マルチ期間ATR適応型スーパートレンド取引システム

/*backtest
start: 2024-09-15 00:00:00
end: 2025-06-28 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":50000000}]
*/

//@version=6
strategy("ZYTX SuperTrend V1", overlay=true, margin_long=100, margin_short=100, pyramiding=0)

// 输入参数
periods = input(title='ATR周期', defval=10)
src = input(hl2, title='数据源')
multiplier = input.float(title='ATR乘数', step=0.1, defval=3.0)
changeATR = input(title='改变ATR计算方法', defval=true)  // 已删除多余问号
stopLossPerc = input.float(title='止损 (%)', defval=1.0, step=0.1, minval=0, maxval=100) / 100
longTakeProfitPerc = input.float(title='多单止盈 (%)', defval=2.0, step=0.1, minval=0, maxval=100) / 100
shortTakeProfitPerc = input.float(title='空单止盈 (%)', defval=1.5, step=0.1, minval=0, maxval=100) / 100
enableLong = input.bool(title='启用做多交易', defval=true)
enableShort = input.bool(title='启用做空交易', defval=true)

// 超级趋势计算
atr2 = ta.sma(ta.tr, periods)
atr = changeATR ? ta.atr(periods) : atr2
up = src - multiplier * atr
up1 = nz(up[1], up)
up := close[1] > up1 ? math.max(up, up1) : up
dn = src + multiplier * atr
dn1 = nz(dn[1], dn)
dn := close[1] < dn1 ? math.min(dn, dn1) : dn

// 趋势判断
trend = 1
trend := nz(trend[1], trend)
trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend

// 交易信号
buySignal = trend == 1 and trend[1] == -1
sellSignal = trend == -1 and trend[1] == 1

// 可视化
plot(trend == 1 ? up : na, '上升趋势', style=plot.style_linebr, linewidth=2, color=color.new(color.green, 0))
plot(trend == 1 ? na : dn, '下降趋势', style=plot.style_linebr, linewidth=2, color=color.new(color.red, 0))

// 策略逻辑
var float entryPrice = na

if buySignal and enableLong
    strategy.cancel("多单止盈")
    strategy.cancel("多单止损")
    strategy.cancel("空单止盈")
    strategy.cancel("空单止损")
    
    if strategy.position_size <= 0
        strategy.entry("多单", strategy.long)
        entryPrice := close
        
        // 多单止盈使用独立参数
        if longTakeProfitPerc > 0
            strategy.exit("多单止盈", "多单", limit=entryPrice * (1 + longTakeProfitPerc), comment="多单止盈")
        
        if stopLossPerc > 0
            strategy.exit("多单止损", "多单", stop=entryPrice * (1 - stopLossPerc), comment="多单止损")

if sellSignal and enableShort
    strategy.cancel("多单止盈")
    strategy.cancel("多单止损")
    strategy.cancel("空单止盈")
    strategy.cancel("空单止损")
    
    if strategy.position_size >= 0
        strategy.entry("空单", strategy.short)
        entryPrice := close
        
        // 空单止盈使用独立参数
        if shortTakeProfitPerc > 0
            strategy.exit("空单止盈", "空单", limit=entryPrice * (1 - shortTakeProfitPerc), comment="空单止盈")
        
        if stopLossPerc > 0
            strategy.exit("空单止损", "空单", stop=entryPrice * (1 + stopLossPerc), comment="空单止损")

// 趋势反转平仓
if (trend == 1 and strategy.position_size < 0) or (trend == -1 and strategy.position_size > 0)
    strategy.close_all(comment="趋势反转平仓")

// 信号标记
plotshape(buySignal and enableLong, title='买入信号', text='买入', location=location.belowbar, 
          style=shape.labelup, size=size.small, color=color.new(color.green, 0), textcolor=color.new(color.white, 0))
plotshape(sellSignal and enableShort, title='卖出信号', text='卖出', location=location.abovebar, 
          style=shape.labeldown, size=size.small, color=color.new(color.red, 0), textcolor=color.new(color.white, 0))

// 止盈线可视化（多空独立）
plot(strategy.position_size > 0 and longTakeProfitPerc > 0 ? entryPrice * (1 + longTakeProfitPerc) : na, 
     "多单止盈线", style=plot.style_linebr, color=color.new(color.blue, 0), linewidth=1)
plot(strategy.position_size < 0 and shortTakeProfitPerc > 0 ? entryPrice * (1 - shortTakeProfitPerc) : na, 
     "空单止盈线", style=plot.style_linebr, color=color.new(color.blue, 0), linewidth=1)

// 趋势背景色
bgcolor(trend == 1 ? color.new(color.green, 90) : trend == -1 ? color.new(color.red, 90) : na, title="趋势背景")