マルチタイムフレームのオープニングレンジブレイクアウトと公正価値ギャップの定量取引戦略

/*backtest
start: 2025-09-15 00:00:00
end: 2025-10-14 08:00:00
period: 5m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":500000}]
*/

//@version=5
strategy("XAUUSD 5-Min ORB + FVG (09:30–10:30, 1/day, 5% risk, ORB SL)",
     overlay=true)

// ===== Inputs =====
RR           = input.float(2.0, "Risk-Reward Ratio", step=0.1)
RiskPct      = input.float(5.0, "Risk % per Trade", step=0.5, minval=0.1, maxval=50)
SessionStr   = input("0930-1030", "Trading Session (chart TZ)")
SL_Buffer    = input.float(0.50, "SL Buffer (price units)", step=0.01)  // e.g., 0.50 on XAUUSD

// ===== Session filter (uses chart timezone; set chart TZ to UTC-4 to match you) =====
inSession = not na(time(timeframe.period, SessionStr))

// ===== 5-minute series (to build the opening range) =====
h5    = request.security(syminfo.tickerid, "5", high)
l5    = request.security(syminfo.tickerid, "5", low)
conf5 = request.security(syminfo.tickerid, "5", barstate.isconfirmed)

// Build a 5m session state matching the same 09:30–10:30 window, but on 5m bars
inSess5 = request.security(syminfo.tickerid, "5", not na(time("5", SessionStr)))
firstBarOpen5 = inSess5 and not inSess5[1]  // first 5m bar of the window (at its OPEN)

// ==== ORB state ====
var float ORBHigh = na
var float ORBLow  = na
var bool  ORBSet  = false

// Wait for the first 5m bar of the session to close, then lock its H/L as the ORB
var bool waitClose = false
if firstBarOpen5
    ORBSet := false
    waitClose := true
if waitClose and conf5
    ORBHigh := h5
    ORBLow  := l5
    ORBSet := true
    waitClose := false

// ===== One trade per day logic (resets at day change in chart TZ) =====
var bool TradedToday = false
if ta.change(time("D"))
    TradedToday := false

// ===== 1-minute series for breakout + FVG =====
h1 = request.security(syminfo.tickerid, "1", high)
l1 = request.security(syminfo.tickerid, "1", low)
c1 = request.security(syminfo.tickerid, "1", close)

// Wick-to-wick FVG (ICT-style) on breakout bar
bullFVG = (not na(h1[2]) and not na(l1)) ? (h1[2] < l1) : false
bearFVG = (not na(l1[2]) and not na(h1)) ? (l1[2] > h1) : false

// Breakout checks vs ORB
breakAbove = not na(ORBHigh) and c1 > ORBHigh
breakBelow = not na(ORBLow)  and c1 < ORBLow

// Signals within session, with ORB locked, and only if not traded today
canTrade   = inSession and ORBSet and not TradedToday
buySignal  = canTrade and breakAbove and bullFVG
sellSignal = canTrade and breakBelow and bearFVG

// ===== 5% risk-based position sizing =====
f_qty(entry, sl) =>
    riskAmt     = (RiskPct / 100.0) * strategy.equity
    riskPerUnit = math.abs(entry - sl) * syminfo.pointvalue
    valid       = (riskPerUnit > 0) and (riskAmt > 0)
    qty         = valid ? math.max(0.0001, riskAmt / riskPerUnit) : na
    qty

// ===== Orders =====
// SL is set relative to the 5m opening range +/− buffer
if buySignal
    sl = ORBLow - SL_Buffer
    // if somehow ORBLow is na, fallback to candle low
    sl := na(sl) ? l1 : sl
    tp = c1 + RR * (c1 - sl)
    q  = f_qty(c1, sl)
    if not na(q) and c1 > sl
        strategy.entry("BUY", strategy.long, qty=q)
        strategy.exit("TP/SL BUY", from_entry="BUY", stop=sl, limit=tp)
        TradedToday := true

if sellSignal
    sl = ORBHigh + SL_Buffer
    sl := na(sl) ? h1 : sl
    tp = c1 - RR * (sl - c1)
    q  = f_qty(c1, sl)
    if not na(q) and sl > c1
        strategy.entry("SELL", strategy.short, qty=q)
        strategy.exit("TP/SL SELL", from_entry="SELL", stop=sl, limit=tp)
        TradedToday := true

// ===== Visuals =====
plot(ORBHigh, "ORB High (5m)", color=color.new(color.orange, 0))
plot(ORBLow,  "ORB Low  (5m)", color=color.new(color.orange, 0))
hline(0, "Zero line", color=color.new(color.gray, 85))