動的時間フィルタリングサポートとレジスタンストレーリングストップロス取引システム

/*backtest
start: 2025-08-13 00:00:00
end: 2025-08-20 00:00:00
period: 10m
basePeriod: 10m
exchanges: [{"eid":"Futures_OKX","currency":"ETH_USDT","balance":5000}]
*/

//@version=5
strategy("FlowStateTrader", overlay=true)

// Input Parameters
lookbackPeriod = input.int(20, "Lookback Period for Key Levels", minval=5, maxval=100)
atrPeriod = input.int(14, "ATR Period", minval=5, maxval=50)
atrMultiplierSL = input.float(1.5, "SL ATR Multiplier", minval=0.5, maxval=5.0, step=0.1)
atrMultiplierTP1 = input.float(1.5, "TP1 ATR Multiplier", minval=0.5, maxval=5.0, step=0.1)
atrMultiplierTP2 = input.float(2.0, "TP2 ATR Multiplier", minval=0.5, maxval=5.0, step=0.1)
rewardToRisk = input.float(2.0, "Reward to Risk Ratio", minval=1.0, maxval=5.0, step=0.1)

// Trend Filter Settings
enableTrendFilter = input.bool(true, "Enable Trend Filter")
trendMAPeriod = input.int(20, "Trend MA Period", minval=5, maxval=200)
trendMAType = input.string("EMA", "Trend MA Type", options=["EMA", "SMA"])

// TIME FILTER SETTINGS
enableTimeFilter = input.bool(false, "Enable Time-Based Filter", tooltip="Filter trades based on specific time windows")

// 12-hour format time inputs
startHour12 = input.int(9, "Start Hour (1-12)", minval=1, maxval=12, tooltip="Trading start hour in 12-hour format")
startAMPM = input.string("AM", "Start AM/PM", options=["AM", "PM"])
endHour12 = input.int(4, "End Hour (1-12)", minval=1, maxval=12, tooltip="Trading end hour in 12-hour format") 
endAMPM = input.string("PM", "End AM/PM", options=["AM", "PM"])

// Timezone selection
timeZone = input.string("UTC", "Time Zone", options=["UTC", "EST", "PST", "CST"], tooltip="Time zone for trading hours")

// Additional controls
avoidLunchHour = input.bool(true, "Avoid Lunch Hour (12:00-1:00 PM)", tooltip="Skip trading during typical lunch break")
weekendsOnly = input.bool(false, "Weekends Only", tooltip="Only trade on weekends")
weekdaysOnly = input.bool(false, "Weekdays Only", tooltip="Only trade on weekdays")

// Strategy Settings
entryQty = input.int(10, "Entry Quantity (Contracts)", minval=1, maxval=1000)
enablePartialClose = input.bool(true, "Enable Partial Close at TP1")
partialCloseQty = input.int(1, "Contracts to Close at TP1", minval=1, maxval=100)
enableAlerts = input.bool(true, "Enable Strategy Alerts")

// Dashboard Settings
dashboardSize = input.string("Medium", "Dashboard Size", options=["Small", "Medium", "Large"], tooltip="Control the size of the information dashboard")
enableScorecard = input.bool(true, "Enable Performance Scorecard", tooltip="Show performance metrics in lower right corner")

// Trailing Stop Settings
enableTrailingStop = input.bool(true, "Enable Trailing Stop")
trailMode = input.string("Balanced", "Trailing Stop Mode", options=["Conservative", "Balanced", "Aggressive"], tooltip="Conservative: Protect more profit | Balanced: Good middle ground | Aggressive: Let winners run longer")

// Set trailing parameters based on mode
trailActivationMultiplier = trailMode == "Conservative" ? 0.8 : trailMode == "Balanced" ? 1.0 : 1.2
trailDistanceMultiplier = trailMode == "Conservative" ? 0.6 : trailMode == "Balanced" ? 0.8 : 1.0

// TIME FILTER FUNCTIONS
// Convert 12-hour format to 24-hour format
convertTo24Hour(hour12, ampm) =>
    var int hour24 = na
    if ampm == "AM"
        hour24 := hour12 == 12 ? 0 : hour12
    else // PM
        hour24 := hour12 == 12 ? 12 : hour12 + 12
    hour24

// Convert timezone to UTC offset
getUTCOffset(tz) =>
    var int offset = na
    if tz == "UTC"
        offset := 0
    else if tz == "EST"
        offset := -5  // EST is UTC-5
    else if tz == "CST" 
        offset := -6  // CST is UTC-6
    else if tz == "PST"
        offset := -8  // PST is UTC-8
    offset

getCurrentHour() =>
    hour(time, "UTC")

getCurrentDayOfWeek() =>
    dayofweek(time)

isWeekend() =>
    currentDay = getCurrentDayOfWeek()
    currentDay == dayofweek.saturday or currentDay == dayofweek.sunday

isWeekday() =>
    not isWeekend()

isInTradingWindow() =>
    if not enableTimeFilter
        true
    else
        // Convert 12-hour inputs to 24-hour UTC
        startHour24 = convertTo24Hour(startHour12, startAMPM)
        endHour24 = convertTo24Hour(endHour12, endAMPM)
        utcOffset = getUTCOffset(timeZone)
        
        // Convert local time to UTC
        startHourUTC = (startHour24 - utcOffset + 24) % 24
        endHourUTC = (endHour24 - utcOffset + 24) % 24
        
        currentHour = getCurrentHour()
        
        // Handle trading window logic
        var bool inWindow = false
        
        // Handle same-day window vs overnight window
        if startHourUTC <= endHourUTC
            // Same day window (e.g., 9 AM to 4 PM)
            inWindow := currentHour >= startHourUTC and currentHour <= endHourUTC
        else
            // Overnight window (e.g., 10 PM to 6 AM)
            inWindow := currentHour >= startHourUTC or currentHour <= endHourUTC
        
        // Apply day-of-week filters
        if weekendsOnly and not isWeekend()
            inWindow := false
        if weekdaysOnly and not isWeekday()
            inWindow := false
            
        // Apply lunch hour filter (12:00-1:00 PM in selected timezone)
        if avoidLunchHour and inWindow
            lunchStart24 = 12  // 12 PM
            lunchEnd24 = 13    // 1 PM
            lunchStartUTC = (lunchStart24 - utcOffset + 24) % 24
            lunchEndUTC = (lunchEnd24 - utcOffset + 24) % 24
            
            // Check if current hour falls in lunch period
            if lunchStartUTC <= lunchEndUTC
                // Normal case: lunch doesn't cross midnight
                if currentHour >= lunchStartUTC and currentHour < lunchEndUTC
                    inWindow := false
            else
                // Edge case: lunch period crosses midnight (shouldn't happen but safety check)
                if currentHour >= lunchStartUTC or currentHour < lunchEndUTC
                    inWindow := false
        
        inWindow

// Combined time filter
isGoodTradingTime() =>
    isInTradingWindow()

// ATR and Volume Calculation
atr = ta.atr(atrPeriod)
volumeSMA = ta.sma(volume, atrPeriod)

// Trend Filter
trendMA = enableTrendFilter ? (trendMAType == "EMA" ? ta.ema(close, trendMAPeriod) : ta.sma(close, trendMAPeriod)) : na
isBullishTrend = enableTrendFilter ? close > trendMA : true
isBearishTrend = enableTrendFilter ? close < trendMA : true

// Key Levels Identification (Support & Resistance Zones)
support = ta.lowest(low, lookbackPeriod)
resistance = ta.highest(high, lookbackPeriod)
supportBuffer = support - atr * 0.5
resistanceBuffer = resistance + atr * 0.5

// Define Entry Conditions (with time filter)
isBullishEntry = (close > supportBuffer) and (low <= support) and (volume > volumeSMA) and isBullishTrend and isGoodTradingTime()
isBearishEntry = (close < resistanceBuffer) and (high >= resistance) and (volume > volumeSMA) and isBearishTrend and isGoodTradingTime()

// Calculate Stop Loss and Take Profit Levels
bullishSL = support - atr * atrMultiplierSL
bullishTP1 = support + atr * rewardToRisk * atrMultiplierTP1
bullishTP2 = support + atr * rewardToRisk * atrMultiplierTP2

bearishSL = resistance + atr * atrMultiplierSL
bearishTP1 = resistance - atr * rewardToRisk * atrMultiplierTP1
bearishTP2 = resistance - atr * rewardToRisk * atrMultiplierTP2

// Strategy Position Management
var float longEntryPrice = na
var float shortEntryPrice = na
var bool tp1HitLong = false
var bool tp1HitShort = false

// Trailing Stop Variables
var float longTrailStop = na
var float shortTrailStop = na
var bool longTrailActive = false
var bool shortTrailActive = false

// Calculate position sizing
finalQty = entryQty

// Long Entry
if isBullishEntry and strategy.position_size == 0
    strategy.entry("Long", strategy.long, qty=finalQty)
    longEntryPrice := close
    tp1HitLong := false
    // Reset trailing stop variables
    longTrailStop := na
    longTrailActive := false
    if enableAlerts
        alert("Long Entry Signal at " + str.tostring(close) + " - Qty: " + str.tostring(finalQty), alert.freq_once_per_bar)

// Short Entry
if isBearishEntry and strategy.position_size == 0
    strategy.entry("Short", strategy.short, qty=finalQty)
    shortEntryPrice := close
    tp1HitShort := false
    // Reset trailing stop variables
    shortTrailStop := na
    shortTrailActive := false
    if enableAlerts
        alert("Short Entry Signal at " + str.tostring(close) + " - Qty: " + str.tostring(finalQty), alert.freq_once_per_bar)

// Long Position Management
if strategy.position_size > 0
    // Calculate current profit
    currentProfit = close - strategy.position_avg_price
    profitInATR = currentProfit / atr
    
    // Trailing Stop Logic
    if enableTrailingStop and profitInATR >= trailActivationMultiplier
        // Activate trailing stop
        if not longTrailActive
            longTrailActive := true
            longTrailStop := close - atr * trailDistanceMultiplier
        else
            // Update trailing stop (only move up, never down)
            newTrailStop = close - atr * trailDistanceMultiplier
            longTrailStop := math.max(longTrailStop, newTrailStop)
    
    // Determine which stop loss to use
    effectiveStopLoss = enableTrailingStop and longTrailActive ? longTrailStop : bullishSL
    
    // Stop Loss (either original or trailing)
    strategy.exit("Long SL", "Long", stop=effectiveStopLoss)
    
    // Take Profit 1 (Partial Close by Contracts)
    if enablePartialClose and not tp1HitLong and high >= bullishTP1 and strategy.position_size >= partialCloseQty
        strategy.close("Long", qty=partialCloseQty, comment="Long TP1", immediately=true)
        tp1HitLong := true
    
    // Take Profit 2 (Close Remaining Position) or Full Close if Partial is Disabled
    if (enablePartialClose and tp1HitLong and high >= bullishTP2) or (not enablePartialClose and high >= bullishTP1)
        strategy.close("Long", comment=enablePartialClose ? "Long TP2" : "Long TP1", immediately=true)

// Short Position Management
if strategy.position_size < 0
    // Calculate current profit (for shorts, profit when price goes down)
    currentProfit = strategy.position_avg_price - close
    profitInATR = currentProfit / atr
    
    // Trailing Stop Logic
    if enableTrailingStop and profitInATR >= trailActivationMultiplier
        // Activate trailing stop
        if not shortTrailActive
            shortTrailActive := true
            shortTrailStop := close + atr * trailDistanceMultiplier
        else
            // Update trailing stop (only move down, never up)
            newTrailStop = close + atr * trailDistanceMultiplier
            shortTrailStop := math.min(shortTrailStop, newTrailStop)
    
    // Determine which stop loss to use
    effectiveStopLoss = enableTrailingStop and shortTrailActive ? shortTrailStop : bearishSL
    
    // Stop Loss (either original or trailing)
    strategy.exit("Short SL", "Short", stop=effectiveStopLoss)
    
    // Take Profit 1 (Partial Close by Contracts)
    if enablePartialClose and not tp1HitShort and low <= bearishTP1 and math.abs(strategy.position_size) >= partialCloseQty
        strategy.close("Short", qty=partialCloseQty, comment="Short TP1", immediately=true)
        tp1HitShort := true
    
    // Take Profit 2 (Close Remaining Position) or Full Close if Partial is Disabled
    if (enablePartialClose and tp1HitShort and low <= bearishTP2) or (not enablePartialClose and low <= bearishTP1)
        strategy.close("Short", comment=enablePartialClose ? "Short TP2" : "Short TP1", immediately=true)

// Reset flags when position closes
if strategy.position_size == 0
    tp1HitLong := false
    tp1HitShort := false
    // Reset trailing stop variables
    longTrailStop := na
    shortTrailStop := na
    longTrailActive := false
    shortTrailActive := false

// Visualization - Entry Zones
var box bullishBox = na
var box bearishBox = na
var label bullishZoneLabel = na
var label bearishZoneLabel = na

// Bullish Entry Zone


// Bearish Entry Zone


// Visualization - Risk/Reward Lines for Active Positions
var line longTP1Line = na
var line longTP2Line = na
var line longSLLine = na
var line shortTP1Line = na
var line shortTP2Line = na
var line shortSLLine = na

// Labels for TP/SL Values


// Short Position Lines and Labels


// Support and Resistance Lines
plot(support, "Support", color=color.green, linewidth=1, style=plot.style_line)
plot(resistance, "Resistance", color=color.red, linewidth=1, style=plot.style_line)

// Plot Trend MA if enabled
plot(enableTrendFilter ? trendMA : na, "Trend MA", color=color.blue, linewidth=2)

// Plot Trailing Stops if active
plot(strategy.position_size > 0 and longTrailActive ? longTrailStop : na, "Long Trail Stop", color=color.orange, linewidth=2, style=plot.style_stepline)
plot(strategy.position_size < 0 and shortTrailActive ? shortTrailStop : na, "Short Trail Stop", color=color.orange, linewidth=2, style=plot.style_stepline)