マルチ指標統合注文フロー取引自動均衡戦略システム

/*backtest
start: 2024-04-20 00:00:00
end: 2025-04-20 00:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"TRX_USD"}]
*/

//@version=5
strategy("订单流轨迹自动交易脚本", overlay=true, margin_long=100, margin_short=100, default_qty_type=strategy.percent_of_equity, default_qty_value=10)

// === 参数设置 ===
deltaThreshold = input.int(100, "Delta阈值（多空失衡）", minval=1)
imbalanceRatio = input.float(3.0, "失衡比率（如3:1）", minval=1)
stackedImbalanceBars = input.int(2, "连续失衡堆积数", minval=1)
lookback = input.int(20, "POC&支撑阻力回溯K线数", minval=5)
stoplossTicks = input.int(2, "止损跳数", minval=1)
takeprofitTicks = input.int(4, "止盈跳数", minval=1)

// === 订单流核心指标 ===
// 模拟主动买卖量（真实逐笔需Level2数据，此处用tick替代）
upVol = volume * (close > open ? 1 : 0)
downVol = volume * (close < open ? 1 : 0)
delta = upVol - downVol

// 计算POC（本K线最大成交量价位，简化为收盘价附近最大成交量）
var float poc = na
if bar_index > lookback
    poc := ta.highestbars(volume, lookback) == 0 ? close : na

// 失衡判定
imbalance = upVol > downVol * imbalanceRatio ? 1 : downVol > upVol * imbalanceRatio ? -1 : 0

// 堆积失衡（连续多K线同一方向失衡）
var int stackedImbalance = 0
if imbalance != 0
    stackedImbalance := imbalance == nz(stackedImbalance[1]) ? stackedImbalance + imbalance : imbalance
else
    stackedImbalance := 0

// === 交易信号 ===
// 顶部/底部微单（趋势末端量能萎缩，反转信号）
microBuy = ta.lowest(volume, 3) == volume and delta < 0
microSell = ta.highest(volume, 3) == volume and delta > 0

// 失衡堆积支撑/阻力
longSupport = stackedImbalance >= stackedImbalanceBars and imbalance == 1
shortResistance = stackedImbalance <= -stackedImbalanceBars and imbalance == -1

// 吸收与主动出击（区间震荡后放量突破）
absorption = ta.lowest(volume, lookback) == volume[1] and volume > volume[1] * 2

// === 交易逻辑 ===
// 多单：失衡堆积支撑+微单反转+delta放大
enterLong = (longSupport and microBuy and delta > deltaThreshold) or (absorption and delta > deltaThreshold)
if enterLong
    strategy.entry("Long", strategy.long)
    strategy.exit("Long Exit", "Long", stop=close-stoplossTicks*syminfo.mintick, limit=close+takeprofitTicks*syminfo.mintick)

// 空单：失衡堆积阻力+微单反转+delta放大
enterShort = (shortResistance and microSell and delta < -deltaThreshold) or (absorption and delta < -deltaThreshold)
if enterShort
    strategy.entry("Short", strategy.short)
    strategy.exit("Short Exit", "Short", stop=close+stoplossTicks*syminfo.mintick, limit=close-takeprofitTicks*syminfo.mintick)

// === 画图可视化 ===
plotshape(enterLong, title="多单信号", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(enterShort, title="空单信号", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)
plot(delta, color=color.blue, title="Delta多空差")
hline(0, "Delta中轴", color=color.gray)
bgcolor(longSupport ? color.new(color.green, 90) : na)
bgcolor(shortResistance ? color.new(color.red, 90) : na)

// === 说明提示 ===
var table info = table.new(position.top_right, 1, 7, border_width=1)
if bar_index % 10 == 0
    table.cell(info, 0, 0, "订单流轨迹自动交易脚本", bgcolor=color.yellow)
    table.cell(info, 0, 1, "Delta: " + str.tostring(delta))
    table.cell(info, 0, 2, "POC: " + str.tostring(poc))
    table.cell(info, 0, 3, "失衡: " + str.tostring(imbalance))
    table.cell(info, 0, 4, "堆积失衡: " + str.tostring(stackedImbalance))
    table.cell(info, 0, 5, "微单反转: " + str.tostring(microBuy ? "多" : microSell ? "空" : "无"))
    table.cell(info, 0, 6, "吸收突破: " + str.tostring(absorption ? "是" : "否"))