ウィリアム・アリゲーターのマルチレベル確認取引戦略とRSIの組み合わせ

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

//@version=5
strategy("Natural Gas Alligator RSI Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// =====================================
// INPUTS
// =====================================
// Williams Alligator Settings (default)
jaw_length = input.int(13, title="Jaw Length", minval=1)
jaw_offset = input.int(8, title="Jaw Offset", minval=0)
teeth_length = input.int(8, title="Teeth Length", minval=1)
teeth_offset = input.int(5, title="Teeth Offset", minval=0)
lips_length = input.int(5, title="Lips Length", minval=1)
lips_offset = input.int(3, title="Lips Offset", minval=0)

// RSI Settings (default)
rsi_length = input.int(14, title="RSI Length", minval=1)

// Natural Gas tick size (typically 0.001)
tick_size = input.float(0.001, title="Tick Size", minval=0.0001, step=0.0001)

// =====================================
// INDICATORS
// =====================================
// Williams Alligator
jaw = ta.sma(hl2, jaw_length)[jaw_offset]
teeth = ta.sma(hl2, teeth_length)[teeth_offset]
lips = ta.sma(hl2, lips_length)[lips_offset]

// RSI
rsi = ta.rsi(close, rsi_length)

// =====================================
// PLOT INDICATORS
// =====================================
plot(jaw, "Alligator Jaw", color=color.blue, linewidth=2)
plot(teeth, "Alligator Teeth", color=color.red, linewidth=2)
plot(lips, "Alligator Lips", color=color.green, linewidth=2)

// RSI (plotted in separate pane)
hline(50, "RSI Mid Line", color=color.gray, linestyle=hline.style_dashed)
hline(55, "RSI Buy Level", color=color.green, linestyle=hline.style_dotted)
hline(45, "RSI Sell Level", color=color.red, linestyle=hline.style_dotted)
plot(rsi, "RSI", color=color.purple)

// =====================================
// STRATEGY CONDITIONS
// =====================================

// Buy Conditions
buy_condition_1 = close > lips
buy_condition_2 = lips > teeth
buy_condition_3 = teeth > jaw
buy_condition_4 = rsi > 55

buy_signal = buy_condition_1 and buy_condition_2 and buy_condition_3 and buy_condition_4

// Sell Conditions
sell_condition_1 = close < lips
sell_condition_2 = lips < teeth
sell_condition_3 = teeth < jaw
sell_condition_4 = rsi < 45

sell_signal = sell_condition_1 and sell_condition_2 and sell_condition_3 and sell_condition_4

// Stop Loss Conditions for Long Position
long_stop_condition_1 = rsi < 50
long_stop_condition_2 = ta.crossunder(close, teeth)
long_stop_condition_3 = lips < teeth

long_stop_loss = long_stop_condition_1 or long_stop_condition_2 or long_stop_condition_3

// Stop Loss Conditions for Short Position
short_stop_condition_1 = rsi > 50
short_stop_condition_2 = ta.crossover(close, teeth)
short_stop_condition_3 = lips > teeth

short_stop_loss = short_stop_condition_1 or short_stop_condition_2 or short_stop_condition_3

// =====================================
// STRATEGY EXECUTION
// =====================================

// Variables to track entry prices
var float long_entry_price = na
var float short_entry_price = na

// Long Entry
if buy_signal and strategy.position_size == 0
    strategy.entry("Long", strategy.long)
    long_entry_price := close
    alert("Buy Signal Generated", alert.freq_once_per_bar)

// Short Entry
if sell_signal and strategy.position_size == 0
    strategy.entry("Short", strategy.short)
    short_entry_price := close
    alert("Sell Signal Generated", alert.freq_once_per_bar)

// Long Exit Conditions
if strategy.position_size > 0
    // Take Profit: 2 ticks above entry
    long_take_profit = long_entry_price + (2 * tick_size)
    
    if close >= long_take_profit
        strategy.close("Long", comment="Take Profit")
        alert("Take Profit - Long Position Closed", alert.freq_once_per_bar)
        long_entry_price := na
    
    // Stop Loss
    if long_stop_loss
        strategy.close("Long", comment="Stop Loss")
        alert("Stop Loss - Long Position Closed", alert.freq_once_per_bar)
        long_entry_price := na

// Short Exit Conditions
if strategy.position_size < 0
    // Take Profit: 2 ticks below entry
    short_take_profit = short_entry_price - (2 * tick_size)
    
    if close <= short_take_profit
        strategy.close("Short", comment="Take Profit")
        alert("Take Profit - Short Position Closed", alert.freq_once_per_bar)
        short_entry_price := na
    
    // Stop Loss
    if short_stop_loss
        strategy.close("Short", comment="Stop Loss")
        alert("Stop Loss - Short Position Closed", alert.freq_once_per_bar)
        short_entry_price := na

// =====================================
// CHART LABELS AND ALERTS
// =====================================

// Buy Signal Label
if buy_signal and strategy.position_size == 0
    label.new(bar_index, low - (high - low) * 0.1, "BUY\nSIGNAL", 
              color=color.green, style=label.style_label_up, 
              textcolor=color.white, size=size.small)

// Sell Signal Label
if sell_signal and strategy.position_size == 0
    label.new(bar_index, high + (high - low) * 0.1, "SELL\nSIGNAL", 
              color=color.red, style=label.style_label_down, 
              textcolor=color.white, size=size.small)

// Stop Loss Labels
if strategy.position_size > 0 and long_stop_loss
    label.new(bar_index, high + (high - low) * 0.1, "STOP\nLOSS", 
              color=color.orange, style=label.style_label_down, 
              textcolor=color.white, size=size.small)

if strategy.position_size < 0 and short_stop_loss
    label.new(bar_index, low - (high - low) * 0.1, "STOP\nLOSS", 
              color=color.orange, style=label.style_label_up, 
              textcolor=color.white, size=size.small)

// Take Profit Labels
if strategy.position_size > 0 and not na(long_entry_price) and close >= (long_entry_price + (2 * tick_size))
    label.new(bar_index, high + (high - low) * 0.1, "TAKE\nPROFIT", 
              color=color.blue, style=label.style_label_down, 
              textcolor=color.white, size=size.small)

if strategy.position_size < 0 and not na(short_entry_price) and close <= (short_entry_price - (2 * tick_size))
    label.new(bar_index, low - (high - low) * 0.1, "TAKE\nPROFIT", 
              color=color.blue, style=label.style_label_up, 
              textcolor=color.white, size=size.small)

// =====================================
// TABLE FOR CURRENT CONDITIONS
// =====================================
var table info_table = table.new(position.top_right, 2, 8, bgcolor=color.white, border_width=1)

if barstate.islast
    table.cell(info_table, 0, 0, "Condition", bgcolor=color.gray, text_color=color.white)
    table.cell(info_table, 1, 0, "Status", bgcolor=color.gray, text_color=color.white)
    
    table.cell(info_table, 0, 1, "Close > Lips", bgcolor=color.white)
    table.cell(info_table, 1, 1, buy_condition_1 ? "✓" : "✗", text_color=buy_condition_1 ? color.green : color.red)
    
    table.cell(info_table, 0, 2, "Lips > Teeth", bgcolor=color.white)
    table.cell(info_table, 1, 2, buy_condition_2 ? "✓" : "✗", text_color=buy_condition_2 ? color.green : color.red)
    
    table.cell(info_table, 0, 3, "Teeth > Jaw", bgcolor=color.white)
    table.cell(info_table, 1, 3, buy_condition_3 ? "✓" : "✗", text_color=buy_condition_3 ? color.green : color.red)
    
    table.cell(info_table, 0, 4, "RSI > 55", bgcolor=color.white)
    table.cell(info_table, 1, 4, buy_condition_4 ? "✓" : "✗", text_color=buy_condition_4 ? color.green : color.red)
    
    table.cell(info_table, 0, 5, "RSI < 45", bgcolor=color.white)
    table.cell(info_table, 1, 5, sell_condition_4 ? "✓" : "✗", text_color=sell_condition_4 ? color.red : color.green)
    
    table.cell(info_table, 0, 6, "Current RSI", bgcolor=color.white)
    table.cell(info_table, 1, 6, str.tostring(math.round(rsi, 2)), text_color=color.black)
    
    table.cell(info_table, 0, 7, "Position", bgcolor=color.white)
    position_text = strategy.position_size > 0 ? "LONG" : strategy.position_size < 0 ? "SHORT" : "NONE"
    position_color = strategy.position_size > 0 ? color.green : strategy.position_size < 0 ? color.red : color.gray
    table.cell(info_table, 1, 7, position_text, text_color=position_color)