Strategi Distribusi Adaptif BBP

//@version=5
strategy("BBP Adaptive Distribution Strategy [presentTrading]")

//========================================
// BBP策略参数设置
//========================================
lengthInput = input.int(20, "EMA Length");//EMA周期长度
zLength = input.int(150, "Distribution Analysis Period");//分布分析周期

//自适应分布参数组
dist_group = "Distribution Fitting";
//统计显著性水平，0.05表示95%置信度
significance_level = input.float(0.05, "Significance Level", minval=0.01, maxval=0.1, step=0.01, 
    group=dist_group, tooltip="统计显著性水平，0.05=95%置信度");
//是否启用自适应分布拟合，禁用则使用传统Z-score
auto_fit = input.bool(true, "Auto Fit Distribution", group=dist_group, 
    tooltip="启用自适应分布拟合，禁用则使用传统Z-score");
//偏度阈值，超过此值考虑使用偏态分布
skew_threshold = input.float(0.5, "Skewness Threshold", minval=0.1, maxval=2.0, group=dist_group, 
    tooltip="超过此值考虑偏态分布");
//峰度阈值，超过此值考虑使用厚尾分布
kurt_threshold = input.float(1.0, "Kurtosis Threshold", minval=0.3, maxval=3.0, group=dist_group, 
    tooltip="超过此值考虑厚尾分布");

//========================================
// 止盈参数设置
//========================================
tp_group = "Take Profit Settings";//止盈参数组
useTP = input.bool(true, "Use Take Profit", group=tp_group);//是否启用止盈
baseAtrLength = input.int(20, "ATR Period", minval=1, group=tp_group);//ATR计算周期
atrMult1 = input.float(1.618, "TP1 ATR Multiplier", minval=0.1, step=0.1, group=tp_group);//第一止盈位ATR倍数
atrMult2 = input.float(2.382, "TP2 ATR Multiplier", minval=0.1, step=0.1, group=tp_group);//第二止盈位ATR倍数
atrMult3 = input.float(3.618, "TP3 ATR Multiplier", minval=0.1, step=0.1, group=tp_group);//第三止盈位ATR倍数
tp1_size = input.float(13, "TP1 Position %", minval=1, maxval=100, group=tp_group);//第一止盈位仓位百分比
tp2_size = input.float(13, "TP2 Position %", minval=1, maxval=100, group=tp_group);//第二止盈位仓位百分比
tp3_size = input.float(13, "TP3 Position %", minval=1, maxval=100, group=tp_group);//第三止盈位仓位百分比

//========================================
// 成交量分析参数设置
//========================================
vol_group = "Volume Analysis Settings";//成交量分析参数组
vol_period = input.int(100, "Volume MA Period", minval=1, group=vol_group);//成交量均线周期
vol_high = input.float(2.0, "High Volume Multiplier", minval=1.0, step=0.1, group=vol_group);//高成交量倍数
vol_med = input.float(1.5, "Medium Volume Multiplier", minval=1.0, step=0.1, group=vol_group);//中成交量倍数
vol_low = input.float(1.0, "Low Volume Multiplier", minval=0.5, step=0.1, group=vol_group);//低成交量倍数
vol_high_mult = input.float(1.5, "High Volume Factor", minval=0.1, step=0.1, group=vol_group);//高成交量系数
vol_med_mult = input.float(1.3, "Medium Volume Factor", minval=0.1, step=0.1, group=vol_group);//中成交量系数
vol_low_mult = input.float(1.0, "Low Volume Factor", minval=0.1, step=0.1, group=vol_group);//低成交量系数

//========================================
// 百分位分析参数设置
//========================================
perc_group = "Percentile Analysis Settings";//百分位分析参数组
perc_period = input.int(100, "Percentile Period", minval=20, group=perc_group);//百分位计算周期
perc_high = input.float(90, "High Percentile", minval=50, maxval=100, group=perc_group);//高百分位阈值
perc_med = input.float(80, "Medium Percentile", minval=50, maxval=100, group=perc_group);//中百分位阈值
perc_low = input.float(70, "Low Percentile", minval=0, maxval=100, group=perc_group);//低百分位阈值
perc_high_mult = input.float(1.5, "High Percentile Factor", minval=0.1, step=0.1, group=perc_group);//高百分位系数
perc_med_mult = input.float(1.3, "Medium Percentile Factor", minval=0.1, step=0.1, group=perc_group);//中百分位系数
perc_low_mult = input.float(1.0, "Low Percentile Factor", minval=0.1, step=0.1, group=perc_group);//低百分位系数

//========================================
// 核心多空力量计算
//========================================
//计算价格的指数移动平均
emaClose = ta.ema(close, lengthInput);
//多头力量：最高价与EMA的差值
bullPower = high - emaClose;
//空头力量：最低价与EMA的差值
bearPower = low - emaClose;
//多空力量平衡：多头力量加上空头力量
bbp = bullPower + bearPower;

//计算分布的高阶矩：均值、标准差、偏度、峰度
calcDistributionMoments(src, length) =>
    mean = ta.sma(src, length);//计算均值
    variance = ta.variance(src, length);//计算方差
    stddev = math.sqrt(variance);//计算标准差
    
    //初始化偏度和峰度累加变量
    skew_sum = 0.0;
    kurt_sum = 0.0;
    
    //当标准差大于0时，计算偏度和峰度
    if stddev > 0
        for i = 0 to math.min(length - 1, 100)
            z = (src[i] - mean) / stddev;//计算标准化值
            z2 = z * z;//计算Z的平方
            skew_sum += z * z2;//累加偏度项
            kurt_sum += z2 * z2;//累加峰度项
    
    n = math.min(length, 100);//取样本数
    skewness = skew_sum / n;//计算偏度
    excess_kurtosis = kurt_sum / n - 3.0;//计算超额峰度
    
    [mean, stddev, skewness, excess_kurtosis];//返回四个统计量

//自适应阈值计算：根据分布特征动态调整阈值
calcAdaptiveThreshold(mu, sigma, skew, kurt, alpha, use_adaptive) =>
    //计算标准正态分位数（基础Z值）
    z_base = math.sqrt(-2.0 * math.log(alpha / 2.0));
    
    z_adjusted = z_base;//初始化调整后的Z值
    
    //如果启用自适应拟合，则进行分布修正
    if use_adaptive
        //厚尾修正：使用t分布近似，当峰度超过阈值时调整
        if math.abs(kurt) > kurt_threshold
            df = math.max(6.0 / math.abs(kurt) + 4.0, 5.0);//计算自由度
            z_adjusted := z_adjusted * math.sqrt(df / (df - 2.0));//调整Z值
        
        //偏度修正：使用Cornish-Fisher展开式，当偏度超过阈值时调整
        if math.abs(skew) > skew_threshold
            z_adjusted := z_adjusted + skew * (z_adjusted * z_adjusted - 1.0) / 6.0;//应用偏度修正
    
    //计算上下阈值
    upper_threshold = mu + sigma * z_adjusted;
    lower_threshold = mu - sigma * z_adjusted;
    
    [upper_threshold, lower_threshold];//返回上下阈值

//执行分布分析：计算BBP的均值、标准差、偏度和峰度
[mu, sigma, skewness, kurtosis] = calcDistributionMoments(bbp, zLength);

//计算自适应阈值：基于统计特征动态确定交易阈值
[upper_threshold, lower_threshold] = calcAdaptiveThreshold(mu, sigma, skewness, kurtosis, 
    significance_level, auto_fit);

//========================================
// 成交量与百分位分析
//========================================
vol_sma = ta.sma(volume, vol_period);//计算成交量简单移动平均
vol_mult = volume / vol_sma;//计算当前成交量相对于均值的倍数

//计算百分位排名：返回当前值在历史数据中的百分位位置
calcPercentile(src) =>
    var values = array.new_float(0);//初始化数组
    array.unshift(values, src);//将新值插入数组头部
    if array.size(values) > perc_period
        array.pop(values);//超过周期长度时删除尾部元素
    //计算百分位排名
    array.size(values) > 0 ? array.percentrank(values, array.size(values)-1) * 100 : 50;

price_perc = calcPercentile(close);//计算价格百分位
vol_perc = calcPercentile(volume);//计算成交量百分位

//计算止盈系数：综合成交量和价格百分位评分
getTpFactor() =>
    //根据成交量倍数评分
    vol_score = vol_mult > vol_high ? vol_high_mult : vol_mult > vol_med ? vol_med_mult : vol_mult > vol_low ? vol_low_mult : 0.8;
    
    //根据价格百分位评分
    price_score = price_perc > perc_high ? perc_high_mult : price_perc > perc_med ? perc_med_mult : price_perc > perc_low ? perc_low_mult : 0.8;
    
    math.avg(vol_score, price_score);//返回两个评分的平均值

//========================================
// 入场出场逻辑
//========================================
//多头入场条件：BBP向上突破上阈值
longCondition = ta.crossover(bbp, upper_threshold);
//空头入场条件：BBP向下跌破下阈值
shortCondition = ta.crossunder(bbp, lower_threshold);
//多头出场条件：BBP向下跌破均值
exitLongCondition = ta.crossunder(bbp, mu);
//空头出场条件：BBP向上突破均值
exitShortCondition = ta.crossover(bbp, mu);

//========================================
// 交易执行逻辑
//========================================
//在K线确认后执行交易
if (barstate.isconfirmed)
    if longCondition
        strategy.entry("Long", strategy.long);//开多头仓位
    if shortCondition
        strategy.entry("Short", strategy.short);//开空头仓位
    if exitLongCondition
        strategy.close("Long");//平多头仓位
    if exitShortCondition
        strategy.close("Short");//平空头仓位

//========================================
// 止盈执行逻辑
//========================================
//当启用止盈且持有仓位时执行止盈逻辑
if useTP and strategy.position_size != 0
    base_move = ta.atr(baseAtrLength);//计算基础ATR值
    tp_factor = getTpFactor();//获取止盈系数
    is_long = strategy.position_size > 0;//判断是否为多头仓位
    entry_price = strategy.position_avg_price;//获取入场均价
    
    //多头止盈设置
    if is_long
        tp1_price = entry_price + (base_move * atrMult1 * tp_factor);//计算第一止盈价
        tp2_price = entry_price + (base_move * atrMult2 * tp_factor);//计算第二止盈价
        tp3_price = entry_price + (base_move * atrMult3 * tp_factor);//计算第三止盈价
        
        strategy.exit("TP1", "Long", qty_percent=tp1_size, limit=tp1_price);//设置第一止盈
        strategy.exit("TP2", "Long", qty_percent=tp2_size, limit=tp2_price);//设置第二止盈
        strategy.exit("TP3", "Long", qty_percent=tp3_size, limit=tp3_price);//设置第三止盈
    else
        //空头止盈设置
        tp1_price = entry_price - (base_move * atrMult1 * tp_factor);//计算第一止盈价
        tp2_price = entry_price - (base_move * atrMult2 * tp_factor);//计算第二止盈价
        tp3_price = entry_price - (base_move * atrMult3 * tp_factor);//计算第三止盈价
        
        strategy.exit("TP1", "Short", qty_percent=tp1_size, limit=tp1_price);//设置第一止盈
        strategy.exit("TP2", "Short", qty_percent=tp2_size, limit=tp2_price);//设置第二止盈
        strategy.exit("TP3", "Short", qty_percent=tp3_size, limit=tp3_price);//设置第三止盈

//========================================
// 图表绘制
//========================================
//绘制BBP柱状图：多头力量为绿色，空头力量为红色
plot(bbp, color=bbp >= mu ? color.new(color.green, 0) : color.new(color.red, 0), 
     title="BBPower", style=plot.style_columns);

//绘制均值线
plot(mu, "Mean", color=color.gray, linewidth=1, style=plot.style_line);
//绘制上阈值线
plot(upper_threshold, "Upper Threshold", color=color.orange, linewidth=2);
//绘制下阈值线
plot(lower_threshold, "Lower Threshold", color=color.orange, linewidth=2);

//绘制参考线：正负1倍标准差
plot(mu + sigma, "+1σ", color=color.new(color.blue, 70), linewidth=1, style=plot.style_circles);
plot(mu - sigma, "-1σ", color=color.new(color.blue, 70), linewidth=1, style=plot.style_circles);
//绘制参考线：正负2倍标准差
plot(mu + 2*sigma, "+2σ", color=color.new(color.purple, 70), linewidth=1, style=plot.style_cross);
plot(mu - 2*sigma, "-2σ", color=color.new(color.purple, 70), linewidth=1, style=plot.style_cross);

//========================================
// 信号标记
//========================================
//绘制多头信号标记
plotshape(longCondition, title="Long Signal", location=location.bottom, 
    color=color.new(color.green, 0), style=shape.labelup, text="LONG", 
    textcolor=color.white, size=size.small);

//绘制空头信号标记
plotshape(shortCondition, title="Short Signal", location=location.top, 
    color=color.new(color.red, 0), style=shape.labeldown, text="SHORT", 
    textcolor=color.white, size=size.small);