マルチインジケーターブレイクアウトトレンドフォロー戦略

   交易单位 = 风险金额 / (ATR * 每点价值)

/*backtest
start: 2024-07-03 00:00:00
end: 2025-07-01 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"DOGE_USDT"}]
*/

//@version=5
strategy("Turtle Trading Strategy (Simplified)", overlay=true, initial_capital=10000, default_qty_type=strategy.cash, default_qty_value=1000, commission_type=strategy.commission.cash_per_order, commission_value=1)

// --- Strategy Inputs ---
n1_entry_period = input.int(20, title="Entry Lookback Period (N1)", minval=1)
n2_exit_period = input.int(10, title="Exit Lookback Period (N2)", minval=1)
atr_period = input.int(20, title="ATR Period", minval=1)
atr_multiplier = input.float(2.0, title="ATR Stop Multiplier", minval=0.1)
risk_per_trade_percent = input.float(1.0, title="Risk Per Trade (%)", minval=0.1, maxval=10.0)

// --- Calculate Channels ---
highest_high_n1 = ta.highest(high, n1_entry_period)
lowest_low_n1 = ta.lowest(low, n1_entry_period)

highest_high_n2 = ta.highest(high, n2_exit_period)
lowest_low_n2 = ta.lowest(low, n2_exit_period)

// --- Calculate ATR (Average True Range) ---
atr_value = ta.atr(atr_period)

// --- Position Sizing (Simplified) ---
// This aims to calculate units based on a fixed percentage risk per trade.
// 1 Unit = 1 ATR worth of movement. Risk 1% of equity per trade.
risk_amount = strategy.initial_capital * (risk_per_trade_percent / 100)
dollar_per_point = syminfo.mintick // Or your instrument's specific dollar per point value
unit_size = atr_value * dollar_per_point > 0 ? math.round(risk_amount / (atr_value * dollar_per_point)) : 0

// Ensure unit_size is at least 1 if risk allows, and cap it for realism
if unit_size == 0 and risk_amount > 0
    unit_size := 1 // Minimum 1 unit if risk allows any trade
if unit_size > 10000 // Cap unit size to prevent excessively large positions in backtesting
    unit_size := 10000

// --- Entry Logic ---
long_condition = ta.crossover(close, highest_high_n1[1]) // Break above previous N1 high
short_condition = ta.crossunder(close, lowest_low_n1[1]) // Break below previous N1 low

// Variables to store entry information only for the *current* bar
var float current_entry_price = na
var int current_entry_type = 0 // 1 for long, -1 for short, 0 for no entry

if long_condition and strategy.opentrades == 0 // Only enter if no open positions
    strategy.entry("Long", strategy.long, qty=unit_size, comment="Turtle Long Entry")
    // Store entry details for the current bar
    current_entry_price := close // Or strategy.opentrades[0].entry_price if you prefer but close on entry bar is often same
    current_entry_type := 1

if short_condition and strategy.opentrades == 0 // Only enter if no open positions
    strategy.entry("Short", strategy.short, qty=unit_size, comment="Turtle Short Entry")
    // Store entry details for the current bar
    current_entry_price := close // Or strategy.opentrades[0].entry_price
    current_entry_type := -1

// --- Exit Logic ---

// Declare persistent variables to store stop prices
var float long_stop_price = na
var float short_stop_price = na

// Calculate and store stop price on the bar *after* an entry
if current_entry_type[1] == 1 // If a long entry occurred on the previous bar
    long_stop_price := current_entry_price[1] - (atr_value[1] * atr_multiplier) // Use values from previous bar
    short_stop_price := na // Reset short stop

if current_entry_type[1] == -1 // If a short entry occurred on the previous bar
    short_stop_price := current_entry_price[1] + (atr_value[1] * atr_multiplier) // Use values from previous bar
    long_stop_price := na // Reset long stop

// Stop Loss for Long Positions
if strategy.position_size > 0 // We have a long position
    strategy.exit("Long Exit SL", from_entry="Long", stop=long_stop_price, comment="Long Stop Loss")

// Stop Loss for Short Positions
if strategy.position_size < 0 // We have a short position
    strategy.exit("Short Exit SL", from_entry="Short", stop=short_stop_price, comment="Short Stop Loss")

// N2 Exit for Long Positions
if strategy.position_size > 0 and ta.crossunder(close, lowest_low_n2[1])
    strategy.close("Long", comment="Turtle Long N2 Exit")

// N2 Exit for Short Positions
if strategy.position_size < 0 and ta.crossover(close, highest_high_n2[1])
    strategy.close("Short", comment="Turtle Short N2 Exit")

// --- Plotting for Visualization ---
plot(highest_high_n1, "N1 High", color=color.green, linewidth=2, style=plot.style_linebr)
plot(lowest_low_n1, "N1 Low", color=color.red, linewidth=2, style=plot.style_linebr)
plot(highest_high_n2, "N2 High (Exit)", color=color.blue, linewidth=1, style=plot.style_linebr)
plot(lowest_low_n2, "N2 Low (Exit)", color=color.orange, linewidth=1, style=plot.style_linebr)