200000}]
*/

//@version=5
strategy("Bitcoin 12/26 EMA Crossover with ADX Filter [5min Intraday]", overlay=true, margin_long=100, margin_short=100)

// Input parameters
ema_short_period = input.int(12, "Short EMA Period", minval=1, tooltip="Period for the short EMA")
ema_long_period = input.int(26, "Long EMA Period", minval=1, tooltip="Period for the long EMA")
stop_loss_pct = input.float(2.0, "Stop Loss %", minval=0.1, step=0.1, tooltip="Stop loss percentage for long and short trades")
take_profit_pct = input.float(3.0, "Take Profit % (Short Trades)", minval=0.1, step=0.1, tooltip="Take profit percentage for short trades")
adx_period = input.int(14, "ADX Period", minval=1, tooltip="Period for ADX calculation")
adx_threshold = input.float(25, "ADX Threshold", minval=10, step=1, tooltip="ADX value above which trades are allowed (indicates trending market)")

// Calculate EMAs
ema_short = ta.ema(close, ema_short_period)
ema_long = ta.ema(close, ema_long_period)

// Custom ADX calculation
// Calculate Directional Movement (DM)
plus_dm = ta.change(high) > ta.change(low) and ta.change(high) > 0 ? ta.change(high) : 0
minus_dm = ta.change(low) > ta.change(high) and ta.change(low) > 0 ? ta.change(low) : 0

// Calculate True Range (TR)
tr = ta.tr

// Smooth DM and TR with EMA
plus_di = ta.ema(100 * plus_dm / (tr == 0 ? 1 : tr), adx_period)
minus_di = ta.ema(100 * minus_dm / (tr == 0 ? 1 : tr), adx_period)

// Calculate Directional Index (DX)
dx = 100 * math.abs(plus_di - minus_di) / (plus_di + minus_di == 0 ? 1 : plus_di + minus_di)

// Smooth DX to get ADX
adx = ta.ema(dx, adx_period)

// Plot EMAs and ADX
plot(ema_short, title="12 EMA", color=color.blue, linewidth=2)
plot(ema_long, title="26 EMA", color=color.red, linewidth=2)
plot(adx, title="ADX", color=color.purple)

// Detect crossovers with ADX filter
buy_signal = ta.crossover(ema_short, ema_long) and adx > adx_threshold
sell_signal = ta.crossunder(ema_short, ema_long) and adx > adx_threshold

// Strategy logic for long trades (buy side)
if buy_signal
    strategy.entry("Long", strategy.long)
    strategy.exit("Exit Long", "Long", stop=strategy.position_avg_price * (1 - stop_loss_pct / 100))

if sell_signal
    strategy.close("Long", comment="Sell")

// Strategy logic for short trades (sell side)
if sell_signal
    strategy.entry("Short", strategy.short)
    strategy.exit("Exit Short", "Short", stop=strategy.position_avg_price * (1 + stop_loss_pct / 100), limit=strategy.position_avg_price * (1 - take_profit_pct / 100))

if buy_signal
    strategy.close("Short", comment="Buy")

// Plot signals
plotshape(buy_signal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(sell_signal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)

// Background highlight
bgcolor(buy_signal ? color.new(color.green, 90) : sell_signal ? color.new(color.red, 90) : na)

// Labels
if buy_signal
    label.new(bar_index, low, "Buy", color=color.green, style=label.style_label_up, textcolor=color.white)
if sell_signal
    label.new(bar_index, high, "Sell", color=color.red, style=label.style_label_down, textcolor=color.white)

// Alert conditions
alertcondition(buy_signal, title="Bitcoin 12/26 EMA Buy", message="12 EMA crossed above 26 EMA with ADX > {{adx_threshold}} on BTC at {{close}}")
alertcondition(sell_signal, title="Bitcoin 12/26 EMA Sell", message="12 EMA crossed below 26 EMA with ADX > {{adx_threshold}} on BTC at {{close}}")