動的回帰チャネルトレンド追跡定量取引戦略

/*backtest
start: 2024-08-18 00:00:00
end: 2024-11-16 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_OKX","currency":"DOGE_USDT","balance":5000}]
*/

//@version=5
strategy("BTC Trend Parallel Channel Auto Trader — Govind", 
     overlay=true, 
     max_lines_count=200, 
     max_labels_count=500, 
     calc_on_every_tick=true)

// === Inputs ===
tf         = input.timeframe("15", "Signal Timeframe")
len        = input.int(50, "Regression Length", minval=10)
atrLen     = input.int(14, "ATR Length")
widthMult  = input.float(2.0, "Channel Width = ATR ×", step=0.1)
qty        = input.int(1, "Order Quantity", minval=1)
tpFactor   = input.float(1.5, "TP Distance (× Channel Width)", step=0.1) 

// === Series on selected timeframe ===
c     = request.security(syminfo.tickerid, tf, close, lookahead=barmerge.lookahead_off)
atrTF = request.security(syminfo.tickerid, tf, ta.atr(atrLen), lookahead=barmerge.lookahead_off)

// === Linear regression base line (start/end values) ===
y2 = ta.linreg(c, len, 0)
y1 = ta.linreg(c, len, len - 1)

// === Channel width from ATR ===
width  = widthMult * atrTF
y2_up  = y2 + width
y1_up  = y1 + width
y2_lo  = y2 - width
y1_lo  = y1 - width
mid2   = y2
mid1   = y1

// === Persistent drawing handles ===
var line baseLine  = na
var line upperLine = na
var line lowerLine = na
var line midLine   = na

// === Draw/refresh lines on the latest bar ===
if barstate.islast
    if not na(baseLine)
        line.delete(baseLine)
    if not na(upperLine)
        line.delete(upperLine)
    if not na(lowerLine)
        line.delete(lowerLine)
    if not na(midLine)
        line.delete(midLine)



// === Trend & Signals ===
slope    = y2 - y1
upTrend  = slope > 0
downTrend= slope < 0

curUpper = y2_up
curLower = y2_lo
curMid   = y2

// Buy near lower band in uptrend; Sell near upper band in downtrend
buySignal  = upTrend   and c <= curLower + width * 0.20
sellSignal = downTrend and c >= curUpper - width * 0.20

// === Auto SL & TP ===
longSL = curLower
longTP = curMid + (tpFactor * width)

shortSL = curUpper
shortTP = curMid - (tpFactor * width)

// === Strategy Entries with Exits ===
if buySignal
    strategy.entry("Long", strategy.long, qty)
    strategy.exit("Long Exit", from_entry="Long", stop=longSL, limit=longTP)
    alert("BTC Trend Channel BUY", alert.freq_once_per_bar_close)

if sellSignal
    strategy.entry("Short", strategy.short, qty)
    strategy.exit("Short Exit", from_entry="Short", stop=shortSL, limit=shortTP)
    alert("BTC Trend Channel SELL", alert.freq_once_per_bar_close)

// === Visuals ===
plotshape(buySignal,  title="BUY",  style=shape.labelup,   text="BUY",  color=color.new(color.green, 0), location=location.belowbar, size=size.small)
plotshape(sellSignal, title="SELL", style=shape.labeldown, text="SELL", color=color.new(color.red,   0), location=location.abovebar, size=size.small)

// === Debug Plots ===
plot(longSL, "Long SL", color=color.red)
plot(longTP, "Long TP", color=color.green)
plot(shortSL, "Short SL", color=color.red)
plot(shortTP, "Short TP", color=color.green)