複数期間、複数指標、高頻度のダイナミックな画期的な定量取引戦略

/*backtest
start: 2024-08-04 00:00:00
end: 2025-08-02 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

//@version=5
strategy("Scalper TURBO", overlay=true, initial_capital=1000, 
         default_qty_type=strategy.percent_of_equity, default_qty_value=50,
         calc_on_every_tick=true, process_orders_on_close=false)

// ==================== PERFORMANCE OPTIMIZATIONS ====================
// Pre-calculate constants to avoid repeated calculations
const int MINUTES_PER_HOUR = 60

// ==================== INPUT PARAMETERS ====================
// Technical Parameters
emaFastLen    = input.int(34, "EMA Rápida", minval=1)
emaSlowLen    = input.int(63, "EMA Lenta", minval=1)
smaLen        = input.int(34, "SMA Filtro", minval=1)
rsiLen        = input.int(14, "Periodo RSI", minval=1)
rsiOverbought = input.int(70, "RSI Sobrecompra", minval=1, maxval=100)
rsiOversold   = input.int(30, "RSI Sobreventa", minval=1, maxval=100)
breakoutPeriod = input.int(1, "Periodos para Breakout", minval=1)
atrLen        = input.int(14, "Periodo ATR", minval=1)
atrMultSL     = input.float(3, "Multiplicador ATR Stop-Loss", step=0.1)
atrMultTrail  = input.float(3, "Multiplicador ATR Trailing Stop", step=0.1)

// ==================== TIME FILTER SETTINGS ====================
var g_timefilters = "Time Filters"

// Time Filter Arrays for faster processing
useTimeFilter = array.new_bool(4)
startHour = array.new_int(4)
startMin = array.new_int(4)
endHour = array.new_int(4)
endMin = array.new_int(4)

// Time Filter 1
array.set(useTimeFilter, 0, input.bool(false, "Enable Time Filter 1", group=g_timefilters))
array.set(startHour, 0, input.int(9, "Start Hour", minval=0, maxval=23, group=g_timefilters, inline="tf1start"))
array.set(startMin, 0, input.int(0, "Start Minute", minval=0, maxval=59, group=g_timefilters, inline="tf1start"))
array.set(endHour, 0, input.int(11, "End Hour", minval=0, maxval=23, group=g_timefilters, inline="tf1end"))
array.set(endMin, 0, input.int(30, "End Minute", minval=0, maxval=59, group=g_timefilters, inline="tf1end"))

// Time Filter 2
array.set(useTimeFilter, 1, input.bool(false, "Enable Time Filter 2", group=g_timefilters))
array.set(startHour, 1, input.int(13, "Start Hour", minval=0, maxval=23, group=g_timefilters, inline="tf2start"))
array.set(startMin, 1, input.int(30, "Start Minute", minval=0, maxval=59, group=g_timefilters, inline="tf2start"))
array.set(endHour, 1, input.int(15, "End Hour", minval=0, maxval=23, group=g_timefilters, inline="tf2end"))
array.set(endMin, 1, input.int(0, "End Minute", minval=0, maxval=59, group=g_timefilters, inline="tf2end"))

// Time Filter 3
array.set(useTimeFilter, 2, input.bool(false, "Enable Time Filter 3", group=g_timefilters))
array.set(startHour, 2, input.int(16, "Start Hour", minval=0, maxval=23, group=g_timefilters, inline="tf3start"))
array.set(startMin, 2, input.int(0, "Start Minute", minval=0, maxval=59, group=g_timefilters, inline="tf3start"))
array.set(endHour, 2, input.int(18, "End Hour", minval=0, maxval=23, group=g_timefilters, inline="tf3end"))
array.set(endMin, 2, input.int(30, "End Minute", minval=0, maxval=59, group=g_timefilters, inline="tf3end"))

// Time Filter 4
array.set(useTimeFilter, 3, input.bool(false, "Enable Time Filter 4", group=g_timefilters))
array.set(startHour, 3, input.int(20, "Start Hour", minval=0, maxval=23, group=g_timefilters, inline="tf4start"))
array.set(startMin, 3, input.int(0, "Start Minute", minval=0, maxval=59, group=g_timefilters, inline="tf4start"))
array.set(endHour, 3, input.int(22, "End Hour", minval=0, maxval=23, group=g_timefilters, inline="tf4end"))
array.set(endMin, 3, input.int(30, "End Minute", minval=0, maxval=59, group=g_timefilters, inline="tf4end"))

// ==================== PINECONNECTOR SETTINGS ====================
var g_connector = "PineConnector Settings"
pcID = input.string(" ", "Pine Connector ID", group=g_connector)
symbolName = input.string("XAUUSD", "Symbol Name", tooltip="Symbol exactly as it appears in your MT5", group=g_connector)
lotSize = input.float(0.01, "Lot Size", step=0.01, group=g_connector)
enableRealTrading = input.bool(true, "Enable Real Trading", group=g_connector)
useFastExecution = input.bool(true, "Use Fast Execution Mode", group=g_connector)
showLabels = input.bool(true, "Show Info Labels", group=g_connector)

// Risk Management
useStopLoss = input.bool(true, "Use Stop Loss", group=g_connector)
useTakeProfit = input.bool(true, "Use Take Profit", group=g_connector)
useTrailingStop = input.bool(false, "Use Trailing Stop", group=g_connector)
stopLossATRMult = input.float(3, "Stop Loss ATR Multiple", step=0.1, group=g_connector)
takeProfitATRMult = input.float(3, "Take Profit ATR Multiple", step=0.1, group=g_connector)
trailingStopATRMult = input.float(3, "Trailing Stop ATR Multiple", step=0.1, group=g_connector)

// ==================== OPTIMIZED TIME FILTER FUNCTION ====================
// Cache current time components
currentHour = hour(time)
currentMin = minute(time)
currentTimeMinutes = currentHour * MINUTES_PER_HOUR + currentMin

// Optimized time check function
isTimeAllowed() =>
    anyEnabled = false
    timeOK = false
    
    for i = 0 to 3
        if array.get(useTimeFilter, i)
            anyEnabled := true
            startTimeMin = array.get(startHour, i) * MINUTES_PER_HOUR + array.get(startMin, i)
            endTimeMin = array.get(endHour, i) * MINUTES_PER_HOUR + array.get(endMin, i)
            
            inRange = startTimeMin <= endTimeMin ? 
                     (currentTimeMinutes >= startTimeMin and currentTimeMinutes <= endTimeMin) :
                     (currentTimeMinutes >= startTimeMin or currentTimeMinutes <= endTimeMin)
            
            if inRange
                timeOK := true
                break
    
    not anyEnabled or timeOK

// ==================== CACHED INDICATOR CALCULATIONS ====================
// Calculate indicators only once per bar
emaFast = ta.ema(close, emaFastLen)
emaSlow = ta.ema(close, emaSlowLen)
sma34   = ta.sma(close, smaLen)
rsi     = ta.rsi(close, rsiLen)
atr     = ta.atr(atrLen)

// Support/Resistance with caching
var float resistenciaReciente = na
var float soporteReciente = na
if barstate.isconfirmed
    resistenciaReciente := ta.highest(high, breakoutPeriod)[1]
    soporteReciente := ta.lowest(low, breakoutPeriod)[1]

// ==================== SIGNAL CONDITIONS ====================
// Pre-calculate all conditions
tendenciaAlcista = emaFast > emaSlow
tendenciaBajista = emaFast < emaSlow
rsiNotOverbought = rsi < rsiOverbought
rsiNotOversold = rsi > rsiOversold
priceAboveSMA = close > sma34
priceBelowSMA = close < sma34
timeAllowed = isTimeAllowed()

// Breakout conditions
breakoutUp = close > resistenciaReciente
breakoutDown = close < soporteReciente

// Final entry conditions - simplified logic
longSignal = breakoutUp and tendenciaAlcista and rsiNotOverbought and priceAboveSMA and timeAllowed
shortSignal = breakoutDown and tendenciaBajista and rsiNotOversold and priceBelowSMA and timeAllowed

// ==================== POSITION MANAGEMENT ====================
// Efficient position tracking
var int currentPosition = 0  // 1 = long, -1 = short, 0 = flat
var bool positionChanged = false
var string pendingAlert = ""

// Detect position changes
newLong = longSignal and currentPosition <= 0
newShort = shortSignal and currentPosition >= 0

// ==================== OPTIMIZED ALERT SYSTEM ====================
// Pre-build alert components for faster execution
stopPips = useStopLoss ? str.tostring(math.round(atr * stopLossATRMult * 100)) : ""
tpPips = useTakeProfit ? str.tostring(math.round(atr * takeProfitATRMult * 100)) : ""
trailPips = useTrailingStop ? str.tostring(math.round(atr * trailingStopATRMult * 100)) : ""

// Build risk management string once
riskParams = useStopLoss ? ",sl=" + stopPips : ""
riskParams += useTakeProfit ? ",tp=" + tpPips : ""
riskParams += useTrailingStop ? ",trailingstop=" + trailPips : ""

// ==================== FAST EXECUTION MODE ====================
if enableRealTrading
    // LONG ENTRY
    if newLong
        // Close short first if needed
        if currentPosition < 0
            alert(pcID + ",closeshort," + symbolName, alert.freq_once_per_bar)
        
        // Enter long
        strategy.entry("Long", strategy.long)
        longAlert = pcID + ",buy," + symbolName + ",risk=" + str.tostring(lotSize) + riskParams
        alert(longAlert, useFastExecution ? alert.freq_once_per_bar : alert.freq_once_per_bar_close)
        currentPosition := 1
    
    // SHORT ENTRY
    else if newShort
        // Close long first if needed
        if currentPosition > 0
            alert(pcID + ",closelong," + symbolName, alert.freq_once_per_bar)
        
        // Enter short
        strategy.entry("Short", strategy.short)
        shortAlert = pcID + ",sell," + symbolName + ",risk=" + str.tostring(lotSize) + riskParams
        alert(shortAlert, useFastExecution ? alert.freq_once_per_bar : alert.freq_once_per_bar_close)
        currentPosition := -1
else
    // Backtest mode
    if newLong
        strategy.entry("Long", strategy.long)
        currentPosition := 1
    else if newShort
        strategy.entry("Short", strategy.short)
        currentPosition := -1

// ==================== STOP LOSS MANAGEMENT ====================
// Calculate stops only when in position
if currentPosition != 0
    if currentPosition > 0
        stopLong = strategy.position_avg_price - atr * atrMultSL
        strategy.exit("Exit Long", "Long", stop=stopLong, trail_points=atr * atrMultTrail, trail_offset=atr * atrMultTrail)
    else
        stopShort = strategy.position_avg_price + atr * atrMultSL
        strategy.exit("Exit Short", "Short", stop=stopShort, trail_points=atr * atrMultTrail, trail_offset=atr * atrMultTrail)

// Detect exits
if strategy.position_size == 0 and currentPosition != 0
    if enableRealTrading
        exitAlert = currentPosition > 0 ? pcID + ",closelong," + symbolName : pcID + ",closeshort," + symbolName
        alert(exitAlert, alert.freq_once_per_bar)
    currentPosition := 0