インテリジェントな固定額固定投資戦略と証券注文の多段階最適化

/*backtest
start: 2025-06-13 00:00:00
end: 2025-07-13 00:00:00
period: 15m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":200000}]
*/

//@version=5
strategy("Simple DCA Strategy", overlay=true)

// --- Strategy Inputs ---
baseOrderSize = input.float(10, "Base Order Size (USD/Quote Currency)", minval=0.01)
priceDeviation = input.float(1.0, "Price Deviation for Safety Order (%)", minval=0.1) / 100
maxSafetyOrders = input.int(5, "Maximum Safety Orders", minval=0)
takeProfit = input.float(1.0, "Take Profit (%)", minval=0.1) / 100
orderSizeMultiplier = input.float(1.5, "Order Size Multiplier", minval=1.0)

// --- Internal Variables ---
var float lastEntryPrice = na
var int safetyOrderCount = 0
var float totalQuantity = 0.0
var float totalCost = 0.0
var float averageEntryPrice = na

// --- Reset Logic for New Cycles ---
// Reset variables when no open positions (or when strategy is initialized)
if  strategy.position_size == 0
    lastEntryPrice := na
    safetyOrderCount := 0
    totalQuantity := 0.0
    totalCost := 0.0
    averageEntryPrice := na

// --- Entry Logic (Base Order and Safety Orders) ---
// Base Order
if  strategy.position_size == 0
    // Enter a long position with the base order size
    strategy.entry("Base Order", strategy.long, qty=baseOrderSize / close) // Convert USD/Quote Currency to quantity
    lastEntryPrice := close
    totalQuantity := baseOrderSize / close
    totalCost := baseOrderSize
    averageEntryPrice := close
    safetyOrderCount := 0
else
    // Safety Order Logic
    // Check if price has deviated enough and we haven't reached max safety orders
    if low < lastEntryPrice * (1 - priceDeviation) and safetyOrderCount < maxSafetyOrders
        currentOrderSize = baseOrderSize * math.pow(orderSizeMultiplier, safetyOrderCount + 1) // Calculate next order size
        strategy.entry("SO " + str.tostring(safetyOrderCount + 1), strategy.long, qty=currentOrderSize / close)

        // Update tracking variables
        lastEntryPrice := close
        totalQuantity := totalQuantity + (currentOrderSize / close)
        totalCost := totalCost + currentOrderSize
        averageEntryPrice := totalCost / totalQuantity // Recalculate average entry price
        safetyOrderCount := safetyOrderCount + 1

// --- Exit Logic (Take Profit) ---
if strategy.position_size > 0
    // Calculate the target price for take profit
    targetPrice = averageEntryPrice * (1 + takeProfit)

    // Close the position if the current price reaches the target price
    if high >= targetPrice
        strategy.close_all()

// --- Plotting for Visualization ---
plot(averageEntryPrice, "Average Entry Price", color=color.blue, style=plot.style_linebr)
plot(strategy.position_size > 0 ? averageEntryPrice * (1 + takeProfit) : na, "Take Profit Target", color=color.green, style=plot.style_linebr)
plot(strategy.position_size > 0 ? lastEntryPrice * (1 - priceDeviation) : na, "saftyorder", color=color.rgb(175, 91, 76), style=plot.style_linebr)