時間範囲ブレイクアウト取引戦略：低ボラティリティ期間に基づく自動モメンタムキャプチャシステム

/*backtest
start: 2025-01-01 00:00:00
end: 2025-03-02 00:00:00
period: 15m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":200000}]
*/

//@version=6
strategy("BTC 15m Range Breakout Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// Input parameters
show_range = input.bool(true, "Show Range Box", group="Display")
range_color = input.color(color.new(color.blue, 80), "Range Box Color", group="Display")

// Session timing inputs
session_start_hour = input.int(19, "Session Start Hour", minval=0, maxval=23, group="Session Timing")
session_start_minute = input.int(0, "Session Start Minute", minval=0, maxval=59, group="Session Timing")
session_end_hour = input.int(5, "Session End Hour", minval=0, maxval=23, group="Session Timing")
session_end_minute = input.int(30, "Session End Minute", minval=0, maxval=59, group="Session Timing")

// Risk-Reward ratio input
rr_ratio = input.float(2.0, "Risk-Reward Ratio", minval=0.5, maxval=10.0, step=0.1, group="Risk Management")

range_start_hour = 19
range_start_minute = 15
range_end_hour = 19
range_end_minute = 30

// Function to check if current time is within session (IST)
is_session_time() =>
    current_hour = hour(time, "Asia/Kolkata")
    current_minute = minute(time, "Asia/Kolkata")
    
    // Check if within session (19:00 to 05:30 IST next day)
    if session_start_hour <= session_end_hour
        current_hour >= session_start_hour and current_hour <= session_end_hour
    else
        current_hour >= session_start_hour or current_hour <= session_end_hour

// Function to check if current time is within range definition period (19:15 to 19:30 IST)
is_range_time() =>
    current_hour = hour(time, "Asia/Kolkata")
    current_minute = minute(time, "Asia/Kolkata")
    
    (current_hour == range_start_hour and current_minute >= range_start_minute and current_minute <= range_end_minute)

// Variables to store range
var float range_high = na
var float range_low = na
var int range_start_time = na
var bool range_defined = false
var bool position_taken = false

// Reset variables at start of new session
new_session = ta.change(time("D")) != 0

if new_session
    range_high := na
    range_low := na
    range_start_time := na
    range_defined := false
    position_taken := false

// Define range during 19:15 to 19:30 IST
if is_range_time() and timeframe.period == "15" and is_session_time()
    if na(range_high) or na(range_low)
        range_high := high
        range_low := low
        range_start_time := time
        range_defined := false
    else
        range_high := math.max(range_high, high)
        range_low := math.min(range_low, low)
    
    // Mark range as defined at 19:30
    if hour(time, "Asia/Kolkata") == 19 and minute(time, "Asia/Kolkata") == 30
        range_defined := true

// Draw range box
var box range_box = na
if show_range and not na(range_high) and not na(range_low) and not na(range_start_time)
    if not na(range_box)
        box.delete(range_box)
    
    

// Strategy logic
if range_defined and is_session_time() and not position_taken and not na(range_high) and not na(range_low)
    
    // Long entry on breakout above range
    if close > range_high and strategy.position_size == 0
        entry_price = close
        sl_price = range_low
        risk = entry_price - sl_price
        tp_price = entry_price + (risk * rr_ratio) // User-defined RR target
        
        strategy.entry("Long", strategy.long)
        strategy.exit("Long Exit", "Long", stop=sl_price, limit=tp_price)
        
        // Long entry alert
        alert("LONG ENTRY: Price " + str.tostring(entry_price, "#.##") + " | SL: " + str.tostring(sl_price, "#.##") + " | TP: " + str.tostring(tp_price, "#.##"), alert.freq_once_per_bar)
        
        // Visual labels
        label.new(bar_index, high, "LONG\nEntry: " + str.tostring(entry_price, "#.##") + "\nSL: " + str.tostring(sl_price, "#.##") + "\nTP: " + str.tostring(tp_price, "#.##"), 
                  style=label.style_label_right, color=color.green, textcolor=color.white, size=size.normal)
        
        position_taken := true
    
    // Short entry on breakout below range
    else if close < range_low and strategy.position_size == 0
        entry_price = close
        sl_price = range_high
        risk = sl_price - entry_price
        tp_price = entry_price - (risk * rr_ratio) // User-defined RR target
        
        strategy.entry("Short", strategy.short)
        strategy.exit("Short Exit", "Short", stop=sl_price, limit=tp_price)
        
        // Short entry alert
        alert("SHORT ENTRY: Price " + str.tostring(entry_price, "#.##") + " | SL: " + str.tostring(sl_price, "#.##") + " | TP: " + str.tostring(tp_price, "#.##"), alert.freq_once_per_bar)
        
        // Visual labels
        label.new(bar_index, low, "SHORT\nEntry: " + str.tostring(entry_price, "#.##") + "\nSL: " + str.tostring(sl_price, "#.##") + "\nTP: " + str.tostring(tp_price, "#.##"), 
                  style=label.style_label_right, color=color.red, textcolor=color.white, size=size.normal)
        
        position_taken := true

// Exit alerts
if strategy.position_size[1] != 0 and strategy.position_size == 0
    if strategy.position_size[1] > 0
        alert("LONG EXIT: Position closed", alert.freq_once_per_bar)
    else
        alert("SHORT EXIT: Position closed", alert.freq_once_per_bar)

// Close positions at end of session (05:30 IST)
if not is_session_time() and strategy.position_size != 0
    strategy.close_all("Session End")

// Plot range levels
plot(range_defined ? range_high : na, "Range High", color=color.red, linewidth=2, style=plot.style_linebr)
plot(range_defined ? range_low : na, "Range Low", color=color.green, linewidth=2, style=plot.style_linebr)

// Background color for range definition period
bgcolor(is_range_time() and is_session_time() ? color.new(color.teal, 70) : na, title="Range Definition Period")

// Background color for session
//bgcolor(is_session_time() ? color.new(color.blue, 95) : na, title="Trading Session")