ATRレンコチャートの時間フィルタリングに基づく片道ロング取引戦略

/*backtest
start: 2025-06-22 00:00:00
end: 2025-07-22 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT","balance":200000}]
args: [["RunMode",1,358374]]
*/

//@version=5
strategy("Renko Long-Only Strategy with Time Filter", overlay=true, default_qty_value = 10)

// --- 输入参数 ---

atrLength  = input.int(5, "ATR Period", minval=1)//ATR周期
atrMult    = input.float(1.0, "ATR Multiplier", minval=0.1, step=0.1)//ATR乘数
showWicks  = input(false, "Show Wick Lines")//是否显示上下影线
showLabels = input(true, "Show Buy/Sell Labels")//是否显示买卖标签

// --- 交易时间设置（24小时制，从4:30 AM到2:30 PM）---
startHour = input.int(4, "Start Hour (24h)", minval=0, maxval=23)//开始交易小时
startMinute = input.int(30, "Start Minute", minval=0, maxval=59)//开始交易分钟
endHour = input.int(14, "End Hour (24h)", minval=0, maxval=23)//结束交易小时
endMinute = input.int(25, "End Minute", minval=0, maxval=59)//结束交易分钟

// --- 时间计算 ---
//检查当前是否在交易时间范围内
isTradingTime() =>
    timeHour = hour(time("1"))//获取当前小时
    timeMinute = minute(time("1"))//获取当前分钟
    // 将时间转换为自午夜起的分钟数进行比较
    currentTime = timeHour * 60 + timeMinute//当前时间（分钟）
    sessionStart = startHour * 60 + startMinute//交易开始时间（分钟）
    sessionEnd = endHour * 60 + endMinute//交易结束时间（分钟）
    currentTime >= sessionStart and currentTime <= sessionEnd//判断是否在交易时间范围内

inTradingHours = isTradingTime()//当前是否在交易时间内
timeToClose = not inTradingHours and inTradingHours[1]//刚刚退出交易时间，需要平仓

// --- 砖块计算 ---
var float boxSize    = na//砖块大小
var float lastClose  = na//最后一个砖块的收盘价
var int   direction  = 0//方向：0=未定义，1=上涨，-1=下跌
var float wickHigh   = na//上影线最高点
var float wickLow    = na//下影线最低点
var bool  newBrick   = false//是否形成新砖块
var int   prevDir    = 0//前一个方向

// --- 全局信号变量 ---
var bool buySignal  = false//买入信号
var bool sellSignal = false//卖出信号

// 更新基于ATR的砖块大小
boxSize :=ta.atr(atrLength) * atrMult//计算砖块大小

// 检测砖块形成条件
upMove   = not na(lastClose) and (close - lastClose >= boxSize)//上涨移动
downMove = not na(lastClose) and (lastClose - close >= boxSize)//下跌移动
//反转条件：当前为上升趋势但下跌超过2倍砖块大小，或当前为下降趋势但上涨超过2倍砖块大小
reversal = (direction == 1 and downMove and (lastClose - close >= boxSize * 2)) or 
           (direction == -1 and upMove and (close - lastClose >= boxSize * 2))

// 生成新砖块
if na(lastClose)//初始化
    lastClose := close//设置初始收盘价
    wickHigh := high//设置初始最高价
    wickLow := low//设置初始最低价
else if upMove and direction >= 0//继续上升趋势
    lastClose := lastClose + boxSize//更新收盘价
    prevDir := direction//保存前一个方向
    direction := 1//设置当前方向为上升
    wickHigh := high//更新上影线
    wickLow := low//更新下影线
    newBrick := true//标记形成新砖块
else if downMove and direction <= 0//继续下降趋势
    lastClose := lastClose - boxSize//更新收盘价
    prevDir := direction//保存前一个方向
    direction := -1//设置当前方向为下降
    wickHigh := high//更新上影线
    wickLow := low//更新下影线
    newBrick := true//标记形成新砖块
else if reversal//趋势反转
    lastClose := direction == 1 ? lastClose - boxSize : lastClose + boxSize//根据当前方向反向更新收盘价
    prevDir := direction//保存前一个方向
    direction := direction * -1//反转方向
    wickHigh := high//更新上影线
    wickLow := low//更新下影线
    newBrick := true//标记形成新砖块
else//没有新砖块形成
    wickHigh := math.max(wickHigh, high)//更新上影线最高点
    wickLow := math.min(wickLow, low)//更新下影线最低点
    newBrick := false//标记没有形成新砖块

// 更新信号（必须在全局范围内）
buySignal := direction == 1 and prevDir != 1//方向从非上升变为上升时产生买入信号
sellSignal := direction == -1 and prevDir != -1//方向从非下降变为下降时产生卖出信号

// --- 策略逻辑 ---
// 只在形成新砖块、K线确认且在交易时间内进入
enterLong = buySignal and newBrick and barstate.isconfirmed and inTradingHours//买入条件
exitLong = (sellSignal and newBrick and barstate.isconfirmed) or timeToClose//卖出条件

// 执行交易
if (enterLong)
    strategy.entry("Long", strategy.long)//开仓做多
    
if (exitLong)
    strategy.close("Long")//平仓

// --- 绘图 ---
color brickColor = direction == 1 ? color.green : direction == -1 ? color.red : color.gray//根据方向设置砖块颜色
plot(lastClose, "Renko Close", brickColor, 2, plot.style_linebr)//绘制Renko收盘价

// 如果启用，绘制影线
plot(showWicks ? wickHigh : na, "High", color.new(brickColor, 70), 1, plot.style_circles)//绘制上影线
plot(showWicks ? wickLow : na, "Low", color.new(brickColor, 70), 1, plot.style_circles)//绘制下影线

// 绘制交易时间背景
bgcolor(inTradingHours ? color.new(color.blue, 90) : na)//在交易时间内显示浅蓝色背景