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多チャネル動的サポート抵抗 ケルトナーチャネル戦略

作者: リン・ハーンチャオチャン, 日付: 2025-01-17 15:17:59
タグ:KCエイマATRSMAWMAPPSR

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/*backtest
start: 2024-12-17 00:00:00
end: 2024-12-21 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":49999}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © sathcm
//@version=5 
strategy("KMS", overlay=true, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.05, slippage=3)

// Inputs for Keltner Channels
kcLength = input.int(21, title="Keltner Channel Length", minval=1)  // Length for Keltner Channel calculation
kcMultiplier = input.float(2.0, title="Keltner Channel Multiplier", minval=0.1)  // Multiplier for Keltner Channel width

// Calculate Keltner Channels using best practices
kcBasis = ta.ema(close, kcLength)  // Use EMA for a smoother basis line
atrValue = ta.atr(kcLength)  // Use ATR for channel width calculation
kcUpper = kcBasis + kcMultiplier * atrValue  // Upper Keltner Channel
kcLower = kcBasis - kcMultiplier * atrValue  // Lower Keltner Channel

// Inputs for Pivot Point Calculation
leftBars = input.int(21, title="Left Bars", minval=1)  // Number of bars to the left for pivot calculation
rightBars = input.int(8, title="Right Bars", minval=1, tooltip="Number of bars to the right for pivot calculation")  // Number of bars to the right for pivot calculation

// Calculate Smoothed Pivot Highs and Lows using Weighted Moving Average
pivotHigh = ta.pivothigh(high, leftBars, rightBars)  // Apply WMA for smoothing
pivotLow = ta.pivotlow(low, leftBars, rightBars)  // Apply WMA for smoothing

// Convert Pivot Highs and Lows to Boolean Conditions
isPivotHigh = not na(pivotHigh)  // True when a pivot high exists
isPivotLow = not na(pivotLow)  // True when a pivot low exists

// Get Recent Support and Resistance Levels
recentResistance = ta.valuewhen(isPivotHigh, high, 0)  // Most recent resistance level
recentSupport = ta.valuewhen(isPivotLow, low, 0)  // Most recent support level

// Plot Smoothed Support and Resistance Levels
//plot(recentResistance, color=color.red, title="Recent Resistance", linewidth=2, style=plot.style_line)
//plot(recentSupport, color=color.green, title="Recent Support", linewidth=2, style=plot.style_line)

// Store Entry Price into a Variable
var float entryPrice = na  // Declare a variable to store the entry price

// Input for Higher Timeframe
higherTimeframeInput = input.timeframe('W', title="Higher Timeframe for MA Calculation")

if (timeframe.period == "240") or (timeframe.period == "120")
    higherTimeframeInput := "D"
if (timeframe.period == "60") or (timeframe.period == "30") or (timeframe.period == "15")
    higherTimeframeInput := "120"
if (timeframe.period == "10") or (timeframe.period == "5") 
    higherTimeframeInput := "30"
if (timeframe.period == "1")
    higherTimeframeInput := "10"

prd = input.int(defval=10, title='Pivot Period', minval=4, maxval=30, group='Settings 🔨', tooltip='Used while calculating Pivot Points, checks left&right bars')
ppsrc = input.string(defval='High/Low', title='Source', options=['High/Low', 'Close/Open'], group='Settings 🔨', tooltip='Source for Pivot Points')
ChannelW = input.int(defval=5, title='Maximum Channel Width %', minval=1, maxval=8, group='Settings 🔨', tooltip='Calculated using Highest/Lowest levels in 300 bars')
minstrength = input.int(defval=1, title='Minimum Strength', minval=1, group='Settings 🔨', tooltip='Channel must contain at least 2 Pivot Points')
maxnumsr = input.int(defval=4, title='Maximum Number of S/R', minval=1, maxval=10, group='Settings 🔨', tooltip='Maximum number of Support/Resistance Channels to Show') - 1
loopback = input.int(defval=150, title='Loopback Period', minval=100, maxval=400, group='Settings 🔨', tooltip='While calculating S/R levels it checks Pivots in Loopback Period')
res_col = input.color(defval=color.new(color.red, 75), title='Resistance Color', group='Colors 🟡🟢🟣')
sup_col = input.color(defval=color.new(color.lime, 75), title='Support Color', group='Colors 🟡🟢🟣')
inch_col = input.color(defval=color.new(color.gray, 75), title='Color When Price in Channel', group='Colors 🟡🟢🟣')

// Get Pivot High/Low
src1 = ppsrc == 'High/Low' ? high : math.max(close, open)
src2 = ppsrc == 'High/Low' ? low : math.min(close, open)
ph = ta.pivothigh(src1, prd, prd)
pl = ta.pivotlow(src2, prd, prd)

// Calculate maximum S/R channel width
prdhighest = ta.highest(300)
prdlowest = ta.lowest(300)
cwidth = (prdhighest - prdlowest) * ChannelW / 100

// Get/keep Pivot levels
var pivotvals = array.new_float(0)
var pivotlocs = array.new_float(0)
if ph or pl
    array.unshift(pivotvals, ph ? ph : pl)
    array.unshift(pivotlocs, bar_index)
    for x = array.size(pivotvals) - 1 to 0 by 1
        if bar_index - array.get(pivotlocs, x) > loopback  // remove old pivot points
            array.pop(pivotvals)
            array.pop(pivotlocs)
            continue
        break

// Find/create SR channel of a pivot point
get_sr_vals(ind) =>
    float lo = array.get(pivotvals, ind)
    float hi = lo
    int numpp = 0
    for y = 0 to array.size(pivotvals) - 1 by 1
        float cpp = array.get(pivotvals, y)
        float wdth = cpp <= hi ? hi - cpp : cpp - lo
        if wdth <= cwidth  // fits the max channel width?
            if cpp <= hi
                lo := math.min(lo, cpp)
            else
                hi := math.max(hi, cpp)
            numpp += 20  // each pivot point added as 20
    [hi, lo, numpp]

// Keep old SR channels and calculate/sort new channels if we met new pivot point
var suportresistance = array.new_float(20, 0)  // min/max levels
changeit(x, y) =>
    tmp = array.get(suportresistance, y * 2)
    array.set(suportresistance, y * 2, array.get(suportresistance, x * 2))
    array.set(suportresistance, x * 2, tmp)
    tmp := array.get(suportresistance, y * 2 + 1)
    array.set(suportresistance, y * 2 + 1, array.get(suportresistance, x * 2 + 1))
    array.set(suportresistance, x * 2 + 1, tmp)

if ph or pl
    supres = array.new_float(0)  // number of pivot, strength, min/max levels
    stren = array.new_float(10, 0)
    // Get levels and strengths
    for x = 0 to array.size(pivotvals) - 1 by 1
        [hi, lo, strength] = get_sr_vals(x)
        array.push(supres, strength)
        array.push(supres, hi)
        array.push(supres, lo)

    // Add each HL to strength
    for x = 0 to array.size(pivotvals) - 1 by 1
        h = array.get(supres, x * 3 + 1)
        l = array.get(supres, x * 3 + 2)
        s = 0
        for y = 0 to loopback by 1
            if high[y] <= h and high[y] >= l or low[y] <= h and low[y] >= l
                s += 1
        array.set(supres, x * 3, array.get(supres, x * 3) + s)

    // Reset SR levels
    array.fill(suportresistance, 0)
    // Get strongest SRs
    src = 0
    for x = 0 to array.size(pivotvals) - 1 by 1
        stv = -1.  // value
        stl = -1  // location
        for y = 0 to array.size(pivotvals) - 1 by 1
            if array.get(supres, y * 3) > stv and array.get(supres, y * 3) >= minstrength * 20
                stv := array.get(supres, y * 3)
                stl := y
        if stl >= 0
            // Get SR level
            hh = array.get(supres, stl * 3 + 1)
            ll = array.get(supres, stl * 3 + 2)
            array.set(suportresistance, src * 2, hh)
            array.set(suportresistance, src * 2 + 1, ll)
            array.set(stren, src, array.get(supres, stl * 3))

            // Make included pivot points' strength zero
            for y = 0 to array.size(pivotvals) - 1 by 1
                if array.get(supres, y * 3 + 1) <= hh and array.get(supres, y * 3 + 1) >= ll or array.get(supres, y * 3 + 2) <= hh and array.get(supres, y * 3 + 2) >= ll
                    array.set(supres, y * 3, -1)

            src += 1
            if src >= 10
                break

    for x = 0 to 8 by 1
        for y = x + 1 to 9 by 1
            if array.get(stren, y) > array.get(stren, x)
                tmp = array.get(stren, y)
                array.set(stren, y, array.get(stren, x))
                changeit(x, y)

get_level(ind) =>
    float ret = na
    if ind < array.size(suportresistance)
        if array.get(suportresistance, ind) != 0
            ret := array.get(suportresistance, ind)
    ret

get_color(ind) =>
    color ret = na
    if ind < array.size(suportresistance)
        if array.get(suportresistance, ind) != 0
            ret := array.get(suportresistance, ind) > close and array.get(suportresistance, ind + 1) > close ? res_col : array.get(suportresistance, ind) < close and array.get(suportresistance, ind + 1) < close ? sup_col : inch_col
    ret

// var srchannels = array.new_box(10)
// for x = 0 to math.min(9, maxnumsr) by 1
//     box.delete(array.get(srchannels, x))
//     srcol = get_color(x * 2)
//     if not na(srcol)
//         array.set(srchannels, x, box.new(left=bar_index, top=get_level(x * 2), right=bar_index + 1, bottom=get_level(x * 2 + 1), border_color=srcol, border_width=1, extend=extend.both, bgcolor=srcol))

// Improved dynamic support detection
float recentSupport1 = na
float previousSupport = na
float currentsupport = na

if na(previousSupport) or currentsupport != previousSupport
    if array.size(suportresistance) > 1 
        for i = 0 to math.floor(array.size(suportresistance) / 2) - 1  // Iterate through support levels
            currentsupport := array.get(suportresistance, i * 2 + 1)  // Support is stored at odd indices
            if currentsupport < close and (na(recentSupport1) or math.abs(close - currentsupport) < math.abs(close - recentSupport1))
                previousSupport := currentsupport  // Store the newly detected support
                  // Set the most recent support to the new support
                recentSupport1 := na(recentSupport1) ? ta.lowest(low, 10) : currentsupport
// Moving averages for entry and exit
maShort = ta.sma(close, 5)
maLong = ta.sma(close, 30) + ta.atr(14)
// Track entry price
entryPrice1 = strategy.position_avg_price  // Get the price of the currently open position
currentTimeFrame = timeframe.period
exitPrice = entryPrice1 * 0.99

if currentTimeFrame == "1H" or currentTimeFrame == "30" or currentTimeFrame == "15" or currentTimeFrame == "5"
    exitPrice := entryPrice1 * 0.99  // Set the exit price at 99% of the entry price

if currentTimeFrame == "120" or currentTimeFrame == "180" or currentTimeFrame == "240" or currentTimeFrame == "D"
    exitPrice := entryPrice1 * 0.98 // Set the exit price at 95% of the entry price




// Calculate Moving Average based on higher timeframe for length of 20 bars
higherTimeframeMA = request.security(syminfo.tickerid, higherTimeframeInput, ta.sma(close, 20), barmerge.gaps_off, barmerge.lookahead_on)  // Calculate MA with adjusted timeframe

// Entry and Exit Conditions for Long
entryLong = (close > kcUpper) and (close > recentResistance) and (close > higherTimeframeMA)  // Long entry when price breaks above KC upper, recent resistance, and higher timeframe MA
exitLong = (close < recentResistance - 1.5*atrValue)  // Long exit when price falls below recent resistance with cushion of one ATR

// Entry and Exit Conditions for Short
entryShort = (close < kcLower) and (close < recentSupport) and (close < higherTimeframeMA+atrValue) // Add RSI filter to reduce false signals by confirming momentum  // Short entry when price breaks below KC lower, recent support, and higher timeframe MA
exitShort = (close > recentSupport + atrValue)  // Short exit when price rises above recent support with cushion of one ATR(close > recentSupport + atrValue)  // Short exit when price rises above recent support with cushion of one ATR(close > recentSupport + atrValue)  // Short exit when price rises above recent support with cushion of one ATR

// Strategy Execution for Long
if not na(recentSupport1) and (close <= recentSupport1 +(close*0.01) or close >= recentSupport1 - (close*0.0075)) and (maShort > maLong) and entryLong
    strategy.entry("Long Entry", strategy.long)
    //entryPrice := strategy.position_avg_price  // Store the entry price when a position is opened

if ((maShort < maLong + 3*ta.atr(14)) or  close < exitPrice) and exitLong
    strategy.close("Long Entry")

// Strategy Execution for Short
if entryShort
    strategy.entry("Short Entry", strategy.short)
    entryPrice := strategy.position_avg_price  // Store the entry price when a position is opened

if exitShort
    strategy.close("Short Entry")

// Plot Keltner Channels
plot(kcUpper, color=color.orange, title="Keltner Channel Upper", linewidth=1)
plot(kcLower, color=color.orange, title="Keltner Channel Lower", linewidth=1)

// Plot Moving Averages
plot(higherTimeframeMA, color=color.blue, title="Higher Timeframe MA", linewidth=2)

//plot(recentSupport1, color=#04313f, title="Recent Support1")
//plot(recentResistance, color=color.purple, title="Recent Resistance")
//plot(entryPrice1, color=color.lime, title="Entry Price 1")
//plot(exitPrice, color=color.maroon, title="Exit Price")
//plot(maShort, color=color.green, title="MA Short")
//plot(maLong, color=color.blue, title="MA Long Plus ATR")

// Highlight Entry Zones
bgcolor(entryLong ? color.new(color.green, 85) : na, title="Long Entry Zone")
bgcolor(entryShort ? color.new(color.red, 85) : na, title="Short Entry Zone")

// Alerts
alertcondition(entryLong, title="Long Entry", message="Price broke above the Keltner Channel and recent resistance for Long Entry")
alertcondition(exitLong, title="Long Exit", message="Price fell below recent resistance with cushion of one ATR - Long Exit")
alertcondition(entryShort, title="Short Entry", message="Price broke below the Keltner Channel and recent support for Short Entry")
alertcondition(exitShort, title="Short Exit", message="Price rose above recent support with cushion of one ATR - Short Exit")

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• 多期EMAトレンド・モメンタム・トレード戦略
• スーパージャンプ バックボリンガー帯
• エースマ
• スーパースカルパー
• EMAとSMAに基づく戦略をフォローする多指標動的傾向
• スーパースカルパー - 5分 15分
• 超トレンド移動平均値
• 多層波動帯取引戦略
• 利益の最大化 PMax
• 多指標シネージシストトレンド逆転量的な取引戦略

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• 双重クロスオーバートレンド フォローする戦略: EMAとMACDシネージティック・トレーディング・システム
• 日中のパターンの認識を備えたSMAベースのインテリジェント・トレリング・ストップ戦略
• アダプティブ・マルチ戦略・ダイナミック・スイッチング・システム:トレンドフォローとレンジ・オシレーションを組み合わせた定量的な取引戦略
• 先進的な多指標多次元トレンドクロス定量戦略
• 多因子回帰とダイナミック価格帯量的な取引システム
• 多指標動的トレンド検出とリスク管理の取引戦略
• 複数の確認を伴う戦略に従う多面滑らかな移動平均動的クロスオーバー傾向
• 大型キャンドルとRSIディバージェンスをベースとした高度なダイナミックストップ・ロスの戦略
• 流動性重量化された移動平均動力量クロスオーバー戦略
• 多指標シネージシストトレンド逆転量的な取引戦略
• 機械学習 適応型スーパートレンド 定量的な取引戦略
• ダイナミック・ウェーブ・トレンドとフィボナッチ統合量的な取引戦略
• トレーディング戦略をフォローする波動性停止ベースのEMAトレンド
• ダイナミック・ボラティリティ・フィルターによるマルチ-EMAトレンドフォロー戦略
• 多指標量的な取引戦略をフォローする三重EMA傾向
• 年末トレンド モメンタム・トレード・ストラテジーの後 ((60日間のMAブレイク)
• RSI 過剰購入/過剰売却量的な取引戦略の多指標トレンド
• 効率的な価格チャネル取引戦略 15分ブレイクベース
• 過去のバックテストを伴う多時間枠のフェア・バリュー・ギャップ・ブレイクアウト戦略
• QQEの動的傾向 リスク管理量的な取引戦略