ダイナミックトレンドフォローの複数の指標によるバッチ利益確定取引戦略

/*backtest
start: 2024-02-10 00:00:00
end: 2025-02-08 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=6
strategy("Hang Strategy Aggressive", overlay=true, initial_capital=1000, currency=currency.USDT, default_qty_type=strategy.cash, default_qty_value=100)

// === 参数设置 ===
fastLength = input.int(5, "快速EMA长度")
slowLength = input.int(15, "慢速EMA长度")
rsiLength = input.int(7, "RSI长度")
atrPeriod = input.int(10, "ATR周期")
leverageMultiple = input.float(3.0, "杠杆倍数", minval=1.0, step=0.5)

// === 止盈止损参数 ===
stopLossPercent = input.float(5.0, "止损百分比", minval=1.0, step=0.5)
firstTakeProfitPercent = input.float(8.0, "第一止盈点百分比", minval=1.0, step=0.5)
secondTakeProfitPercent = input.float(12.0, "第二止盈点百分比", minval=1.0, step=0.5)
firstTakeProfitQtyPercent = input.float(50.0, "第一止盈仓位百分比", minval=1.0, maxval=100.0, step=5.0)

// === 技术指标 ===
fastEMA = ta.ema(close, fastLength)
slowEMA = ta.ema(close, slowLength)
superFastEMA = ta.ema(close, 3)
rsi = ta.rsi(close, rsiLength)
atr = ta.atr(atrPeriod)

// === 趋势判断 ===
[macdLine, signalLine, histLine] = ta.macd(close, 12, 26, 9)
macdCross = (macdLine > signalLine) and (macdLine[1] < signalLine[1])
macdCrossDown = (macdLine < signalLine) and (macdLine[1] > signalLine[1])

// === 交易信号 ===
longCondition = (fastEMA > slowEMA) and macdCross and (rsi < 70)
shortCondition = (fastEMA < slowEMA) and macdCrossDown and (rsi > 30)

// === 平仓信号 ===
exitLong = shortCondition or (fastEMA < slowEMA)
exitShort = longCondition or (fastEMA > slowEMA)

// === 仓位管理 ===
maxRiskPerTrade = 0.05
basePosition = strategy.equity * maxRiskPerTrade
atrAmount = atr * close
riskPosition = basePosition / atrAmount * leverageMultiple
positionSize = math.min(riskPosition, strategy.equity * 0.4 / close)

// === 交易状态变量 ===
var isLong = false
var isShort = false
var partialTpTriggered = false
var float stopPrice = na
var float firstTpPrice = na
var float secondTpPrice = na
var float firstTpQty = na

// === 交易执行 ===
// 多头入场
if (longCondition and not isLong and not isShort)
    strategy.entry("多", strategy.long, qty=positionSize)
    isLong := true
    partialTpTriggered := false

// 空头入场
if (shortCondition and not isShort and not isLong)
    strategy.entry("空", strategy.short, qty=positionSize)
    isShort := true
    partialTpTriggered := false

// === 止盈止损逻辑 ===
if (strategy.position_size > 0)  // 多仓
    stopPrice := strategy.position_avg_price * (1 - stopLossPercent/100)
    firstTpPrice := strategy.position_avg_price * (1 + firstTakeProfitPercent/100)
    // 只在未触发第一止盈时计算第二止盈价格
    if not partialTpTriggered
        secondTpPrice := strategy.position_avg_price * (1 + secondTakeProfitPercent/100)
    
    if (close[1] <= stopPrice or low <= stopPrice)
        strategy.close_all("多止损")
        isLong := false
        partialTpTriggered := false
    
    if (not partialTpTriggered and (close[1] >= firstTpPrice or high >= firstTpPrice))
        strategy.order("多第一止盈", strategy.short, qty=firstTpQty)
        partialTpTriggered := true
        // 在这里重新计算第二止盈价格
        secondTpPrice := high * (1 + 0.04)  // 基于当前最高价再上涨4%
    
    if (close[1] >= secondTpPrice or high >= secondTpPrice)
        strategy.close_all("多第二止盈")
        isLong := false
        partialTpTriggered := false

if (strategy.position_size < 0)  // 空仓
    stopPrice := strategy.position_avg_price * (1 + stopLossPercent/100)
    firstTpPrice := strategy.position_avg_price * (1 - firstTakeProfitPercent/100)
    // 只在未触发第一止盈时计算第二止盈价格
    if not partialTpTriggered
        secondTpPrice := strategy.position_avg_price * (1 - secondTakeProfitPercent/100)
    
    if (close[1] >= stopPrice or high >= stopPrice)
        strategy.close_all("空止损")
        isShort := false
        partialTpTriggered := false
    
    if (not partialTpTriggered and (close[1] <= firstTpPrice or low <= firstTpPrice))
        strategy.order("空第一止盈", strategy.long, qty=firstTpQty)
        partialTpTriggered := true
        // 在这里重新计算第二止盈价格
        secondTpPrice := low * (1 - 0.04)  // 基于当前最低价再下跌4%
    
    if (close[1] <= secondTpPrice or low <= secondTpPrice)
        strategy.close_all("空第二止盈")
        isShort := false
        partialTpTriggered := false

// === 其他平仓条件 ===
if (exitLong and isLong)
    strategy.close_all("多平仓")
    isLong := false
    partialTpTriggered := false

if (exitShort and isShort)
    strategy.close_all("空平仓")
    isShort := false
    partialTpTriggered := false

// === 绘图 ===
plot(fastEMA, "快速EMA", color=color.blue)
plot(slowEMA, "慢速EMA", color=color.red)
plot(superFastEMA, "超快EMA", color=color.green)

// 绘制止盈止损线
plot(strategy.position_size != 0 ? strategy.position_avg_price : na, "开仓价", color=color.yellow)
plot(strategy.position_size != 0 ? stopPrice : na, "止损线", color=color.red)
plot(strategy.position_size != 0 ? firstTpPrice : na, "第一止盈线", color=color.green)
plot(strategy.position_size != 0 ? secondTpPrice : na, "第二止盈线", color=color.blue)