多層グリッド動的均衡取引戦略

/*backtest
start: 2025-04-29 00:00:00
end: 2025-05-29 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("BTC Grid Trading Strategy", 
     overlay=true, 
     initial_capital=10000, 
     default_qty_type=strategy.percent_of_equity, 
     default_qty_value=100,
     currency=currency.USDT,
     commission_type=strategy.commission.percent, 
     commission_value=0.1,
     pyramiding=100,
     max_lines_count=500,
     max_labels_count=500)

// 1. 用户自定义参数
startCapital   = input.float(10000, "起始资金(USDT)", minval=1000)
lowerBound     = input.float(50000, "区间下限", minval=1000)
upperBound     = input.float(120000, "区间上限", minval=1000)
gridSpacingPct = input.float(1.0, "网格间距(%)", minval=0.1, maxval=10) / 100
investmentPct  = input.float(1.0, "加仓比例(%)", minval=0.1, maxval=5) / 100
takeProfitPct  = input.float(1.0, "止盈比例(%)", minval=0.1, maxval=5) / 100
stopLossPct    = input.float(10.0, "止损比例(%)", minval=1, maxval=20) / 100
priceStopPct   = input.float(5.0, "价格止损比例(%)", minval=1, maxval=15) / 100

// 2. 绘制自定义震荡区间
plot(lowerBound, "区间下限", color=color.red, linewidth=2, style=plot.style_linebr)
plot(upperBound, "区间上限", color=color.green, linewidth=2, style=plot.style_linebr)
bgcolor(close >= lowerBound and close <= upperBound ? color.new(color.blue, 90) : na, title="震荡区间背景")

// 3. 计算网格水平
gridSpacing = (upperBound - lowerBound) * gridSpacingPct
gridLevels = math.floor((upperBound - lowerBound) / gridSpacing)

// 4. 初始化仓位跟踪
var float[] entryPrices = array.new_float(gridLevels + 1, na)
var bool[] gridFilled = array.new_bool(gridLevels + 1, false)
var float[] gridQtys = array.new_float(gridLevels + 1, 0.0)
var int lastGridPosition = -1


// 6. 寻找当前价格所在的网格位置（修正算法）
getCurrentGridPosition(price) =>
    if price <= lowerBound
        -1
    else if price >= upperBound
        gridLevels + 1
    else
        int((price - lowerBound) / gridSpacing)

// 7. 网格交易核心逻辑（修复开仓和止盈问题）
inChannel = close >= lowerBound and close <= upperBound
currentGridPosition = getCurrentGridPosition(close)

// 初始入场（避免在边界开仓）
if inChannel and strategy.position_size == 0 and currentGridPosition > 0 and currentGridPosition < gridLevels
    qty = (strategy.equity * investmentPct) / close
    entryId = "Grid-Buy-"+str.tostring(currentGridPosition)
    strategy.entry(entryId, strategy.long, qty=qty)
    array.set(gridFilled, currentGridPosition, true)
    array.set(entryPrices, currentGridPosition, close)
    array.set(gridQtys, currentGridPosition, qty)

// 网格加仓逻辑
if inChannel and strategy.position_size > 0 and currentGridPosition >= 0 and currentGridPosition <= gridLevels
    // 仅当移动到新网格时才加仓
    if currentGridPosition != lastGridPosition and not array.get(gridFilled, currentGridPosition)
        qty = (strategy.equity * investmentPct) / close
        entryId = "Grid-Buy-"+str.tostring(currentGridPosition)
        strategy.entry(entryId, strategy.long, qty=qty)
        array.set(gridFilled, currentGridPosition, true)
        array.set(entryPrices, currentGridPosition, close)
        array.set(gridQtys, currentGridPosition, qty)
    
    // 网格止盈逻辑（完整平仓）
    for i = 0 to gridLevels
        if array.get(gridFilled, i)
            entryPrice = array.get(entryPrices, i)
            targetPrice = entryPrice * (1 + takeProfitPct)
            if high >= targetPrice
                entryId = "Grid-Buy-"+str.tostring(i)
                qty = array.get(gridQtys, i)
                strategy.close(entryId, qty=qty)
                array.set(gridFilled, i, false)
                array.set(entryPrices, i, na)
                array.set(gridQtys, i, 0.0)

// 更新最后网格位置
lastGridPosition := currentGridPosition

// 8. 改进的止损逻辑（分离资金止损和价格止损）
if strategy.position_size > 0
    // 资金止损（总权益止损）
    if strategy.equity < startCapital * (1 - stopLossPct)
        strategy.close_all("资金止损")
    
    // 价格止损（基于入场均价）
    avgPrice = strategy.position_avg_price
    if close < avgPrice * (1 - priceStopPct)
        strategy.close_all("价格止损")

// 9. 通道突破终止条件
if (close > upperBound or close < lowerBound) and strategy.position_size > 0
    strategy.close_all("通道突破")

// 10. 状态显示
plot(strategy.equity, title="账户净值")