トリプルマイクロチャネルモメンタム確率マルチファクター取引戦略

/*backtest
start: 2024-05-20 00:00:00
end: 2025-05-18 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDC"}]
*/



//@version=5
strategy("Ali 3-Bar MC v6 10 Factor", overlay=true, pyramiding=0)

// === INPUTS ===
showLabels = input.bool(true, title="Show Entry Labels")
rewardMultiple = input.float(1, title="Reward : Risk")


atrLength = input.int(4, title="ATR Length")
var int bullSignalBarIndex = na
var int bearSignalBarIndex = na

// === ATR ===
atr = ta.sma(ta.tr(true), atrLength)

signalTimeout = 1  // 例如3根bar




// === 风险控制参数 ===
riskPerTradePercent = input.float(1, title="每笔风险占比 (%)")  // 如 1%
pointValue = input.float(5, title="每点价值，例如 ES 是 $50/pt")

// 10 Factor 
//@version=5

baseWinRate = 0.70
tick = syminfo.mintick
tolerance = 0.2  // 用于判断 bar 大小一致的容忍比例


// 获取3根 bar 的关键数据
body(i) => math.abs(close[i] - open[i])
barSize(i)  => math.abs(high[i] - low[i])
upperTailRatio(i) => (high[i] - math.max(close[i], open[i])) / barSize(i)
lowerTailRatio(i) => (math.min(close[i], open[i]) - low[i])/barSize(i)

upperTailTolerance = 0.15
lowerTailTolerance = 0.15
bodyTolerance = 0.7
barUniformTolerance = 0.3
win_threshold = 0.5
// 检测 BL MC（3-bar micro channel 向上）
isBLMC = close[2] > open[2] and close[1] > open[1] and close > open

// === 各项因子判断 ===
//f1_uniform = math.max(barSize(2)/barSize(1), barSize(1)/barSize(2)) < 1 + barUniformTolerance and  math.max(barSize(1)/barSize(0), barSize(1)/barSize(0)) < 1 + barUniformTolerance
f1_uniform = math.max(barSize(2)/barSize(0) , barSize(0)/barSize(2)) < 1 + barUniformTolerance 


f2_mostCOH = ((upperTailRatio(2) < upperTailTolerance? 1:0) +  (upperTailRatio(1) < upperTailTolerance? 1:0)  +  (upperTailRatio(0) < upperTailTolerance? 1:0) )>=2
f3_microGap = low > high[2] 
f4_tickGap = open > close[1] or open[1] > close[2] 
f5_closesAboveHigh = close > high[1] and close[1] > high[2]
f6_higherLows = low > low[1] and low[1] > low[2]
f7_opensAbovePriorClose = open >= close[1] or open[1] >= close[2]
f8_noLowerTail =  ((lowerTailRatio(2) < lowerTailTolerance? 1:0) +  (lowerTailRatio(1) < lowerTailTolerance? 1:0)  +  (lowerTailRatio(0) < lowerTailTolerance? 1:0) )>=1
f9_noDojiOrOpposite  =body(2) /  barSize(2) > bodyTolerance and body(1) /  barSize(1) > bodyTolerance and body(0) /  barSize(0) > bodyTolerance

// === 总评分计算 ===
score = 0
score := score - (f1_uniform ? 0 : 1)
score := score - (f2_mostCOH ? 0 : 1)
score := score - (f3_microGap ? 0 : 4)
score := score - (f4_tickGap ? 0 : 1)
score := score - (f5_closesAboveHigh ? 0 : 1)
score := score - (f6_higherLows ? 0 : 1)
score := score - (f7_opensAbovePriorClose ? 0 : 1)
score := score - (f8_noLowerTail ? 0 : 1)
score := score - (f9_noDojiOrOpposite ? 0 : 1)

winProb = baseWinRate + (score * 0.05)  // 每个因子加5%，最高 1.20

// === 图上标记 ===
if isBLMC


    labelText = str.tostring(winProb * 100, "#.##") + "%\n" +        "1️⃣ uniform: " + str.tostring(f1_uniform) + "\n" +         "2️⃣ mostCOL: " + str.tostring(f2_mostCOH) + "\n" +        "3️⃣ microGap: " + str.tostring(f3_microGap) + "\n" +        "4️⃣ tickGap: " + str.tostring(f4_tickGap) + "\n" +        "5️⃣ closes<priorLow: " + str.tostring(f5_closesAboveHigh) + "\n" +        "6️⃣ lowerHighs: " + str.tostring(f6_higherLows) + "\n" +        "7️⃣ opensBelowClose: " + str.tostring(f7_opensAbovePriorClose) + "\n" +        "8️⃣ noLowerTail: " + str.tostring(f8_noLowerTail) + "\n" +        "9️⃣ noDoji: " + str.tostring(f9_noDojiOrOpposite)    ,
    label.new(        bar_index,         low,         text=labelText,         style=label.style_label_up,         color=color.new(color.green, 0),         textcolor=color.white,         size=size.small    )



// === Ali BULL MC ===


isAliBull =  isBLMC and  winProb>=win_threshold

// === 检测 Bear Micro Channel ===
isBRMC = close[2] < open[2] and close[1] < open[1] and close < open

// === Bear 各项因子 ===
br_f1_uniform = math.max(barSize(2)/barSize(0) , barSize(0)/barSize(2)) < 1 + barUniformTolerance 
br_f2_mostCOL = ((lowerTailRatio(2) < lowerTailTolerance ? 1:0) +  (lowerTailRatio(1) < lowerTailTolerance ? 1:0) +  (lowerTailRatio(0) < lowerTailTolerance ? 1:0)) >= 2
br_f3_microGap = low[2] > high 
br_f4_tickGap = open < close[1] or open[1] < close[2]
br_f5_closesBelowLow = close < low[1] and close[1] < low[2]
br_f6_lowerHighs = high < high[1] and high[1] < high[2]
br_f7_opensBelowPriorClose = open < close[1] or open[1] < close[2]
br_f8_noUpperTail = ((upperTailRatio(2) < upperTailTolerance ? 1:0) +  (upperTailRatio(1) < upperTailTolerance ? 1:0) +  (upperTailRatio(0) < upperTailTolerance ? 1:0)) >= 1
br_f9_noDojiOrOpposite = body(2)/barSize(2) > bodyTolerance and body(1)/barSize(1) > bodyTolerance and body(0)/barSize(0) > bodyTolerance

// === Bear 总评分计算 ===
br_score = 0
br_score := br_score - (br_f1_uniform ? 0 : 1)
br_score := br_score - (br_f2_mostCOL ? 0 : 1)
br_score := br_score - (br_f3_microGap ? 0 : 4)
br_score := br_score - (br_f4_tickGap ? 0 : 1)
br_score := br_score - (br_f5_closesBelowLow ? 0 : 1)
br_score := br_score - (br_f6_lowerHighs ? 0 : 1)
br_score := br_score - (br_f7_opensBelowPriorClose ? 0 : 1)
br_score := br_score - (br_f8_noUpperTail ? 0 : 1)
br_score := br_score - (br_f9_noDojiOrOpposite ? 0 : 1)

br_winProb = baseWinRate + (br_score * 0.05)

// === Bear 图上标记 ===
if isBRMC

    labelText = str.tostring(br_winProb * 100, "#.##") + "%\n" +        "1️⃣ uniform: " + str.tostring(br_f1_uniform) + "\n" +         "2️⃣ mostCOL: " + str.tostring(br_f2_mostCOL) + "\n" +        "3️⃣ microGap: " + str.tostring(br_f3_microGap) + "\n" +        "4️⃣ tickGap: " + str.tostring(br_f4_tickGap) + "\n" +        "5️⃣ closes<priorLow: " + str.tostring(br_f5_closesBelowLow) + "\n" +        "6️⃣ lowerHighs: " + str.tostring(br_f6_lowerHighs) + "\n" +        "7️⃣ opensBelowClose: " + str.tostring(br_f7_opensBelowPriorClose) + "\n" +        "8️⃣ noUpperTail: " + str.tostring(br_f8_noUpperTail) + "\n" +        "9️⃣ noDoji: " + str.tostring(br_f9_noDojiOrOpposite)    ,
    label.new(        bar_index,         low,         text=labelText,         style=label.style_label_up,         color=color.new(color.red, 0),         textcolor=color.white,         size=size.small    )







// === Ali BEAR MC ===



isAliBear = isBRMC  and br_winProb >=win_threshold

// === ENTRY/RISK/TARGET ===
bullEntry = (upperTailRatio(0)<0.1 ? close :high + tick) 
bullStop =  open[2] - tick
bullRisk = bullEntry - bullStop
bullTarget = bullEntry + bullRisk * rewardMultiple

bearEntry = (lowerTailRatio(0)<0.1? close :low - tick) 
bearStop = open[2]  + tick
bearRisk =  bearStop - bearEntry 
bearTarget = bearEntry - bearRisk * rewardMultiple

// === 动态仓位计算（基于账户资金和止损大小） ===
riskAmount = strategy.equity * (riskPerTradePercent / 100)
bullContracts = math.max(math.floor(riskAmount / (bullRisk * pointValue)),1)
bearContracts = math.max(math.floor(riskAmount / (bearRisk * pointValue)),1)


// === STATE ===
var float bullGapCloseLine = na
var float bearGapCloseLine = na
var bool inLong = false
var bool inShort = false
var bool bullStructureExitArmed = false
var bool bearStructureExitArmed = false
var float lastBullOpen = na
var float lastBearOpen = na
var line currentTPLine = na
var line currentSLLine = na
var float fixedBullStop = na
var float fixedBullTarget = na
var float fixedBearStop = na
var float fixedBearTarget = na

canTradeNow = not na(time(timeframe.period, "0930-1545", "America/New_York"))  // 只在盘中前6小时交易




// === BULL ENTRY ===
if isAliBull and na(bullSignalBarIndex) and canTradeNow and strategy.position_size  == 0
    strategy.entry("Ali Long", strategy.long, stop=bullEntry, qty=bullContracts)
    strategy.exit("Close Long", from_entry = "Ali Long", stop = bullStop, trail_price = bullTarget, trail_offset =    atrLength )
    bullSignalBarIndex := bar_index
    fixedBullStop := bullStop
    fixedBullTarget := bullTarget

// === BEAR ENTRY ===
if isAliBear and na(bearSignalBarIndex) and canTradeNow and strategy.position_size  == 0
    strategy.entry("Ali Short", strategy.short, stop=bearEntry, qty=bearContracts)
    strategy.exit("Close Short", from_entry = "Ali Short", stop = bearStop,trail_price = bearTarget, trail_offset =    atrLength)
    bearSignalBarIndex := bar_index
    fixedBearStop := bearStop
    fixedBearTarget := bearTarget





// === RESET ===
if strategy.position_size != 0
    bullSignalBarIndex := na
    bearSignalBarIndex := na

if not na(bullSignalBarIndex) and (bar_index - bullSignalBarIndex >= signalTimeout) and strategy.opentrades == 0
    strategy.cancel("Ali Long")
    bullSignalBarIndex := na
    fixedBullStop := na
    fixedBullTarget := na

if not na(bearSignalBarIndex) and (bar_index - bearSignalBarIndex >= signalTimeout) and strategy.opentrades == 0
    strategy.cancel("Ali Short")
    bearSignalBarIndex := na
    fixedBearStop := na
    fixedBearTarget := na



eodTime = timestamp("America/New_York", year, month, dayofmonth, 15, 55)

if time >= eodTime and strategy.position_size != 0
    strategy.close_all(comment="EOD Exit")
    label.new(bar_index, close, "Exit: EOD", style=label.style_label_down, color=color.gray, textcolor=color.white, size=size.small)
    bearSignalBarIndex := na
    bullSignalBarIndex:=na
    fixedBearStop := na
    fixedBearTarget := na


plot(fixedBearTarget, title="Bull TP", color=color.green, style=plot.style_linebr)
plot(fixedBearStop, title="Bull SL", color=color.red, style=plot.style_linebr)