ボラティリティフィルタリングと動的リスク管理を備えたマルチファクターALMA-ATR適応型トレンドフォロー戦略

/*backtest
start: 2024-07-30 00:00:00
end: 2025-07-28 08:00:00
period: 4h
basePeriod: 4h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

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

//@version=5
strategy(title="ALMA Optimized Strategy - Volatilite Filtresi + UT Bot", overlay=true)

// USER INPUTS
fast_ema_length = input.int(20, title="Hızlı EMA Length", minval=5, maxval=40)
atr_length = input(14, title="ATR Length")
ema_length = input(72, title="EMA Length")
adx_length = input.int(10, title="ADX Length")
rsi_length = input(14, title="RSI Length")
rsi_overbought = 70
rsi_oversold = 30
cooldown_bars = input.int(7, title="Cooldown Bars (Same Signal Block)", minval=1)
bb_mult = input.float(3.0, title="Bollinger Band Multiplier")
sl_atr_mult = input.float(5.0, title="Stop Loss Multiplier", minval=0.1)
tp_atr_mult = input.float(4.0, title="Take Profit Multiplier", minval=0.1)
time_based_exit = input.int(0, title="Time Based Exit (Bars)", minval=0)  // 0 is disabled
min_atr = input.float(0.005, title="Minimum ATR", minval=0.0001)  // Minimum ATR value

// Quick EMA Calculation
fast_ema = ta.ema(close, fast_ema_length)
plot(fast_ema, title="Quick EMA", color=color.orange)

// ALMA9 Calculation
alma9 = ta.alma(close, 15, 0.65, 6)
var color almaColor1 = na
almaColor1 := close > alma9 ? color.green : color.red
plot(alma9, title="ALMA9", color=almaColor1)

// EMA 50 Calculation
ema50 = ta.ema(close, ema_length)
plot(ema50, "EMA 50", color=color.blue, linewidth=5)

// ADX Calculation
[_, _, adx] = ta.dmi(adx_length, 14)

// RSI Calculation
rsi = ta.rsi(close, rsi_length)

// ATR Based Stop-Loss and Take-Profit
atr = ta.atr(atr_length)
stop_loss = atr * sl_atr_mult
profit_target = atr * tp_atr_mult

// Bollinger Bands
bb_basis = ta.sma(close, 20)
bb_dev = bb_mult * ta.stdev(close, 20)
bb_upper = bb_basis + bb_dev
bb_lower = bb_basis - bb_dev
plot(bb_upper, "Bollinger Upper", color=#4f0489)
plot(bb_lower, "Bollinger Lower", color=#4f0489)

//Variables to follow the previous signal
var int last_buy_bar = na
var int last_sell_bar = na
var int entry_bar_index = na
var string last_signal = ""

// Volatilite Filter
volatilite_filtresi = atr > min_atr

// BUY Conditions
buy_condition = volatilite_filtresi and close > ema50 and (close > alma9 )  and rsi > rsi_oversold and rsi > 30 and adx > 30 and close < bb_upper and (na(last_buy_bar) or bar_index - last_buy_bar > cooldown_bars) and (last_signal != "BUY")

// SELL Conditions
sell_condition = volatilite_filtresi and ta.crossunder(close, fast_ema) and (last_signal != "SELL") 

if (buy_condition)
    strategy.entry("BUY", strategy.long)
    last_buy_bar := bar_index
    entry_bar_index := bar_index
    last_signal := "BUY"

if (sell_condition)
    strategy.close("BUY")
    strategy.entry("SELL", strategy.short)
    last_sell_bar := bar_index
    last_signal := "SELL"

// Exit Strategy
if time_based_exit > 0
    strategy.exit("BUY_EXIT", from_entry="BUY", loss=stop_loss, profit=profit_target, when=bar_index - entry_bar_index >= time_based_exit)
else
    strategy.exit("BUY_EXIT", from_entry="BUY", loss=stop_loss, profit=profit_target)

strategy.exit("SELL_EXIT", from_entry="SELL", loss=stop_loss, profit=profit_target)

// Sinyalleri Görselleştirme
plotshape(series=buy_condition, location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small, title="BUY Signal", text="BUY", textcolor=#090000)
plotshape(series=sell_condition, location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small, title="SELL Signal", text="SELL", textcolor=#090000)

//----------------------------------------------------------------------------
// UT Bot Inputları
//----------------------------------------------------------------------------

a = input.int(1,     title = "UT Bot: Key Value. 'This changes the sensitivity'")
c = input.int(10,    title = "UT Bot: ATR Period")
h = input.bool(false, title = "UT Bot: Signals from Heikin Ashi Candles")

//----------------------------------------------------------------------------
// UT Bot Calculation
//----------------------------------------------------------------------------

xATR  = ta.atr(c)
nLoss = a * xATR

src = h ? request.security(syminfo.tickerid, timeframe.period, close, lookahead = barmerge.lookahead_on) : close

var float xATRTrailingStop = 0.0
xATRTrailingStop := if src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0)
    math.max(nz(xATRTrailingStop[1]), src - nLoss)
else
    if src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0)
        math.min(nz(xATRTrailingStop[1]), src + nLoss)
    else
        if src > nz(xATRTrailingStop[1], 0)
            src - nLoss
        else
            src + nLoss

var int pos = 0
pos := if src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0)
    1
else
    if src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0)
        -1
    else
        nz(pos[1], 0)

xcolor = pos == -1 ? color.red : pos == 1 ? color.green : color.blue

ema_ut   = ta.ema(src,1)
above = ta.crossover(ema_ut, xATRTrailingStop)
below = ta.crossunder(xATRTrailingStop, ema_ut)

buy_ut  = src > xATRTrailingStop and above
sell_ut = src < xATRTrailingStop and below

barbuy  = src > xATRTrailingStop
barsell = src < xATRTrailingStop

//----------------------------------------------------------------------------
// Alarms (UT Bot Tan)
//----------------------------------------------------------------------------

alertcondition(buy_ut,  "UT Long",  "UT Long")
alertcondition(sell_ut, "UT Short", "UT Short")

//----------------------------------------------------------------------------
// Plots (from UT Bot)
//----------------------------------------------------------------------------

// Making the UT Bot Alert Line Two-Color
linecolor = close > xATRTrailingStop ? color.green : color.red
plot(xATRTrailingStop, color=linecolor, title="ATR Trailing Stop")

// UT Bot Buy/Sell Articles
plotshape(series=buy_condition, location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small, title="BUY Signal", text="BUY", textcolor=#090000)
plotshape(series=sell_condition, location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small, title="SELL Signal", text="SELL", textcolor=#090000)