高度な動的トレンド間隔フィルタリング定量取引戦略

/*backtest
start: 2025-01-01 00:00:00
end: 2025-06-12 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy("L3 Twin Range Filter Pro Strategy", overlay=true)

// 输入参数
price_source = input(defval=close, title='Price Source')
show_trade_signals = input(title='Show Buy/Sell Signals ?', defval=true)
fast_period = input.int(defval=9, minval=1, title='Fast period')
fast_range_multiplier = input.float(defval=1.6, minval=0.1, title='Fast range multiplier')
slow_period = input.int(defval=34, minval=1, title='Slow period')
slow_range_multiplier = input.float(defval=2, minval=0.1, title='Slow range multiplier')

// 自定义函数
calculate_smooth_range(price, period, multiplier) =>
    window_period = period * 2 - 1
    average_range = ta.ema(math.abs(price - price[1]), period)
    smooth_range = ta.ema(average_range, window_period) * multiplier
    smooth_range

apply_range_filter(price, range_value) =>
    range_filtered_price = price
    range_filtered_price := price > nz(range_filtered_price[1]) ? price - range_value < nz(range_filtered_price[1]) ? nz(range_filtered_price[1]) : price - range_value : price + range_value > nz(range_filtered_price[1]) ? nz(range_filtered_price[1]) : price + range_value
    range_filtered_price

// 计算过程
fast_smooth_range = calculate_smooth_range(price_source, fast_period, fast_range_multiplier)
slow_smooth_range = calculate_smooth_range(price_source, slow_period, slow_range_multiplier)
average_smooth_range = (fast_smooth_range + slow_smooth_range) / 2
filtered_price = apply_range_filter(price_source, average_smooth_range)
upward_trend = 0.0
upward_trend := filtered_price > filtered_price[1] ? nz(upward_trend[1]) + 1 : filtered_price < filtered_price[1] ? 0 : nz(upward_trend[1])
downward_trend = 0.0
downward_trend := filtered_price < filtered_price[1] ? nz(downward_trend[1]) + 1 : filtered_price > filtered_price[1] ? 0 : nz(downward_trend[1])
upper_range_boundary = filtered_price + average_smooth_range
lower_range_boundary = filtered_price - average_smooth_range
upper_bound = 0.0
upper_bound := upper_range_boundary < nz(upper_bound[1]) or close[1] > nz(upper_bound[1]) ? upper_range_boundary : nz(upper_bound[1])
lower_bound = 0.0
lower_bound := lower_range_boundary > nz(lower_bound[1]) or close[1] < nz(lower_bound[1]) ? lower_range_boundary : nz(lower_bound[1])
trend_range_filter = 0.0
trend_range_filter := nz(trend_range_filter[1]) == upper_bound[1] and close <= upper_bound ? upper_bound : nz(trend_range_filter[1]) == upper_bound[1] and close >= upper_bound ? lower_bound : nz(trend_range_filter[1]) == lower_bound[1] and close >= lower_bound ? lower_bound : nz(trend_range_filter[1]) == lower_bound[1] and close <= lower_bound ? upper_bound : upper_bound

// 定义交易信号
buy_signal = ta.crossover(close, trend_range_filter)
sell_signal = ta.crossunder(close, trend_range_filter)

// 执行交易
if (buy_signal)
    strategy.entry("Buy", strategy.long)

if (sell_signal)
    strategy.entry("Sell", strategy.short)

// 绘制标签
if (show_trade_signals and buy_signal)
    label.new(bar_index, trend_range_filter, "BUY", color=color.new(color.green, 0), style=label.style_label_up)

if (show_trade_signals and sell_signal)
    label.new(bar_index, trend_range_filter, "SELL", color=color.new(color.red, 0), style=label.style_label_down)

// 绘制图表元素
trend_range_filter_plot = plot(trend_range_filter, color=close > trend_range_filter ? color.new(color.lime, 10) : close < trend_range_filter ? color.new(color.red, 10) : na, title="Trend Range Filter")
price_plot = plot(ohlc4, title='', style=plot.style_circles, linewidth=0)
up_trend_color = close > trend_range_filter ? color.new(color.lime, 80) : na
down_trend_color = close < trend_range_filter ? color.new(color.red, 80) : na
fill(price_plot, trend_range_filter_plot, title='UpTrend Highlighter', color=up_trend_color, transp=90)
fill(price_plot, trend_range_filter_plot, title='DownTrend Highlighter', color=down_trend_color, transp=90)