動的移動平均クロスオーバートレンド追跡組み合わせ戦略

/*backtest
start: 2025-02-17 17:00:00
end: 2025-02-20 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Binance","currency":"SOL_USDT"}]
*/

//@version=5
strategy("交易策略（自定义EMA/SMA参数）", overlay=true, initial_capital=100000, currency=currency.EUR, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// 输入参数：可调的 SMA 和 EMA 周期
smaLength     = input.int(120, "SMA Length", minval=1, step=1)
emaFastPeriod = input.int(13, "EMA Fast Period", minval=1, step=1)
emaSlowPeriod = input.int(21, "EMA Slow Period", minval=1, step=1)

// 计算均线
smaVal   = ta.sma(close, smaLength)
emaFast  = ta.ema(close, emaFastPeriod)
emaSlow  = ta.ema(close, emaSlowPeriod)

// 绘制均线
plot(smaVal, color=color.orange, title="SMA")
plot(emaFast, color=color.blue, title="EMA Fast")
plot(emaSlow, color=color.red, title="EMA Slow")

// 入场条件 - 做多
// 条件1：收盘价高于SMA 且 EMA Fast 向上穿越 EMA Slow
longTrigger1 = (close > smaVal) and ta.crossover(emaFast, emaSlow)
// 条件2：收盘价上穿SMA 且前5根K线的最低价均高于各自的SMA
longTrigger2 = ta.crossover(close, smaVal) and (low[1] > smaVal[1] and low[2] > smaVal[2] and low[3] > smaVal[3] and low[4] > smaVal[4] and low[5] > smaVal[5])
longCondition = longTrigger1 or longTrigger2

// 入场条件 - 做空
// 条件1：收盘价低于SMA 且 EMA Fast 向下穿越 EMA Slow
shortTrigger1 = (close < smaVal) and ta.crossunder(emaFast, emaSlow)
// 条件2：收盘价下穿SMA 且前5根K线的最高价均低于各自的SMA
shortTrigger2 = ta.crossunder(close, smaVal) and (high[1] < smaVal[1] and high[2] < smaVal[2] and high[3] < smaVal[3] and high[4] < smaVal[4] and high[5] < smaVal[5])
shortCondition = shortTrigger1 or shortTrigger2

// 定义变量记录入场时的价格与EMA Fast值，用于计算止损
var float entryPriceLong      = na
var float entryEMA_Fast_Long   = na
var float entryPriceShort     = na
var float entryEMA_Fast_Short = na

// 入场与初始止盈止损设置 - 做多
// 止损取“开仓时的EMA Fast价格”与“0.2%止损”中较大者；止盈为止损的5倍
if (longCondition and strategy.position_size == 0)
    entryPriceLong      := close
    entryEMA_Fast_Long  := emaFast
    strategy.entry("Long", strategy.long)
    stopPercLong = math.max(0.002, (entryPriceLong - entryEMA_Fast_Long) / entryPriceLong)
    stopLong     = entryPriceLong * (1 - stopPercLong)
    tpLong       = entryPriceLong * (1 + 5 * stopPercLong)
    strategy.exit("LongExit", "Long", stop=stopLong, limit=tpLong)

// 入场与初始止盈止损设置 - 做空
// 止损取“开仓时的EMA Fast价格”与“0.2%止损”中较大者；止盈为止损的5倍
if (shortCondition and strategy.position_size == 0)
    entryPriceShort      := close
    entryEMA_Fast_Short  := emaFast
    strategy.entry("Short", strategy.short)
    stopPercShort = math.max(0.002, (entryEMA_Fast_Short - entryPriceShort) / entryPriceShort)
    stopShort     = entryPriceShort * (1 + stopPercShort)
    tpShort       = entryPriceShort * (1 - 5 * stopPercShort)
    strategy.exit("ShortExit", "Short", stop=stopShort, limit=tpShort)

// 移动止损逻辑
// 当持仓盈利达到0.8%时更新止损和止盈，保持止盈为止损的5倍
var float longHighest = na
if (strategy.position_size > 0)
    longHighest := na(longHighest) ? high : math.max(longHighest, high)
    if (high >= entryPriceLong * 1.008)
        newLongStop = longHighest * (1 - 0.003)
        newPerc     = (entryPriceLong - newLongStop) / entryPriceLong
        newLongTP   = entryPriceLong * (1 + 5 * newPerc)
        strategy.exit("LongExit", "Long", stop=newLongStop, limit=newLongTP)
else
    longHighest := na

var float shortLowest = na
if (strategy.position_size < 0)
    shortLowest := na(shortLowest) ? low : math.min(shortLowest, low)
    if (low <= entryPriceShort * 0.992)
        newShortStop  = shortLowest * (1 + 0.003)
        newPercShort  = (newShortStop - entryPriceShort) / entryPriceShort
        newShortTP    = entryPriceShort * (1 - 5 * newPercShort)
        strategy.exit("ShortExit", "Short", stop=newShortStop, limit=newShortTP)
else
    shortLowest := na

// 额外平仓条件
// 如果持多仓时EMA Fast下穿EMA Slow，则立即平多
if (strategy.position_size > 0 and ta.crossunder(emaFast, emaSlow))
    strategy.close("Long", comment="EMA下穿平多")
// 如果持空仓时EMA Fast上穿EMA Slow，则立即平空
if (strategy.position_size < 0 and ta.crossover(emaFast, emaSlow))
    strategy.close("Short", comment="EMA上穿平空")