ボラティリティ・モメンタムとキャパシティ加重トレンドクロスオーバー戦略

/*backtest
start: 2024-07-14 00:00:00
end: 2025-07-12 08:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":200000}]
*/

// This Pine Script® code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © TiamatCrypto

//@version=5
strategy("Market Entropy Strategy V2.5", 
         overlay=true, 
         initial_capital=10000, 
         default_qty_type=strategy.percent_of_equity, 
         default_qty_value=15, // Slightly more aggressive allocation
         commission_type=strategy.commission.percent,
         commission_value=0.075,
         pyramiding=0) // Allow only one trade in one direction

// --- General Settings ---
trade_direction = input.string("Both", "Trade Direction", options=["Long", "Short", "Both"], group="General Settings")

// --- Inputs for Optimization ---
// VMI Settings
vmi_length = input.int(14, "VMI Length", group="VMI Settings")
atr_period = input.int(10, "ATR Period for VMI", group="VMI Settings")
vmi_calm_zone = input.int(25, "VMI Calm Zone (Entry Level)", group="VMI Settings", step=5)
vmi_chaos_zone = input.int(85, "VMI Chaos Zone (Exit Level)", group="VMI Settings", step=5)

// VWPC Settings
vwpc_length = input.int(50, "VWPC Filter Length", group="VWPC Trend Filter")
setup_lookback = input.int(10, "How far to look for 'Armed' (candles)", group="Entry Logic")

// --- Indicator #1: Volatility Momentum Index (VMI) ---
current_atr = ta.atr(atr_period)
atr_change = current_atr - current_atr[1]
up_accel = atr_change > 0 ? atr_change : 0
down_accel = atr_change < 0 ? -atr_change : 0
avg_up_accel = ta.rma(up_accel, vmi_length)
avg_down_accel = ta.rma(down_accel, vmi_length)
rs_vmi = avg_down_accel == 0 ? 0 : avg_up_accel / avg_down_accel
vmi = avg_down_accel == 0 ? 100 : avg_up_accel == 0 ? 0 : 100 - (100 / (1 + rs_vmi))

// --- Indicator #2: Volume-Weighted Price Center (VWPC) ---
// Function to calculate VWPC
f_vwpc(length) =>
    sum_price_volume = 0.0
    sum_volume = 0.0
    // We use the typical price, which better represents the candle
    typical_price = (high + low + close) / 3
    for i = 0 to length - 1
        sum_price_volume += typical_price[i] * nz(volume[i])
        sum_volume += nz(volume[i])
    sum_volume == 0 ? typical_price : sum_price_volume / sum_volume

vwpc = f_vwpc(vwpc_length)

// --- Strategy Logic ---

// Trend Definition
is_uptrend = close > vwpc
is_downtrend = close < vwpc

// Phase 1: "Armed" Condition (Setup)
// We check if VMI WAS in the calm zone in the recent past
was_calm_recently = ta.barssince(vmi < vmi_calm_zone) < setup_lookback

// Phase 2: "Fire" Condition (Trigger)
// VMI is currently crossing the Calm Zone upwards
trigger_fire = ta.crossover(vmi, vmi_calm_zone)

// Combination for ENTRY
buy_signal = is_uptrend and was_calm_recently and trigger_fire
sell_signal = is_downtrend and was_calm_recently and trigger_fire

// Condition for EXIT ("Exhaustion")
// The same condition applies for both long and short - peak chaos
exit_signal = ta.crossover(vmi, vmi_chaos_zone)

// --- Executing Orders ---
// Entry Conditions
allow_longs = trade_direction == "Long" or trade_direction == "Both"
allow_shorts = trade_direction == "Short" or trade_direction == "Both"

// Entries
if (buy_signal and allow_longs)
    strategy.entry("Buy", strategy.long, comment="Enter LONG (Armed->Fire)")

if (sell_signal and allow_shorts)
    strategy.entry("Sell", strategy.short, comment="Enter SHORT (Armed->Fire)")

// Exits
if (strategy.position_size > 0 and exit_signal)
    strategy.close("Buy", comment="Exit LONG (Chaos)")

if (strategy.position_size < 0 and exit_signal)
    strategy.close("Sell", comment="Exit SHORT (Chaos)")

// --- Plotting on the chart for visual inspection ---
plot(vwpc, "VWPC Center of Gravity", color=color.new(color.yellow, 0), linewidth=2)
plotshape(buy_signal and allow_longs, "LONG Entry", shape.labelup, location.belowbar, color=color.new(color.aqua, 0), text="ENTRY ↑", textcolor=color.white, size=size.small)
plotshape(sell_signal and allow_shorts, "SHORT Entry", shape.labeldown, location.abovebar, color=color.new(color.fuchsia, 0), text="ENTRY ↓", textcolor=color.white, size=size.small)

// Plotting the exit signal for a better overview
exit_marker_y_pos = strategy.position_size > 0 ? high : low
plotshape(series=(exit_signal and strategy.position_size != 0 ? exit_marker_y_pos : na), title="Exit", style=shape.xcross, location=location.absolute, color=color.new(color.orange, 0), size=size.tiny, text="END")