トリプル移動平均ファンピンパターン動的リスク定量取引戦略

/*backtest
start: 2024-05-14 00:00:00
end: 2025-05-12 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

//@version=5

strategy("Rich Harvester", overlay=true, 
  initial_capital=200, 
  commission_type=strategy.commission.percent, 
  commission_value=0.1,
  slippage=2,
  default_qty_type=strategy.cash)

// ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
// 抗重绘核心修改（使用已确认K线数据）
// ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
confirmedClose = close[1]
confirmedOpen = open[1]
confirmedHigh = high[1]
confirmedLow = low[1]

// User Input (新增参数)
leverage = input.float(title='杠杆倍数', minval=0.1, maxval=100.0, step=0.1, defval=1.0, group="★ 风险控制")

// User Input (原有参数完全保留)
usr_risk = input.int(title='Equity Risk (%)', minval=1, maxval=100, step=1, defval=3, confirm=false)
atr_mult = input.float(title='Stop Loss (x*ATR, Float)', minval=0.1, maxval=100, step=0.1, defval=0.5, confirm=false)
slPoints = input.int(title='Stop Loss Trail Points (Pips)', minval=1, maxval=1000, step=1, defval=1, confirm=false)
slOffset = input.int(title='Stop Loss Trail Offset (Pips)', minval=1, maxval=1000, step=1, defval=1, confirm=false)
sma_slow = input.int(title='Slow SMA (Period)', minval=1, maxval=500, step=1, defval=50, confirm=false)
ema_medm = input.int(title='Medm EMA (Period)', minval=1, maxval=500, step=1, defval=18, confirm=false)
ema_fast = input.int(title='Fast EMA (Period)', minval=1, maxval=500, step=1, defval=6, confirm=false)
atr_valu = input.int(title='ATR (Period)', minval=1, maxval=500, step=1, defval=14, confirm=false)
ent_canc = input.int(title='Cancel Entry After X Bars (Period)', minval=1, maxval=500, step=1, defval=3, confirm=false)

// Create Indicators (使用确认数据)
slowSMA = ta.sma(confirmedClose, sma_slow)
medmEMA = ta.ema(confirmedClose, ema_medm)
fastEMA = ta.ema(confirmedClose, ema_fast)
atr = ta.atr(atr_valu)[1]  // 使用前值

// ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
// 信号系统优化（延迟信号确认）
// ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
bullishPinBar = (confirmedClose > confirmedOpen and (confirmedOpen - confirmedLow) > 0.66 * (confirmedHigh - confirmedLow)) or
              (confirmedClose < confirmedOpen and (confirmedClose - confirmedLow) > 0.66 * (confirmedHigh - confirmedLow))

bearishPinBar = (confirmedClose > confirmedOpen and (confirmedHigh - confirmedClose) > 0.66 * (confirmedHigh - confirmedLow)) or
               (confirmedClose < confirmedOpen and (confirmedHigh - confirmedOpen) > 0.66 * (confirmedHigh - confirmedLow))

// 趋势过滤条件（使用确认数据）
fanUpTrend = fastEMA > medmEMA and medmEMA > slowSMA
fanDnTrend = fastEMA < medmEMA and medmEMA < slowSMA

// 延迟信号确认（等待K线闭合）
longCondition = fanUpTrend and bullishPinBar[1]  // 延迟1根K线
shortCondition = fanDnTrend and bearishPinBar[1]

// ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
// 交易执行系统（仅修改风险计算部分）
// ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
enterlong() =>
    risk = usr_risk * 0.01 * strategy.equity * leverage  // 添加杠杆影响
    stopLoss = confirmedLow - atr * atr_mult
    entryPrice = confirmedHigh
    units = risk / (entryPrice - stopLoss)
    strategy.entry('long', strategy.long, units, stop=entryPrice)
    strategy.exit('exit long', from_entry='long', trail_points=slPoints, trail_offset=slOffset)

entershort() =>
    risk = usr_risk * 0.01 * strategy.equity * leverage  // 添加杠杆影响
    stopLoss = confirmedHigh + atr * atr_mult
    entryPrice = confirmedLow
    units = risk / (stopLoss - entryPrice)
    strategy.entry('short', strategy.short, units, stop=entryPrice)
    strategy.exit('exit short', from_entry='short', trail_points=slPoints, trail_offset=slOffset)



// ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
// 交易执行系统
// ≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡≡
if longCondition 
    enterlong()

if shortCondition 
    entershort()
strategy.cancel('long', ta.barssince(longCondition) > ent_canc)
strategy.cancel('short', ta.barssince(shortCondition) > ent_canc)

strategy.close_all(when=hour == 16 and dayofweek == dayofweek.friday, comment='exit all, market-closed')
strategy.close_all(when=ta.crossunder(fastEMA, medmEMA), comment='exit long, re-cross')
strategy.close_all(when=ta.crossover(fastEMA, medmEMA), comment='exit short, re-cross')

plot(fastEMA, "快EMA", color.new(#FF6B00, 0), 2)
plot(medmEMA, "中EMA", color.new(#0096FF, 0), 2)
plot(slowSMA, "慢SMA", color.new(#00C800, 0), 2)

plotshape(longCondition, "多信号", shape.labelup, location.belowbar, color=#00FF00, text="▲", textcolor=#FFFFFF)
plotshape(shortCondition, "空信号", shape.labeldown, location.abovebar, color=#FF0000, text="▼", textcolor=#FFFFFF)