ニューヨークオープン高ボラティリティブレイクアウト戦略定量取引モデル

/*backtest
start: 2025-06-13 00:00:00
end: 2025-06-23 00:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":200000}]
*/

//@version=5
strategy("The Price Model", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// === INPUTS ===
rrRatio         = input.float(2.0, "Take Profit RR", minval=1.0)
showLevels      = input.bool(true, "Show ORB High/Low Levels")
maxTradesPerDay = 8

// === TIME SETUP ===
isNewDay = ta.change(time("D"))
is830    = (hour == 8 and minute == 30)

// === ORB VARIABLES ===
var float orbHigh = na
var float orbLow = na
var bool  orbSet = false
var int   tradeCount = 0
var bool  longSequenceDone = false
var bool  shortSequenceDone = false

if isNewDay
    orbHigh := na
    orbLow := na
    orbSet := false
    tradeCount := 0
    longSequenceDone := false
    shortSequenceDone := false

if is830
    orbHigh := high
    orbLow := low
    orbSet := true

// === RISK/REWARD SETTINGS ===
risk     = orbHigh - orbLow
longTP   = orbHigh + (risk * rrRatio)
shortTP  = orbLow - (risk * rrRatio)
longSL   = orbLow
shortSL  = orbHigh
longBE   = orbHigh + risk
shortBE  = orbLow - risk

// === ENTRY CONDITIONS ===
validLongBreak  = not longSequenceDone and close > orbHigh
validShortBreak = not shortSequenceDone and close < orbLow

longCond  = orbSet and validLongBreak and strategy.opentrades == 0 and tradeCount < maxTradesPerDay
shortCond = orbSet and validShortBreak and strategy.opentrades == 0 and tradeCount < maxTradesPerDay

// === TRADE TRACKING ===
var bool inLong = false
var bool inShort = false
var bool longMovedToBE = false
var bool shortMovedToBE = false

// === STRATEGY ENTRIES ===
if longCond
    strategy.entry("Long", strategy.long)
    inLong := true
    inShort := false
    longMovedToBE := false
    shortMovedToBE := false
    tradeCount += 1
    longSequenceDone := true
    shortSequenceDone := false

if shortCond
    strategy.entry("Short", strategy.short)
    inShort := true
    inLong := false
    longMovedToBE := false
    shortMovedToBE := false
    tradeCount += 1
    shortSequenceDone := true
    longSequenceDone := false

// === LONG MANAGEMENT ===
if inLong
    if not longMovedToBE and close >= longBE
        longMovedToBE := true
    if longMovedToBE
        strategy.exit("Long Exit BE", from_entry="Long", stop=orbHigh, limit=longTP)
    else
        strategy.exit("Long Exit", from_entry="Long", stop=longSL, limit=longTP)
    if longMovedToBE and close <= orbHigh
        inLong := false

// === SHORT MANAGEMENT ===
if inShort
    if not shortMovedToBE and close <= shortBE
        shortMovedToBE := true
    if shortMovedToBE
        strategy.exit("Short Exit BE", from_entry="Short", stop=orbLow, limit=shortTP)
    else
        strategy.exit("Short Exit", from_entry="Short", stop=shortSL, limit=shortTP)
    if shortMovedToBE and close >= orbLow
        inShort := false

// === BLOCK RE-ENTRIES INSIDE ORB ===
if close < orbHigh and close > orbLow
    if longSequenceDone
        longSequenceDone := true
    if shortSequenceDone
        shortSequenceDone := true

// === PLOTTING ===
plotshape(longCond, title="Buy", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(shortCond, title="Sell", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)
plot(showLevels and orbSet ? orbHigh : na, title="ORB High", color=color.green, linewidth=1)
plot(showLevels and orbSet ? orbLow : na, title="ORB Low", color=color.red, linewidth=1)

// === ALERTS ===
alertcondition(longCond, title="Long Entry", message="ORB Long Entry Triggered")
alertcondition(shortCond, title="Short Entry", message="ORB Short Entry Triggered")