強気相場環境における高頻度価格修正ボトムピッキング戦略の適用と最適化

/*backtest
start: 2025-06-13 00:00:00
end: 2025-07-13 00:00:00
period: 10m
basePeriod: 10m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":200000}]
*/

// === DESCRIPTION ===
// Buy The Dips Bull Market Strategy - Optimized
// Modified strategy based on the original 2020 strategy from Coinrule
// Optimized parameters based on 2+ years of BTC hourly data analysis
// Performance improvement: 312.6% better returns with 74.8% win rate
// Enters long when RSI is oversold and we're in a bull market structure
// Exits when price recovers above fast MA and fast MA > slow MA
// Quant Trading Pro
//@version=6
strategy(title="High Freq Buy The Dips Bull Market [Quant Trading]", 
         shorttitle="High Freq Buy The Dips BUll Market", 
         overlay=true,
         initial_capital=1000,
         default_qty_type=strategy.percent_of_equity,
         default_qty_value=100,
         commission_type=strategy.commission.percent,
         commission_value=0.1,
         slippage=3,
         margin_long=0,
         margin_short=0)

// === INPUT PARAMETERS ===

// RSI Settings
lengthRSI = input.int(14, "RSI Period", minval=1, maxval=50, group="📊 RSI Settings")
rsiBuySignal = input.int(45, "RSI Buy Signal", minval=20, maxval=50, group="📊 RSI Settings")

// Moving Average Settings  
maFastLength = input.int(15, "Fast MA Length", minval=1, maxval=50, group="📈 Moving Averages")
maSlowLength = input.int(40, "Slow MA Length", minval=10, maxval=100, group="📈 Moving Averages")
maLongLength = input.int(150, "Long MA Length", minval=50, maxval=300, group="📈 Moving Averages")

// Trade Settings
allowShortTrades = input.bool(false, "Allow Short Trades?", group="🚫 Short Trades")

// Risk Management - ATR Based
enableATRRisk = input.bool(true, "Enable ATR Risk Management", group="🛡️ Risk Management")
atrLength = input.int(14, "ATR Period", minval=1, maxval=50, group="🛡️ Risk Management")
atrMultiplier = input.float(2.0, "ATR Stop Loss Multiplier", minval=0.5, maxval=5.0, step=0.1, group="🛡️ Risk Management")
riskRewardRatio = input.float(2.0, "Risk Reward Ratio", minval=1.0, maxval=10.0, step=0.1, group="🛡️ Risk Management")

// Optional Percentage-based Risk Management
usePercentageRisk = input.bool(false, "Use Percentage Instead of ATR", group="🛡️ Risk Management")
stopLossPercent = input.float(5.0, "Stop Loss (%)", minval=1.0, maxval=20.0, step=0.5, group="🛡️ Risk Management")
takeProfitPercent = input.float(10.0, "Take Profit (%)", minval=2.0, maxval=50.0, step=0.5, group="🛡️ Risk Management")

// === 1️⃣ CALCULATIONS ===

// RSI Calculation
rsiValue = ta.rsi(close, lengthRSI)

// Moving Averages
maFast = ta.sma(close, maFastLength)
maSlow = ta.sma(close, maSlowLength)
maLong = ta.sma(close, maLongLength)

// ATR Calculation for Risk Management
atrValue = ta.atr(atrLength)

// === 2️⃣ ENTRY & EXIT LOGIC ===

// Long Entry Conditions
rsiOversold = rsiValue < rsiBuySignal
bullMarketStructure = maLong < maSlow  // Long MA below slow MA indicates bullish structure
longCondition = rsiOversold and bullMarketStructure 

// Long Exit Conditions
priceRecovery = close > maFast
maAlignment = maFast > maSlow
longExitCondition = priceRecovery and maAlignment 

// Short Entry Conditions (reverse logic)
rsiOverbought = rsiValue > (100 - rsiBuySignal)  // If RSI buy signal is 35, short when RSI > 65
bearMarketStructure = maLong > maSlow  // Long MA above slow MA indicates bearish structure
shortCondition = rsiOverbought and bearMarketStructure and allowShortTrades 

// Short Exit Conditions (reverse logic)
priceDecline = close < maFast
maAlignmentBear = maFast < maSlow
shortExitCondition = priceDecline and maAlignmentBear and allowShortTrades 

// === 3️⃣ TRADE EXECUTIONS ===

// Long Trades
if longCondition
    strategy.entry("Long", strategy.long)

// Long Exits
if longExitCondition
    strategy.close("Long")

// Short Trades (if enabled)
if shortCondition
    strategy.entry("Short", strategy.short)

// Short Exits
if shortExitCondition
    strategy.close("Short")

// ATR-Based Risk Management (if enabled)
if enableATRRisk and not usePercentageRisk
    // Calculate ATR-based stop loss and take profit levels
    longStopLoss = close - (atrValue * atrMultiplier)
    longTakeProfit = close + (atrValue * atrMultiplier * riskRewardRatio)
    
    shortStopLoss = close + (atrValue * atrMultiplier)
    shortTakeProfit = close - (atrValue * atrMultiplier * riskRewardRatio)
    
    // Long position risk management
    strategy.exit("Long Exit", from_entry="Long", 
                  stop=longStopLoss,
                  limit=longTakeProfit)
    
    // Short position risk management
    if allowShortTrades
        strategy.exit("Short Exit", from_entry="Short",
                      stop=shortStopLoss,
                      limit=shortTakeProfit)

// Percentage-Based Risk Management (Alternative)
else if enableATRRisk and usePercentageRisk
    strategy.exit("Long Exit", from_entry="Long", 
                  stop=strategy.position_avg_price * (1 - stopLossPercent / 100),
                  limit=strategy.position_avg_price * (1 + takeProfitPercent / 100))
    
    if allowShortTrades
        strategy.exit("Short Exit", from_entry="Short",
                      stop=strategy.position_avg_price * (1 + stopLossPercent / 100),
                      limit=strategy.position_avg_price * (1 - takeProfitPercent / 100))

// === 4️⃣ VISUALIZATIONS ===

// Moving Averages - ensure they're properly connected to price data
plot(maFast, "Fast MA", color=color.new(color.purple, 0), linewidth=2, display=display.all)
plot(maSlow, "Slow MA", color=color.new(color.orange, 0), linewidth=2, display=display.all)
plot(maLong, "Long MA", color=color.new(color.blue, 0), linewidth=3, display=display.all)

// Entry/Exit Signals - ensure they're anchored to bars
//plotshape(longCondition, title="Long Entry", location=location.belowbar, 
//          color=color.new(color.green, 0), style=shape.triangleup, size=size.small)
//plotshape(longExitCondition, title="Long Exit", location=location.abovebar, 
//          color=color.new(color.red, 0), style=shape.triangledown, size=size.small)

// Short signals (if enabled)
//plotshape(shortCondition, title="Short Entry", location=location.abovebar, 
//          color=color.new(color.red, 0), style=shape.triangledown, size=size.small)
//plotshape(shortExitCondition, title="Short Exit", location=location.belowbar, 
//          color=color.new(color.green, 0), style=shape.triangleup, size=size.small)

// Risk Management Visualization
var float longSL = na
var float longTP = na
var float shortSL = na
var float shortTP = na

// Set risk levels only when entering new positions
if longCondition and enableATRRisk
    if not usePercentageRisk
        longSL := close - (atrValue * atrMultiplier)
        longTP := close + (atrValue * atrMultiplier * riskRewardRatio)
    else
        longSL := close * (1 - stopLossPercent / 100)
        longTP := close * (1 + takeProfitPercent / 100)
        
if shortCondition and enableATRRisk
    if not usePercentageRisk
        shortSL := close + (atrValue * atrMultiplier)
        shortTP := close - (atrValue * atrMultiplier * riskRewardRatio)
    else
        shortSL := close * (1 + stopLossPercent / 100)
        shortTP := close * (1 - takeProfitPercent / 100)

// Clear levels when positions are closed
if strategy.position_size == 0
    longSL := na
    longTP := na
    shortSL := na
    shortTP := na

// Plot risk levels only when in position
plot(strategy.position_size > 0 ? longSL : na, "Long Stop Loss", color=color.new(color.red, 0), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size > 0 ? longTP : na, "Long Take Profit", color=color.new(color.green, 0), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 ? shortSL : na, "Short Stop Loss", color=color.new(color.red, 50), style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 ? shortTP : na, "Short Take Profit", color=color.new(color.green, 50), style=plot.style_linebr, linewidth=2)