गॉसियन चैनल मल्टीपल फ़िल्टरिंग रणनीति: एक मजबूत मात्रात्मक ट्रेडिंग सिस्टम कैसे बनाएँ

/*backtest
start: 2025-01-01 00:00:00
end: 2025-04-01 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":500000}]
*/

// @version=6
strategy("Gaussian Channel Strategy – GC + Kijun (120) + VAPI Gate + ATR(4.5x) + 75/25 TP-TRAIL + Extra %TP",
     overlay=true)

// =============================
// ======= INPUTS ==============
// =============================
N_poles   = input.int(4,   "Gaussian Poles", minval=1, maxval=9)
per       = input.int(144, "Sampling Period", minval=2)
mult      = input.float(1.414, "Filtered TR Multiplier", step=0.001)
src       = input.source(hlc3, "Source")
modeLag   = input.bool(false, "Reduced Lag Mode")
modeFast  = input.bool(false, "Fast Response Mode")

kijunLen  = input.int(130, "Kijun-Sen Period")

vapiLen   = input.int(10, "VAPI Length")
vapiThresh= input.float(0.0, "VAPI Threshold (0 = zero line)")

atrLen    = input.int(11, "ATR Length (RMA)")
slATRmul  = input.float(4.5, "SL = ATR ×", step=0.1)
rr_fixed  = input.float(3.5, "Fixed TP RR (Leg A)", step=0.1)
allocA    = input.float(75,  "Allocation %: Fixed TP Leg", minval=1, maxval=99)
riskPct   = input.float(3.0, "Risk % of Equity per Trade", step=0.1, minval=0.1, maxval=10)

tpEnable    = input.bool(true,  "Enable Extra % Take Profit")
tpPctLong   = input.float(10.0, "Extra Long TP % of Entry",  step=0.1, minval=0)
tpPctShort  = input.float(10.0, "Extra Short TP % of Entry", step=0.1, minval=0)

// =============================
// ===== CORE COMPONENTS =======
// =============================
atr = ta.rma(ta.tr(true), atrLen)

donchian_avg(len) => (ta.highest(high, len) + ta.lowest(low, len)) / 2.0
kijun = donchian_avg(kijunLen)

// --- VAPI_LB (LazyBear) ---
rs(x, len) => ta.cum(x) - nz(ta.cum(x)[len])
v_x   = (2*close - high - low) / math.max(high - low, syminfo.mintick)
v_tva = rs(volume * v_x, vapiLen)
v_tv  = rs(volume, vapiLen)
v_va  = 100 * (v_tva / v_tv)

// =============================
// ===== Gaussian Channel ======
// =============================
f_filt9x(_a, _s, _i) =>
    int _m2 = 0, int _m3 = 0, int _m4 = 0, int _m5 = 0, int _m6 = 0,
    int _m7 = 0, int _m8 = 0, int _m9 = 0, float _f = 0.0, _x = (1 - _a)
    _m2 := _i == 9 ? 36  : _i == 8 ? 28 : _i == 7 ? 21 : _i == 6 ? 15 : _i == 5 ? 10 : _i == 4 ? 6 : _i == 3 ? 3 : _i == 2 ? 1 : 0
    _m3 := _i == 9 ? 84  : _i == 8 ? 56 : _i == 7 ? 35 : _i == 6 ? 20 : _i == 5 ? 10 : _i == 4 ? 4 : _i == 3 ? 1 : 0
    _m4 := _i == 9 ? 126 : _i == 8 ? 70 : _i == 7 ? 35 : _i == 6 ? 15 : _i == 5 ? 5  : _i == 4 ? 1 : 0
    _m5 := _i == 9 ? 126 : _i == 8 ? 56 : _i == 7 ? 21 : _i == 6 ? 6  : _i == 5 ? 1  : 0 
    _m6 := _i == 9 ? 84  : _i == 8 ? 28 : _i == 7 ? 7  : _i == 6 ? 1  : 0 
    _m7 := _i == 9 ? 36  : _i == 8 ? 8  : _i == 7 ? 1  : 0 
    _m8 := _i == 9 ? 9   : _i == 8 ? 1  : 0 
    _m9 := _i == 9 ? 1   : 0
    _f := math.pow(_a, _i) * nz(_s) +
         _i  *     _x      * nz(_f[1])      - (_i >= 2 ?
         _m2 * math.pow(_x, 2)  * nz(_f[2]) : 0) + (_i >= 3 ?
         _m3 * math.pow(_x, 3)  * nz(_f[3]) : 0) - (_i >= 4 ?
         _m4 * math.pow(_x, 4)  * nz(_f[4]) : 0) + (_i >= 5 ?
         _m5 * math.pow(_x, 5)  * nz(_f[5]) : 0) - (_i >= 6 ?
         _m6 * math.pow(_x, 6)  * nz(_f[6]) : 0) + (_i >= 7 ?
         _m7 * math.pow(_x, 7)  * nz(_f[7]) : 0) - (_i >= 8 ?
         _m8 * math.pow(_x, 8)  * nz(_f[8]) : 0) + (_i == 9 ?
         _m9 * math.pow(_x, 9)  * nz(_f[9]) : 0)

f_pole(_a, _s, _i) =>
    _f1 =            f_filt9x(_a, _s, 1),      _f2 = (_i >= 2 ? f_filt9x(_a, _s, 2) : 0), _f3 = (_i >= 3 ? f_filt9x(_a, _s, 3) : 0)
    _f4 = (_i >= 4 ? f_filt9x(_a, _s, 4) : 0), _f5 = (_i >= 5 ? f_filt9x(_a, _s, 5) : 0), _f6 = (_i >= 6 ? f_filt9x(_a, _s, 6) : 0)
    _f7 = (_i >= 7 ? f_filt9x(_a, _s, 7) : 0), _f8 = (_i >= 8 ? f_filt9x(_a, _s, 8) : 0), _f9 = (_i == 9 ? f_filt9x(_a, _s, 9) : 0)
    _fn = _i == 1 ? _f1 : _i == 2 ? _f2 : _i == 3 ? _f3 : _i == 4 ? _f4 : _i == 5 ? _f5 : _i == 6 ? _f6 : _i == 7 ? _f7 : _i == 8 ? _f8 : _i == 9 ? _f9 : na
    [_fn, _f1]

beta  = (1 - math.cos(4*math.asin(1)/per)) / (math.pow(1.414, 2/N_poles) - 1)
alpha = - beta + math.sqrt(math.pow(beta, 2) + 2*beta)

lag = (per - 1) / (2.0 * N_poles)

srcdata = modeLag ? src + (src - nz(src[lag])) : src
tr_raw  = ta.tr(true)
trdata  = modeLag ? tr_raw + (tr_raw - nz(tr_raw[lag])) : tr_raw

[filt_n, filt_1]       = f_pole(alpha, srcdata, N_poles)
[filt_n_tr, filt_1_tr] = f_pole(alpha, trdata,  N_poles)

filt   = modeFast ? (filt_n + filt_1)/2.0 : filt_n
filttr = modeFast ? (filt_n_tr + filt_1_tr)/2.0 : filt_n_tr

hband = filt + filttr * mult
lband = filt - filttr * mult

// =============================
// ===== Signals & Filters =====
// =============================
doLong  = close > filt and close > kijun and v_va > vapiThresh
doShort = close < filt and close < kijun and v_va < -vapiThresh

// =============================
// ===== Position Sizing =======
// =============================
riskValue   = strategy.equity * (riskPct/100.0)
slDist      = atr * slATRmul
qtyTotal    = slDist > 0 ? riskValue / slDist : 0.0
qtyA        = qtyTotal * (allocA/100.0)
qtyB        = qtyTotal * ((100 - allocA)/100.0)

// =============================
// ===== Order Execution =======
// =============================
var float trailStopL = na
var float trailStopS = na

inLong  = strategy.position_size > 0
inShort = strategy.position_size < 0
entryPx = strategy.position_avg_price

// Entries
if doLong and not inLong and strategy.position_size <= 0
    strategy.order("L-A", strategy.long, qty=qtyA)
    strategy.order("L-B", strategy.long, qty=qtyB)
    trailStopL := na
if doShort and not inShort and strategy.position_size >= 0
    strategy.order("S-A", strategy.short, qty=qtyA)
    strategy.order("S-B", strategy.short, qty=qtyB)
    trailStopS := na

// LONG management
if inLong
    slL = entryPx - slDist
    tpA = entryPx + rr_fixed * slDist

    // Leg A: 固定RR止盈 + 止损
    strategy.exit("TP/SL-LA", from_entry="L-A", limit=tpA, stop=slL)

    // Leg B: 追踪止损
    trailStopL := na(trailStopL[1]) or strategy.position_size[1] <= 0 ? slL : math.max(trailStopL[1], close - slDist)
    strategy.exit("Trail-LB", from_entry="L-B", stop=trailStopL)

    // 额外百分比止盈
    if tpEnable and high >= entryPx * (1 + tpPctLong/100.0)
        strategy.close("L-A", comment="ExtraTP")
        strategy.close("L-B", comment="ExtraTP")

// SHORT management
if inShort
    slS = entryPx + slDist
    tpA = entryPx - rr_fixed * slDist

    // Leg A: 固定RR止盈 + 止损
    strategy.exit("TP/SL-SA", from_entry="S-A", limit=tpA, stop=slS)

    // Leg B: 追踪止损
    trailStopS := na(trailStopS[1]) or strategy.position_size[1] >= 0 ? slS : math.min(trailStopS[1], close + slDist)
    strategy.exit("Trail-SB", from_entry="S-B", stop=trailStopS)

    // 额外百分比止盈
    if tpEnable and low <= entryPx * (1 - tpPctShort/100.0)
        strategy.close("S-A", comment="ExtraTP")
        strategy.close("S-B", comment="ExtraTP")

// =============================
// ===== 图表绘制 ==============
// =============================
fcolor = filt > nz(filt[1]) ? color.new(color.lime, 0) : filt < nz(filt[1]) ? color.new(color.red, 0) : color.new(color.gray, 0)
plotFilter = plot(filt,  title="GC Filter",    color=fcolor, linewidth=2)
plotH      = plot(hband, title="GC High Band", color=fcolor)
plotL      = plot(lband, title="GC Low Band",  color=fcolor)
fill(plotH, plotL, color=color.new(fcolor, 80))

plot(kijun, "Kijun-Sen", color=color.new(color.maroon, 0))

// 信号标记
plotshape(doLong,  title="Long Setup",  style=shape.triangleup,   location=location.belowbar, color=color.new(color.lime, 0), size=size.tiny, text="ENTRY L")
plotshape(doShort, title="Short Setup", style=shape.triangledown, location=location.abovebar, color=color.new(color.fuchsia, 0), size=size.tiny, text="ENTRY S")