ダブルインデックス移動平均トレンド追跡とボラティリティインテリジェントフィルタリング戦略

/*backtest
start: 2024-08-01 00:00:00
end: 2025-07-30 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Dubic EMA Strategy", overlay=true, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100,
     initial_capital=10000,
     currency=currency.USD,
     commission_value=0.1,
     pyramiding=0,
     calc_on_every_tick=true)

// Inputs
ema_length = input.int(40, "EMA Length")
tp_percent = input.float(2.0, "Take Profit %", step=0.1, minval=0.1) / 100
sl_offset = input.float(0.5, "Stop Loss Offset %", step=0.1, minval=0.1) / 100

// Toggles for SL/TP
use_take_profit = input.bool(true, "Use Take Profit")
use_stop_loss = input.bool(true, "Use Stop Loss")

// Range Detection
range_length = input.int(20, "Range Detection Length", minval=5)
range_threshold = input.float(2.0, "Range Threshold %", step=0.1) / 100
min_range_bars = input.int(3, "Min Range Bars", minval=1)

// Parabolic SAR
use_parabolic_sar = input.bool(true, "Use Parabolic SAR Trailing Stop")
sar_start = input.float(0.02, "SAR Start", step=0.01)
sar_increment = input.float(0.02, "SAR Increment", step=0.01)
sar_max = input.float(0.2, "SAR Maximum", step=0.01)

// ATR Stop Configuration
use_atr_stop = input.bool(true, "Use ATR Stop Instead of Fixed %")
atr_length = input.int(14, "ATR Length")
atr_mult = input.float(1.5, "ATR Multiplier", minval=0.5)

// Volatility Filter
min_atr = input.float(0.5, "Min ATR % for Trading", step=0.1) / 100
use_volatility_filter = input.bool(true, "Enable Volatility Filter")

// Unbroken Range Visualization
show_unbroken_range = input.bool(true, "Show Unbroken Range Visualization", group="Unbroken Range")
unbroken_length = input.int(20, 'Minimum Range Length', minval=2, group="Unbroken Range")
unbroken_mult = input.float(1., 'Range Width', minval=0, step=0.1, group="Unbroken Range")
unbroken_atrLen = input.int(500, 'ATR Length', minval=1, group="Unbroken Range")
upCss = input.color(#089981, 'Broken Upward', group="Unbroken Range")
dnCss = input.color(#f23645, 'Broken Downward', group="Unbroken Range")
unbrokenCss = input.color(#2157f3, 'Unbroken', group="Unbroken Range")

// Calculate Indicators
ema_high = ta.ema(high, ema_length)
ema_low = ta.ema(low, ema_length)
ema_200 = ta.ema(close, 200)
sar = ta.sar(sar_start, sar_increment, sar_max)
atr = ta.atr(atr_length)

// Volatility Filter
atr_percentage = (atr / close) * 100
sufficient_volatility = not use_volatility_filter or (atr_percentage >= min_atr * 100)

// Range Detection Logic
range_high = ta.highest(high, range_length)
range_low = ta.lowest(low, range_length)
range_size = range_high - range_low
range_percentage = (range_size / close) * 100
range_condition = range_percentage <= (range_threshold * 100)

// Consecutive range bars counter
var int range_bars_count = 0
range_bars_count := range_condition ? range_bars_count + 1 : 0
in_range = range_bars_count >= min_range_bars

// Visualize Range
bgcolor(in_range ? color.new(color.purple, 85) : na, title="Range Zone")
plot(in_range ? range_high : na, "Range High", color=color.purple, linewidth=2, style=plot.style_linebr)
plot(in_range ? range_low : na, "Range Low", color=color.purple, linewidth=2, style=plot.style_linebr)

// Trading Conditions
buy_condition = (close > ema_high) and (close > ema_low)
sell_condition = (close < ema_high) and (close < ema_low)

// Apply Filters
buy_signal = buy_condition and not in_range and sufficient_volatility
sell_signal = sell_condition and not in_range and sufficient_volatility

// Trend State Machine
var int currentTrend = 0  // 0=neutral, 1=long, -1=short
var bool showBuy = false
var bool showSell = false

trendChanged = false
if buy_signal and currentTrend != 1
    currentTrend := 1
    trendChanged := true
    showBuy := true
    showSell := false
else if sell_signal and currentTrend != -1
    currentTrend := -1
    trendChanged := true
    showBuy := false
    showSell := true

// Reset signals
showBuy := nz(showBuy[1]) and not trendChanged ? false : showBuy
showSell := nz(showSell[1]) and not trendChanged ? false : showSell

// Plot Indicators
plot(ema_high, "EMA High", color=color.blue, linewidth=2)
plot(ema_low, "EMA Low", color=color.orange, linewidth=2)
plot(ema_200, "200 EMA", color=color.white, linewidth=3)

// Plot SAR with color coding
color sarColor = strategy.position_size > 0 ? color.red : 
               strategy.position_size < 0 ? color.green : 
               color.gray
plot(use_parabolic_sar ? sar : na, "SAR", style=plot.style_circles, color=sarColor, linewidth=2)

// Plot signals
plotshape(showBuy, title="Buy Signal", text="BUY", style=shape.labelup, 
          location=location.belowbar, color=color.green, textcolor=color.white, size=size.tiny)
plotshape(showSell, title="Sell Signal", text="SELL", style=shape.labeldown, 
          location=location.abovebar, color=color.red, textcolor=color.white, size=size.tiny)

// Strategy Logic
var float long_sl = na
var float long_tp = na
var float short_sl = na
var float short_tp = na
var float long_trail_stop = na
var float short_trail_stop = na

// Position Sizing with Volatility Scaling
position_size = use_volatility_filter ? math.min(100, 100 * (min_atr * 100) / atr_percentage) : 100

// Execute trades
if (showBuy)
    // Calculate stop loss and take profit
    long_sl := use_atr_stop ? close - atr * atr_mult : ema_low * (1 - sl_offset)
    long_tp := close * (1 + tp_percent)
    long_trail_stop := use_parabolic_sar ? sar : na
    
    strategy.close("Short", comment="Exit Short")
    strategy.entry("Long", strategy.long, qty=position_size)
    
    // Set exit orders with toggle support
    if use_stop_loss or use_take_profit
        strategy.exit("Long SL/TP", "Long", 
             stop=use_stop_loss ? long_sl : na, 
             limit=use_take_profit ? long_tp : na)
    
    if use_parabolic_sar
        strategy.exit("Long SAR", "Long", stop=long_trail_stop)
    
    alert("BUY: " + syminfo.ticker, alert.freq_once_per_bar)
    
if (showSell)
    // Calculate stop loss and take profit
    short_sl := use_atr_stop ? close + atr * atr_mult : ema_high * (1 + sl_offset)
    short_tp := close * (1 - tp_percent)
    short_trail_stop := use_parabolic_sar ? sar : na
    
    strategy.close("Long", comment="Exit Long")
    strategy.entry("Short", strategy.short, qty=position_size)
    
    // Set exit orders with toggle support
    if use_stop_loss or use_take_profit
        strategy.exit("Short SL/TP", "Short", 
             stop=use_stop_loss ? short_sl : na, 
             limit=use_take_profit ? short_tp : na)
    
    if use_parabolic_sar
        strategy.exit("Short SAR", "Short", stop=short_trail_stop)
    
    alert("SELL: " + syminfo.ticker, alert.freq_once_per_bar)

// Update SAR trailing stops
if barstate.isrealtime and use_parabolic_sar
    if strategy.position_size > 0
        strategy.exit("Long SAR", "Long", stop=long_trail_stop)
    else if strategy.position_size < 0
        strategy.exit("Short SAR", "Short", stop=short_trail_stop)

// Plot SL/TP levels with toggle support
plot(strategy.position_size > 0 and use_stop_loss ? long_sl : na, "Long Stop", color=color.red, style=plot.style_linebr, linewidth=2)
plot(strategy.position_size > 0 and use_take_profit ? long_tp : na, "Long Take Profit", color=color.green, style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 and use_stop_loss ? short_sl : na, "Short Stop", color=color.red, style=plot.style_linebr, linewidth=2)
plot(strategy.position_size < 0 and use_take_profit ? short_tp : na, "Short Take Profit", color=color.green, style=plot.style_linebr, linewidth=2)

// Plot SAR trailing stops
plot(strategy.position_size > 0 and use_parabolic_sar ? long_trail_stop : na, 
     "Long Trail Stop", color=color.orange, style=plot.style_circles, linewidth=2)
plot(strategy.position_size < 0 and use_parabolic_sar ? short_trail_stop : na, 
     "Short Trail Stop", color=color.orange, style=plot.style_circles, linewidth=2)

// Alerts
alertcondition(showBuy, title="Buy Alert", message="BUY: {{ticker}}")
alertcondition(showSell, title="Sell Alert", message="SELL: {{ticker}}")