多重指数移動平均と相対力指数トレンドフィルター取引戦略

/*backtest
start: 2024-08-12 00:00:00
end: 2025-08-10 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("EMA20/50/200 + RSI Swing (Trend Filter)", overlay=true, initial_capital=100000, pyramiding=0,
     commission_type=strategy.commission.percent, commission_value=0.05)

// ==== Inputs ====
lenFast   = input.int(20,  "EMA Fast",  minval=1)
lenSlow   = input.int(50,  "EMA Slow",  minval=1)
lenTrend  = input.int(200, "EMA Trend", minval=1)

useLong   = input.bool(true,  "Enable Longs")
useShort  = input.bool(false, "Enable Shorts")

// RSI filter
rsiLen      = input.int(14,  "RSI Length", minval=1)
useRsi      = input.bool(true, "Use RSI Filter")
rsiMaxLong  = input.float(70.0, "Max RSI for Long",  step=0.1)
rsiMinShort = input.float(30.0, "Min RSI for Short", step=0.1)

// Entry confirmation: require close above/below fast & slow EMA
requireCloseConfirm = input.bool(true, "Require close above/below EMA20 & EMA50 for entry")

// Risk Management
riskType   = input.string("ATR", "Stop Basis", options=["ATR","Swing"])
atrLen     = input.int(14, "ATR Length", minval=1)
atrMult    = input.float(2.0, "ATR Multiplier", step=0.1)
swingLen   = input.int(5,  "Swing Lookback (bars)", minval=1)

useTP      = input.bool(true,  "Use Take-Profit (R multiple)")
rr         = input.float(2.0,  "Reward/Risk (TP in R)", step=0.1, minval=0.1)

posSizePct = input.float(10, "Position Size % of Equity", step=0.5, minval=0.1, maxval=100)

exitOnOpposite = input.bool(true, "Exit on opposite EMA cross")

// ==== Indicators ====
emaFast  = ta.ema(close, lenFast)
emaSlow  = ta.ema(close, lenSlow)
emaTrend = ta.ema(close, lenTrend)
rsi      = ta.rsi(close, rsiLen)

// ==== Conditions ====
trendUp   = close > emaTrend
trendDown = close < emaTrend

crossUp   = ta.crossover(emaFast, emaSlow)
crossDown = ta.crossunder(emaFast, emaSlow)

confirmLong  = not requireCloseConfirm or (close > emaFast and close > emaSlow)
confirmShort = not requireCloseConfirm or (close < emaFast and close < emaSlow)

rsiOKLong  = not useRsi or (rsi <= rsiMaxLong)
rsiOKShort = not useRsi or (rsi >= rsiMinShort)

longSignal  = useLong  and trendUp   and crossUp   and confirmLong  and rsiOKLong
shortSignal = useShort and trendDown and crossDown and confirmShort and rsiOKShort

// ==== Stops & Take Profit helpers ====
getLongStop() =>
    float stop = na
    if riskType == "ATR"
        stop := close - ta.atr(atrLen) * atrMult
    else
        stop := ta.lowest(low, swingLen)
    stop

getShortStop() =>
    float stop = na
    if riskType == "ATR"
        stop := close + ta.atr(atrLen) * atrMult
    else
        stop := ta.highest(high, swingLen)
    stop

// ==== Position sizing ====
capital     = strategy.equity
qtyPercent  = posSizePct * 0.01

// ==== Entries & Exits ====
if (longSignal)
    longStop = getLongStop()
    riskPerShare = math.max(close - longStop, syminfo.mintick)
    qty = math.floor((capital * qtyPercent) / riskPerShare)
    strategy.entry("Long", strategy.long, qty)
    tp = useTP ? close + riskPerShare * rr : na
    strategy.exit("Long-Exit", "Long", stop=longStop, limit=tp)

if (shortSignal)
    shortStop = getShortStop()
    riskPerShare = math.max(shortStop - close, syminfo.mintick)
    qty = math.floor((capital * qtyPercent) / riskPerShare)
    strategy.entry("Short", strategy.short, qty)
    tp = useTP ? close - riskPerShare * rr : na
    strategy.exit("Short-Exit", "Short", stop=shortStop, limit=tp)

// Optional exit on opposite cross
if exitOnOpposite
    if strategy.position_size > 0 and crossDown
        strategy.close("Long", comment="Opposite cross")
    if strategy.position_size < 0 and crossUp
        strategy.close("Short", comment="Opposite cross")

// ==== Visuals ====
plot(emaFast,  title="EMA Fast",  linewidth=2)
plot(emaSlow,  title="EMA Slow",  linewidth=2)
plot(emaTrend, title="EMA Trend", color=color.new(color.gray, 0), linewidth=2)

// markers utan text-param
plotshape(longSignal,  title="Long Signal",  style=shape.triangleup,   location=location.belowbar, color=color.new(color.lime, 0), size=size.tiny)
plotshape(shortSignal, title="Short Signal", style=shape.triangledown, location=location.abovebar, color=color.new(color.red,  0), size=size.tiny)

bgcolor(trendUp ? color.new(color.green, 92) : trendDown ? color.new(color.red, 92) : na)

// ==== Alerts ====
alertcondition(longSignal,  title="Long Signal",  message="EMA20 crossed above EMA50 with price > EMA200 and RSI filter OK")
alertcondition(shortSignal, title="Short Signal", message="EMA20 crossed below EMA50 with price < EMA200 and RSI filter OK")

// ==== Notes panel ====
var label note = na
if barstate.islast
    label.delete(note)
    msg = "EMA20/50/200 + RSI Swing\n" +
          "Long: TrendUp & CrossUp & (ConfirmClose=" + str.tostring(requireCloseConfirm) + ") & (RSI<=" + str.tostring(rsiMaxLong) + ")\n" +
          "Short: TrendDown & CrossDown & (ConfirmClose=" + str.tostring(requireCloseConfirm) + ") & (RSI>=" + str.tostring(rsiMinShort) + ")\n" +
          "Stops: " + riskType + (riskType=="ATR" ? " (" + str.tostring(atrLen) + ", x" + str.tostring(atrMult) + ")" : " (swing len=" + str.tostring(swingLen) + ")") +
          (useTP ? " | TP=" + str.tostring(rr) + "R" : " | TP: off")
    note := label.new(bar_index, high, msg, style=label.style_label_upper_left, textcolor=color.white, color=color.new(color.black, 20))