ATRTSS マルチタイムフレーム ATR トレンド戦略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-08-31 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("ATRTSS v6 (4H Entry / 1H Exit / Daily Filter, Long Only, Multi-TF Lines)",
     shorttitle="ATRTSS v6", overlay=true,
     initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100,
     commission_type=strategy.commission.percent, commission_value=0.0, pyramiding=2)

// ===================
// Inputs
// ===================
atrPeriod     = input.int(10, "ATR Period")
atrMult       = input.float(4.0, "ATR Multiplier")
htfATRPeriod  = input.int(10, "Daily ATR Period")
htfATRMult    = input.float(4.0, "Daily ATR Multiplier")
maxPyramids   = input.int(2, "Max Pyramids", minval=1)

// Optional backtest window
daysBackMax = input.int(360, "Max Days Back to Test", minval=0)
daysBackMin = input.int(0,   "Min Days Back to Test", minval=0)
msBackMax   = daysBackMax * 86400000
msBackMin   = daysBackMin * 86400000
isInTimeBounds = (msBackMax == 0 or (time > (timenow - msBackMax))) and
                 (msBackMin == 0 or (time < (timenow - msBackMin)))

// Helper for non-repainting security pulls
gaps  = barmerge.gaps_off
ahead = barmerge.lookahead_off

// ===================
// 4H ENTRY ATR STOP
// ===================
entryClose = request.security(syminfo.tickerid, "240", close, gaps, ahead)
entryATR   = request.security(syminfo.tickerid, "240", ta.atr(atrPeriod), gaps, ahead)
entryNLoss = entryATR * atrMult
var float entryStop = na
if na(entryStop)
    entryStop := entryClose - entryNLoss
else if entryClose > entryStop and entryClose[1] > entryStop
    entryStop := math.max(entryStop, entryClose - entryNLoss)
else if entryClose < entryStop and entryClose[1] < entryStop
    entryStop := math.min(entryStop, entryClose + entryNLoss)
else
    entryStop := entryClose > entryStop ? entryClose - entryNLoss : entryClose + entryNLoss

plot(entryStop, title="4H ATR Stop (Entry)", color=color.new(color.green, 0), linewidth=2)

// ===================
// 1H EXIT ATR STOP
// ===================
exitClose = request.security(syminfo.tickerid, "60", close, gaps, ahead)
exitATR   = request.security(syminfo.tickerid, "60", ta.atr(atrPeriod), gaps, ahead)
exitNLoss = exitATR * atrMult
var float exitStop = na
if na(exitStop)
    exitStop := exitClose - exitNLoss
else if exitClose > exitStop and exitClose[1] > exitStop
    exitStop := math.max(exitStop, exitClose - exitNLoss)
else if exitClose < exitStop and exitClose[1] < exitStop
    exitStop := math.min(exitStop, exitClose + exitNLoss)
else
    exitStop := exitClose > exitStop ? exitClose - exitNLoss : exitClose + exitNLoss

plot(exitStop, title="1H ATR Stop (Exit)", color=color.new(color.orange, 0), linewidth=2)

// ===================
// DAILY ATR FILTER (locked to D)
// ===================
dClose = request.security(syminfo.tickerid, "D", close, gaps, ahead)
dATR   = request.security(syminfo.tickerid, "D", ta.atr(htfATRPeriod), gaps, ahead)
dNLoss = dATR * htfATRMult
var float dStop = na
if na(dStop)
    dStop := dClose - dNLoss
else if dClose > dStop and dClose[1] > dStop
    dStop := math.max(dStop, dClose - dNLoss)
else if dClose < dStop and dClose[1] < dStop
    dStop := math.min(dStop, dClose + dNLoss)
else
    dStop := dClose > dStop ? dClose - dNLoss : dClose + dNLoss

plot(dStop, title="Daily ATR Stop (Filter)", color=color.new(color.blue, 0), linewidth=2)

htfPassLong = dClose > dStop

// ===================
// Signals (LONG-only)
// ===================
longEntry = ta.crossover(entryClose, entryStop)
longExit  = ta.crossunder(exitClose, exitStop)

// ===================
// Orders
// ===================
if longEntry and htfPassLong and isInTimeBounds and strategy.opentrades < maxPyramids
    strategy.entry("LONG", strategy.long)

if longExit and isInTimeBounds
    strategy.close("LONG")

// ===================
// Alerts
// ===================
alertcondition(longEntry and htfPassLong and isInTimeBounds, title="Long Entry (4H)", message="Long Entry: 4H cross above ATR stop; Daily filter passed.")
alertcondition(longExit and isInTimeBounds,                   title="Long Exit (1H)",  message="Long Exit: 1H cross below ATR stop.")