マルチ期間スイングブレイクアウトATRトラッキング反転定量取引戦略

/*backtest
start: 2024-08-19 00:00:00
end: 2025-08-18 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_OKX","currency":"BTC_USDT","balance":5000}]
*/

//@version=5
strategy("Trend Breakout with Reverse Signals (Working)", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// === Inputs ===
length       = input.int(20, "Swing Lookback")
atrMult      = input.float(1.5, "Stop Loss ATR Multiplier")
trailMult    = input.float(2.0, "Trailing Stop ATR Multiplier")
volumeFilter = input.bool(true, "Use Volume Filter?")
volMult      = input.float(1.5, "Volume Threshold Multiplier")

// === ATR & Volume ===
atr = ta.atr(14)
avgVol = ta.sma(volume, length)

// === Swing High / Low Detection ===
swingHigh = ta.highest(high, length)
swingLow  = ta.lowest(low, length)

// Plot breakout levels
plot(swingHigh, color=color.red, title="Swing High", linewidth=2)
plot(swingLow, color=color.green, title="Swing Low", linewidth=2)

// === Volume Filter ===
volOK = volumeFilter ? volume > avgVol * volMult : true

// === Confirmed Breakouts ===
longBreak  = close[1] <= swingHigh[1] and close > swingHigh[1] and volOK
shortBreak = close[1] >= swingLow[1]  and close < swingLow[1]  and volOK

// === Trailing Stops ===
longTrail  = close - atr * trailMult
shortTrail = close + atr * trailMult

// === Track positions ===
var inLong  = false
var inShort = false

// === Breakout Entries ===
if longBreak and not inLong
    strategy.entry("Long", strategy.long)
    strategy.exit("Long Exit", from_entry="Long", stop=close - atr*atrMult, trail_price=longTrail, trail_offset=atr*trailMult)
    inLong := true
    inShort := false

if shortBreak and not inShort
    strategy.entry("Short", strategy.short)
    strategy.exit("Short Exit", from_entry="Short", stop=close + atr*atrMult, trail_price=shortTrail, trail_offset=atr*trailMult)
    inShort := true
    inLong := false

// === Reverse Signals on Exit ===
longExitSignal  = inLong  and strategy.position_size == 0
shortExitSignal = inShort and strategy.position_size == 0

if longExitSignal
    strategy.entry("Reverse Short", strategy.short)
    inLong := false
    inShort := true

if shortExitSignal
    strategy.entry("Reverse Long", strategy.long)
    inShort := false
    inLong := true

// === Plot Signals on Chart ===
plotshape(longBreak, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.large, text="BUY")
plotshape(shortBreak, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.large, text="SELL")
plotshape(longExitSignal, title="Reverse Short", location=location.abovebar, color=color.orange, style=shape.triangledown, size=size.large, text="REV SELL")
plotshape(shortExitSignal, title="Reverse Long", location=location.belowbar, color=color.blue, style=shape.triangleup, size=size.large, text="REV BUY")

// === Alerts ===
alertcondition(longBreak, title="Long Alert", message="Trend Breakout Long Signal")
alertcondition(shortBreak, title="Short Alert", message="Trend Breakout Short Signal")
alertcondition(longExitSignal, title="Reverse Short Alert", message="Exit Long → Reverse Short Signal")
alertcondition(shortExitSignal, title="Reverse Long Alert", message="Exit Short → Reverse Long Signal")