暗号通貨市場における月の周期に基づいたモメンタム定量取引戦略

/*backtest
start: 2024-08-11 00:00:00
end: 2025-08-09 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("Lunar ETHUSDT Trading 100% Invest with Fee & Slippage (2020~2026)", overlay=true, commission_type=strategy.commission.percent, commission_value=0.1)

// Fee and slippage settings
feePercent = 0.1    // 0.1%
slippageTicks = 3
tickSize = syminfo.mintick
slippage = slippageTicks * tickSize

// Function for lunar new year start date and monthly lengths by year
f_get_lunar_data() =>
    y = year(time)
    if y == 2020
        [timestamp("Asia/Seoul", 2020, 1, 25, 0, 0), array.from(29,30,29,30,29,30,29,30,29,30,30,29)]
    else if y == 2021
        [timestamp("Asia/Seoul", 2021, 2, 12, 0, 0), array.from(30,29,30,29,30,29,30,29,30,29,30,30)]
    else if y == 2022
        [timestamp("Asia/Seoul", 2022, 2, 1, 0, 0), array.from(29,30,29,30,29,30,29,30,30,29,30,29)]
    else if y == 2023
        [timestamp("Asia/Seoul", 2023, 1, 22, 0, 0), array.from(30,29,30,29,30,29,30,30,29,30,29,30)]
    else if y == 2024
        [timestamp("Asia/Seoul", 2024, 2, 10, 0, 0), array.from(30,29,30,29,30,29,30,29,30,29,30,30,29)]
    else if y == 2025
        [timestamp("Asia/Seoul", 2025, 1, 29, 0, 0), array.from(29,30,29,30,29,30,29,30,30,29,30,29)]
    else if y == 2026
        [timestamp("Asia/Seoul", 2026, 2, 17, 0, 0), array.from(30,29,30,29,30,29,30,30,29,30,29,30)]
    else
        [na, array.new_int()]

// Function to create cumulative monthly days array
f_get_lunar_md(days_arr) =>
    arr = array.new_int()
    sum = 0
    for i = 0 to array.size(days_arr) - 1
        sum += array.get(days_arr, i)
        array.push(arr, sum)
    arr

// Get lunar start date and monthly lengths
[ts_start, lunar_lengths] = f_get_lunar_data()
valid = not na(ts_start)
days_since = valid ? math.floor((time - ts_start) / 86400000) : na
cumulative = valid ? f_get_lunar_md(lunar_lengths) : na

// Declare lunar month, day, last day variables
var int lunar_month = na
var int lunar_day = na
var int lunar_last_day = na

// Calculate lunar date
if valid and not na(days_since) and days_since >= 0
    lunar_month := na
    lunar_day := na
    lunar_last_day := na
    for i = 0 to array.size(cumulative) - 1
        cum = array.get(cumulative, i)
        prev = i == 0 ? 0 : array.get(cumulative, i - 1)
        if days_since < cum
            lunar_month := i + 1
            lunar_day := days_since - prev + 1
            lunar_last_day := array.get(lunar_lengths, i)
            break
else
    lunar_month := na
    lunar_day := na
    lunar_last_day := na

// Buy condition: Lunar day 5 and no current position
buy_condition = not na(lunar_day) and lunar_day == 5 and strategy.position_size == 0

// Sell condition: Lunar day 26 and holding position
sell_condition = not na(lunar_day) and lunar_day == 26 and strategy.position_size > 0

// Buy/sell price adjusted for slippage and fee
price_buy = close + slippage
price_buy_with_fee = price_buy * (1 + feePercent * 0.01)

price_sell = close - slippage
price_sell_with_fee = price_sell * (1 - feePercent * 0.01)

// Calculate buy quantity using 100% of equity
qty = math.floor(strategy.equity / price_buy_with_fee)

// Buy order (limit)
if buy_condition and qty > 0
    strategy.entry("Lunar Buy", strategy.long, qty, limit=price_buy)

// Sell order (close all)
if sell_condition and strategy.position_size > 0
    strategy.close("Lunar Buy")

// True range variable (for label position adjustment)
tr = ta.tr(true)

// Date format creation
yr = year(time)
mo = month(time)
dy = dayofmonth(time)
mo_str = mo < 10 ? "0" + str.tostring(mo) : str.tostring(mo)
dy_str = dy < 10 ? "0" + str.tostring(dy) : str.tostring(dy)
solar_str = str.tostring(yr) + "-" + mo_str + "-" + dy_str

// Display solar and lunar date and position label (on bar close)
if barstate.islastconfirmedhistory and not na(lunar_day)
    label.new(bar_index, high - tr * 6,  "Solar: " + solar_str + "\nLunar: " + str.tostring(lunar_month) + "-" + str.tostring(lunar_day) ,
      style=label.style_label_up, size=size.normal, color=color.new(color.teal, 50), textcolor=color.white)

// Display "15" label at bottom on lunar day 15 (lowest of last 50 bars - 1 true range)
if not na(lunar_day) and lunar_day == 15
    low_offset = ta.lowest(low, 50) - tr
    label.new(bar_index, low_offset, "15", style=label.style_label_down, color=color.orange, textcolor=color.white, size=size.normal)