高度な定量取引戦略: 多次元指標を備えたスーパートレンド ATR 動的追跡システム

/*backtest
start: 2024-02-22 00:00:00
end: 2025-02-19 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("ETH 超级趋势增强策略-精简版", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// —————————— 参数配置区 ——————————
// 超级趋势参数
atrPeriod = input.int(8, "ATR周期（8-10）", minval=8, maxval=10)
factor = input.float(3.5, "乘数（3.5-4）", minval=3.5, maxval=4, step=0.1)

// MACD参数
fastLength = input.int(10, "MACD快线周期")
slowLength = input.int(21, "MACD慢线周期")
signalLength = input.int(7, "信号线周期")

// ADX参数
adxLength = input.int(18, "ADX周期")
adxThreshold = input.int(28, "ADX趋势阈值")

// 成交量验证
volFilterRatio = input.float(1.8, "成交量放大倍数", step=0.1)

// ATR止损
atrStopMulti = input.float(2.2, "ATR止损乘数", step=0.1)

// —————————— 核心指标计算 ——————————
// 1. 超级趋势（修复索引使用）
[supertrend, direction] = ta.supertrend(factor, atrPeriod)
plot(supertrend, color=direction < 0 ? color.new(color.green, 0) : color.new(color.red, 0), linewidth=2)

// 2. MACD指标
[macdLine, signalLine, histLine] = ta.macd(close, fastLength, slowLength, signalLength)
macdCol = histLine > histLine[1] ? color.green : color.red

// 3. ADX趋势强度
[DIMinus, DIPlus, ADX] = ta.dmi(adxLength, adxLength)

// 4. 成交量验证
volMA = ta.sma(volume, 20)
volValid = volume > volMA * volFilterRatio

// 5. ATR动态止损
atrVal = ta.atr(14)
var float stopPrice = na

// —————————— 三重背离检测 ——————————
// RSI背离检测
rsiVal = ta.rsi(close, 14)
priceHigh = ta.highest(high, 5)
rsiHigh = ta.highest(rsiVal, 5)
divergenceRSI = high >= priceHigh[1] and rsiVal < rsiHigh[1]

// MACD柱状图背离
macdHigh = ta.highest(histLine, 5)
divergenceMACD = high >= priceHigh[1] and histLine < macdHigh[1]

// 成交量背离
volHigh = ta.highest(volume, 5)
divergenceVol = high >= priceHigh[1] and volume < volHigh[1]

tripleDivergence = divergenceRSI and divergenceMACD and divergenceVol

// —————————— 信号生成逻辑 ——————————
// 多头条件（6层过滤）
longCondition = 
  direction < 0 and            // 超级趋势看涨
  histLine > 0 and             // MACD柱在零轴上方
  ADX > adxThreshold and       // 趋势强度达标
  close > open and             // 阳线确认
  volValid and                 // 成交量验证
  not tripleDivergence         // 无三重顶背离

// 空头条件（精简条件）
shortCondition = 
  direction > 0 and            // 超级趋势看跌
  histLine < 0 and             // MACD柱在零轴下方
  ADX > adxThreshold and       // 趋势强度达标
  close < open and             // 阴线确认
  volValid and                 // 成交量验证
  tripleDivergence             // 出现三重顶背离

// —————————— 交易执行模块 ——————————
if (longCondition)
    strategy.entry("Long", strategy.long)
    stopPrice := close - atrVal * atrStopMulti

if (shortCondition)
    strategy.entry("Short", strategy.short)
    stopPrice := close + atrVal * atrStopMulti

// 动态止损触发
strategy.exit("Exit Long", "Long", stop=stopPrice)
strategy.exit("Exit Short", "Short", stop=stopPrice)

// 趋势反转离场
if (direction > 0 and strategy.position_size > 0)
    strategy.close("Long")
    
if (direction < 0 and strategy.position_size < 0)
    strategy.close("Short")

// —————————— 可视化提示 ——————————
plotshape(longCondition, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small, title="买入信号")
plotshape(shortCondition, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small, title="卖出信号")
plot(strategy.position_size != 0 ? stopPrice : na, color=color.orange, style=plot.style_linebr, linewidth=2, title="动态止损线")

// —————————— 预警系统 ——————————
alertcondition(tripleDivergence, title="三重顶背离预警", message="ETH出现三重顶背离！")

longCondition := longCondition